Order Flow Analytics

[FulcrumTrader 10]

Later today I'd like to comment on what I learned about Order Flow Analytic's take on this for developing their trading signals and Blowfish's comment about whether the data tracking in Order Flow Analytics and other means of bid/ask volume is accurate enough for good trade decisions. Blowfish and others, I'd love to hear your perspectives on these ideas. -best wishes always, BG

 

Brian,

 

Back a few years ago, I did study a Volume Analysis tool Bill Duryea was using similar to what OrderFlowAnalytics has currently just developed......

 

http://www.tradingeducationexchange.com/products/images/ioamt/intraday.png

 

In my opinion, the new OFA charting tool for Ninjatrader makes a lot of sense to me. Anytime a trader is developing their understanding of order flow/volume distributions and moving away from traditional price derived indicators, they are on a very robust path.

[ramora 10]

Thanks everyone for a great thread....

 

If you are using bid/ask delta don't you have a problem in fast markets?

 

In a slow or average paced market you can calculate your delta by adding/subtracting the size of the trade to the previous accumulated volume. Fine, that looks great on the screen.

 

However, in a market that is in a fast rally the ask price has moved up very quickly and the market order is filled at the bid which causes the delta calculation for this trade to be subtracted from previous accumulated volume.

 

If a trade is filled at the ask is it always added to accumulated volume? Or, are there other considerations? Is it impossible for trading platforms to match a fill notification to where the bid/ask was then the trade was executed?

 

All comments welcome! I hope I stated this correctly...

 

Thanks

[bgtrader 10]

Hi All,

I left a message to OFA on their website requesting a phone chat and demo of their software, and they called my home phone within 10 minutes. I spoke with one of their marketing guys who is also a trader. Here are some of the highlights my demo/walkthrough:

--their software bypasses NinjaTrader for volume/delta bid*ask analysis, with a direct API to Rithmic/Zenfire for trade data, and uses the NinjaTrader DOM for order entry. So, their special bar charts with the columns that form on new rotations in price/order flow are not using Ninja charts, rather it's their own charting going direct to Rithmic/Zenfire. Perhaps, this increases data accuracy or reduces latency by a small amount. And, for Ninja 6.5, this will lessen the processor load that Ninja's charts tend to have, as their software isn't engaging Ninja's charting at all. Supposedly, this processor heavy feature of Ninjatrader's charts is completely resolved in version 7.0.

--their bar logic is interesting and forms based on price probes into areas and then when certain changes in order flow happen during a probe, a new bar may form. I went through examples of charts on their website and in youtube videos, where I counted the bid volume and the ask volume of each bar and compared that to the total delta that's listed after each bar forms....interestingly, I was off each time, and this leads me to believe that they have a proprietary way of adding to the bar delta perhaps after certain criteria are met near the high volume node or other criteria. It's not as simple as total delta of the bar imho. They mention phrases like algorithmic trade patterns on their site and have a trading course that is loaded with an auction market pattern section, so I'm assuming that their is an advanced market profile pattern logic in the bar formation and the trade signals.

--their software includes a semi-auto order entry feature which can enter a conditional limit order or several that will only trigger when their bar signal rotation logic criteria are met. The parameters for this semi-auto system can be adjusted in various ways. In the demo, the OFA rep, entered a conditional limit order, and it was interesting to watch price trade through the limit order and not trigger as the rotation/probe pattern criteria weren't met.

--their trading software and education approach are the work of a fellow named DB Vaello, who the rep explained was an exceptional trader and gives a great deal to the OFA students/customers in terms of education and customer service. (DB will be giving a webinar through Mirus Futures this Tuesday 3:30pm CST, registration link:

Trading Education. Order Flow Analysis in the eMini S&P 500. D.B. Vaello, Order Flow Analytics.)

--they offer a few indicators that compliment their probe/rotation bars, these indicators and the NinjaTrader DOM interface for semi-auto trade execution, I believe are all extra cost to the basic software

 

My feelings...as Fulcrumtrader wrote, anytime people are delving deeper into order flow analysis and zeroing in on volume patterns, this gives an edge. In the software demo shown to me via an Omnovia screen sharing room, their stuff seemed very solid and coded very well. For NinjaTrader plug-ins, I'd say they spent a lot of money and time getting the code to be very smooth.

 

I, personally, don't like looking at the bid*ask bars with numbers of contracts filling the bars in the Market Delta charting package or the OFA software; this is a personal preference, and I know many traders that swear by Market Delta. I think many Market Delta users will be very intrigued by the robust trade pattern logic built into OFA's package, and I think many will be attracted to OFA's emphasis on actionable criteria first and not a toolbox of charting possibilities. That said, I prefer to look at range bars (like .75 renko with wicks in InvestorRT) and volume bars...visually the data makes more sense to me that way. When I see the bid*ask numbers on the bars, I get a little overwhelmed. I can see how someone that uses other charting styles as their main charts could use OFA's proprietary bars as an additional signal and complimentary view of data. Kam Dhadwar over at L2st.co.uk has a chart setup like this with Market Delta where he looks over at the bid*ask bars as a sort of signal chart and has several volume bar charts open to look for entries and manage trades.

 

The sales structure of their software and education doesn't appeal to me, but may be great for others. For $99 you get the basic proprietary charting or $1200 for lifetime lease, but for all the cool trade signal and conditional order entry indicators you have to purchase each of those separately, for an additional $1600 total if you purchased all 4. Then, there's the educational packages, which are probably pretty good, especially for trading the liquid futures markets. If a market student decided they wanted to go "all in" software and education with OFA, we're looking at $6000+. What is a nice feature of their "apprentice" package for $3600 is that includes $25/month for life access to their online trading room led by DB.

 

I think that the OFA system will appeal to traders that don't currently have a profitable system and feel the need for foundation education to day trade the ES and liquid futures markets. From my experience, OFA as a company seem to be genuine traders crafting some neat tools and actually trading them everyday. In the age of information/resource sharing that we live in where companies are giving more free services to the public, I feel like OFA's pricing structure would attract more potential customers if they went with a simpler $99/month for software and partial trading room access, $1200 total software+tools lifetime lease, and $1200 for total education package plus $25/month total trading room access. This would put the price point around $2400, which I think would attract more traders that don't yet have a profitable system. This is my personal bias as someone with an entrepreneurial spirit, and I am by no means saying that OFA does not deserve the prices they have set, as they've clearly spent a great deal of time and energy in research and development.

 

Order Flow Analytics is a new company and I'm curious to see how their tools & offerings evolve. I wish them the best.

[FulcrumTrader 10]

Thanks everyone for a great thread....

 

If you are using bid/ask delta don't you have a problem in fast markets?

 

In a slow or average paced market you can calculate your delta by adding/subtracting the size of the trade to the previous accumulated volume. Fine, that looks great on the screen.

 

However, in a market that is in a fast rally the ask price has moved up very quickly and the market order is filled at the bid which causes the delta calculation for this trade to be subtracted from previous accumulated volume.

 

If a trade is filled at the ask is it always added to accumulated volume? Or, are there other considerations? Is it impossible for trading platforms to match a fill notification to where the bid/ask was then the trade was executed?

 

All comments welcome! I hope I stated this correctly...

 

Thanks

 

If you break a very good data down at the EOD and verify the days bid/ask run (with like a DTN NXCORE feed) you will see there are absolutely no problems.....during fast periods or slow. With Investor RT Cumulative Delta volume study and the basic DTN.IQ data feed or with Ninjatrader running the GonCD with Zenfire feed, the days bid/ask runs match up with a verified feed daily look at a days bid/ask run......even after the recent CME data flow increase to "retailers" type feeds.

 

I myself, since I constantly track for the accuracy of the Cumulative Delta with various feeds, have found no problems of improper plots of the CD from the few feeds I use.....so far so good.

[FulcrumTrader 10]

Hi All,

I left a message to OFA on their website requesting a phone chat and demo of their software, and they called my home phone within 10 minutes. I spoke with one of their marketing guys who is also a trader. Here are some of the highlights my demo/walkthrough:

 

Great job Brian and thanks for all that info.....you should be a CIA analyst, I like all your research work!

[GoldStandard 10]

Thanks for the report, its much appreciated.

 

From an entrepreneurial standpoint, I agree with you that their pricing structure could be more attractive to their target audience.

 

The $99 monthly lease would be a very attractive option if it included all a trader needed to get started with them. With an additional $1200 or $1600 one time fee required in addition to the monthly fee, they are raising the barrier to entry quite a bit.

 

I can't help but think they would make a lot more money if they raised their monthly fee to $150 and didn't require any one-time initial fees. A trader who stayed with them for even one year would give them substantially more revenue than the one-time fees generate, and traders who stay with them for longer would be a goldmine for them year after year.

 

EOTpro's business model is a good example. There are no large upfront fees to make it hard for people to join, but their monthly fee is hefty and over time they make way more money than they could possibly make by charging one-time fees.

 

 

Hi All,

I left a message to OFA on their website requesting a phone chat and demo of their software, and they called my home phone within 10 minutes. I spoke with one of their marketing guys who is also a trader. Here are some of the highlights my demo/walkthrough:

--their software bypasses NinjaTrader for volume/delta bid*ask analysis, with a direct API to Rithmic/Zenfire for trade data, and uses the NinjaTrader DOM for order entry. So, their special bar charts with the columns that form on new rotations in price/order flow are not using Ninja charts, rather it's their own charting going direct to Rithmic/Zenfire. Perhaps, this increases data accuracy or reduces latency by a small amount. And, for Ninja 6.5, this will lessen the processor load that Ninja's charts tend to have, as their software isn't engaging Ninja's charting at all. Supposedly, this processor heavy feature of Ninjatrader's charts is completely resolved in version 7.0.

--their bar logic is interesting and forms based on price probes into areas and then when certain changes in order flow happen during a probe, a new bar may form. I went through examples of charts on their website and in youtube videos, where I counted the bid volume and the ask volume of each bar and compared that to the total delta that's listed after each bar forms....interestingly, I was off each time, and this leads me to believe that they have a proprietary way of adding to the bar delta perhaps after certain criteria are met near the high volume node or other criteria. It's not as simple as total delta of the bar imho. They mention phrases like algorithmic trade patterns on their site and have a trading course that is loaded with an auction market pattern section, so I'm assuming that their is an advanced market profile pattern logic in the bar formation and the trade signals.

--their software includes a semi-auto order entry feature which can enter a conditional limit order or several that will only trigger when their bar signal rotation logic criteria are met. The parameters for this semi-auto system can be adjusted in various ways. In the demo, the OFA rep, entered a conditional limit order, and it was interesting to watch price trade through the limit order and not trigger as the rotation/probe pattern criteria weren't met.

--their trading software and education approach are the work of a fellow named DB Vaello, who the rep explained was an exceptional trader and gives a great deal to the OFA students/customers in terms of education and customer service. (DB will be giving a webinar through Mirus Futures this Tuesday 3:30pm CST, registration link:

Trading Education. Order Flow Analysis in the eMini S&P 500. D.B. Vaello, Order Flow Analytics.)

--they offer a few indicators that compliment their probe/rotation bars, these indicators and the NinjaTrader DOM interface for semi-auto trade execution, I believe are all extra cost to the basic software

 

My feelings...as Fulcrumtrader wrote, anytime people are delving deeper into order flow analysis and zeroing in on volume patterns, this gives an edge. In the software demo shown to me via an Omnovia screen sharing room, their stuff seemed very solid and coded very well. For NinjaTrader plug-ins, I'd say they spent a lot of money and time getting the code to be very smooth.

 

I, personally, don't like looking at the bid*ask bars with numbers of contracts filling the bars in the Market Delta charting package or the OFA software; this is a personal preference, and I know many traders that swear by Market Delta. I think many Market Delta users will be very intrigued by the robust trade pattern logic built into OFA's package, and I think many will be attracted to OFA's emphasis on actionable criteria first and not a toolbox of charting possibilities. That said, I prefer to look at range bars (like .75 renko with wicks in InvestorRT) and volume bars...visually the data makes more sense to me that way. When I see the bid*ask numbers on the bars, I get a little overwhelmed. I can see how someone that uses other charting styles as their main charts could use OFA's proprietary bars as an additional signal and complimentary view of data. Kam Dhadwar over at L2st.co.uk has a chart setup like this with Market Delta where he looks over at the bid*ask bars as a sort of signal chart and has several volume bar charts open to look for entries and manage trades.

 

The sales structure of their software and education doesn't appeal to me, but may be great for others. For $99 you get the basic proprietary charting or $1200 for lifetime lease, but for all the cool trade signal and conditional order entry indicators you have to purchase each of those separately, for an additional $1600 total if you purchased all 4. Then, there's the educational packages, which are probably pretty good, especially for trading the liquid futures markets. If a market student decided they wanted to go "all in" software and education with OFA, we're looking at $6000+. What is a nice feature of their "apprentice" package for $3600 is that includes $25/month for life access to their online trading room led by DB.

 

I think that the OFA system will appeal to traders that don't currently have a profitable system and feel the need for foundation education to day trade the ES and liquid futures markets. From my experience, OFA as a company seem to be genuine traders crafting some neat tools and actually trading them everyday. In the age of information/resource sharing that we live in where companies are giving more free services to the public, I feel like OFA's pricing structure would attract more potential customers if they went with a simpler $99/month for software and partial trading room access, $1200 total software+tools lifetime lease, and $1200 for total education package plus $25/month total trading room access. This would put the price point around $2400, which I think would attract more traders that don't yet have a profitable system. This is my personal bias as someone with an entrepreneurial spirit, and I am by no means saying that OFA does not deserve the prices they have set, as they've clearly spent a great deal of time and energy in research and development.

 

Order Flow Analytics is a new company and I'm curious to see how their tools & offerings evolve. I wish them the best.

[dandxg 10]

Well,

 

Today was my first day in their demo. As I told George I am cautious skeptic, but I am impressed so far. He is quite giving of his time and is willing to spend as much time as need be. I don't want to regurgitate everything already mentioned but their software does an excellent job of organizing and quantifying time and sales data into a manner I have not seen done before. More detailed than market delta. DB is a good guy too and calls trades well.

 

Will I sign up? I am going to reserve full judgment til the end of the trial.

 

Without a doubt I would recommend taking their demo and attending the NT webinar. And no I am not an affiliate.

[bgtrader 10]

I can't help but think they would make a lot more money if they raised their monthly fee to $150 and didn't require any one-time initial fees. A trader who stayed with them for even one year would give them substantially more revenue than the one-time fees generate, and traders who stay with them for longer would be a goldmine for them year after year.

 

I completely agree; I think $150/month for software and room would attract a serious crowd of students/traders. Maybe another option to work in their education could be to pay $1500 for 12 month commitment to the software and trading, and for that $1500 upfront, they throw in the course/bootcamp. Easily find a few hundred traders imho. I hope OFA reads this post and offers something like this. The more streamlined price structure of just 2 options makes it all easier on the eyes and more attractive for a long term committment :dito

[electroniclocal 10]

 

--their bar logic is interesting and forms based on price probes into areas and then when certain changes in order flow happen during a probe, a new bar may form. I went through examples of charts on their website and in youtube videos, where I counted the bid volume and the ask volume of each bar and compared that to the total delta that's listed after each bar forms....interestingly, I was off each time, and this leads me to believe that they have a proprietary way of adding to the bar delta perhaps after certain criteria are met near the high volume node or other criteria. It's not as simple as total delta of the bar imho. They mention phrases like algorithmic trade patterns on their site and have a trading course that is loaded with an auction market pattern section, so I'm assuming that their is an advanced market profile pattern logic in the bar formation and the trade signals.

.

 

What a great post and a service to us all. Thanks bgtrader!

 

I looked at the site too and what jumps out at me from your post and what I saw is that this software, as smooth and slick as its is, is really a black box to a large extent.

 

I'm from the old school who would rather pay to learn how to fish than to rent someone's automatic fishing machine because it means:

1. I never learn to fish for myself

2. If they charge too much more for the machine in the future, maybe I can't afford it

3. If they close up shop and move away, I'll starve, and finally,

4. If the fish change and decide they don't like that bait any more I'm in the same situation as #4 above.

 

I've been at this for a long time and have probably used most software out there. Most of that software doesn't exist anymore except perhaps Tradestation, but the technology has moved on from them.

 

There seems to be quite a number of these companies with "proprietary" software that may or may not provide profitability in the short term. And some of these are well intentioned. But someone who is looking to get into trading as a business should, in my very unhumble opinion, make a decision whether they really want to build their house on what could turn out to be sand in the long term.

[BlowFish 10]

If you break a very good data down at the EOD and verify the days bid/ask run (with like a DTN NXCORE feed) you will see there are absolutely no problems.....during fast periods or slow. With Investor RT Cumulative Delta volume study and the basic DTN.IQ data feed or with Ninjatrader running the GonCD with Zenfire feed, the days bid/ask runs match up with a verified feed daily look at a days bid/ask run......even after the recent CME data flow increase to "retailers" type feeds.

 

I myself, since I constantly track for the accuracy of the Cumulative Delta with various feeds, have found no problems of improper plots of the CD from the few feeds I use.....so far so good.

 

Does anyone provide a feed with any sort of bid/ask history? even a days worth would help. Obviously it would need to be time stamped or sequenced in with actual trade data. From this post it would seem DTN does. More days would of course be better, how much do they (DTN) provide? I travel a lot and so even if I leave a PC collecting data in one particular location any tools I rely on (like cumulative delta) I would need to get up and running on my laptop..... that may well be away from the internet for a day or two.

 

Non tech heads might want to ignore this paragraph___ Does TickTypeEnum.AtAsk and TickTypeEnum.AtBid enumerate correctly in Ninja 6.5? I have heard in no uncertain terms it does not...that is the reason that people write to the the R|thmic API in fact I have seen criticism of the Zenfire API for getting stuff 'wrong' that R|thmic gets 'right'. (and so by definition Ninja 'gets it wrong'). Maybe no big deal I don' think 100% accuracy is required. ......Also be very wary of Tradestation and Multicarts most (if not all) the easy language code that deals with this stuff (I have contributed some myself) uses 'insidebid 'insideask' reserve words. These return the current best bid or ask not the value when the tick occurred. (The rumour is that is the issue with TickTypeEnum.AtBid If I could be inclined to, I would check it against using event driven processing ...OnMarketData I think it is called).

[BlowFish 10]

BG thanks for taking the trouble to post a synopsis of your conversation. The new bar seems to be the 'secret sauce' bit of there work. There are several ways (that make some sense) you could pre process the delta before deciding whether to start a new bar. Obvious ways are some sort of normalisation....maybe by as simple a metric as range or total volume. I've always though constant delta bars might be interesting. Another way is by some sort of an automated 'divergence' type approach. Imho the best ideas are usually fairly simple and I would wager there 'algorithm' is.

 

I'm with EL on this though I don't think I would invest too much time in something that I could not build for myself if necessary. Having said that I do like the simple clean look of it.

[FulcrumTrader 10]

To properly "verify" a days CME run of ES BID/ASK data (from all the days volume data) is a lot of fun (NOT). You need to get a data file of one days un-coalesced ES data (NOT a coalesced data run for the day).

 

Tradestation is JUNK for trying to do bid/ask Cumulative Delta work with their own provided feed (with their own dysfunctional time stamping.....UUGH!!!). Now if you can pump a separate data feed into Tradestation set up for doing Cumulative Delta work (like we all know who) then you can use that charting platform for plotting CD.

 

I have not yet seen any "verified" Cumulative Delta run for the day in the ES (or any other futures instrument) from a MultiCharts user (even though someone may have a proper and working CD.....just never seen one myself yet).

 

BTW, Rithmic built and owns the "Zenfire" feed........"Zenfire" is just a brand name of the feed.

 

 

I remain a very loyal Investor RT Pro user with DTN.IQ feed for my Cumulative Delta work, as this is the only set up I have found to this day that will always match an end of day CME data run. When I take a look at the end of day "plot" of the GomCD Cumulative Delta tool with Ninjatrader running off Zenfire data (and NOT TT Fix adapter data) I can get a match with my Investor RT Pro set up. It would really be nice though if we had more options for PROPERLY tracking the Cumulative Delta plot each day. My next BIG project will be trying to get everything I do with my current Cumulative Delta capabilities set up into TradeVec for futures use......that will take some time (and work with my programmer....oh what fun!).....LOL!

Edited December 10, 2009 by FulcrumTrader

[bgtrader 10]

I'm with EL on this though I don't think I would invest too much time in something that I could not build for myself if necessary. Having said that I do like the simple clean look of it.

 

I totally hear you Blowfish. I like scanning the horizon's for ideas on how traders/programmers visualize data differently but prefer self-reliance. The charts that Fulcrumtrader has crafted for himself with .75 range renko bars with wicks and cumulative delta underneath, in Investor RT, really opened my eyes to simple clean charts. What's neat about the renko bars is their ability to make pivoting action really pop out at you, the major drawback being that traditional renkos don't show you the excursion of price above/below your set range. But, now several charting packages offer renko + candle wicks, so you get the whole picture. OFA's thing with rotation bars is interesting; I feel with a little auction/market profile adaptive structures where you can set the volume profile start points, plus renko+wick range bars and cum delta it's kind of like a poor man's OFA. The pivots jump out at you, the rotation volume profile structures are there for you to see, and you can do the bid/ask institutional inventory analysis on your own. Linnsoft's InvestorRT and Market Delta do that pretty easily, as does Sierra Charts I believe. Here's Fulcrumtrader's link on charthub, showing tons of such charts.

Charts by user | ChartHub.com

Normal range bars work too, but there's something really nice about renko's ability to focus our eyes on pivoting action in price. You throw in some home cooked trade intensity and that's a seriously clean signal chart .

 

By the way, here's a quote from Iqfeed.net's site concerning their data feed:

"30 calendar days of tick (includes pre-post market) and several years of 1-Minute history (Forex back to Feb 2005, Eminis back to Sept. 2005, Stock/Futures/Indexes back to May 2007) retrieval for charting and time & sales data "

I'm fairly certain the bid/ask history is 30 days, and I'm curious by their mention of time & sales data along with several years of 1min history...could that mean that with the grainularity of 1min sampling, we can get time & sales history of several years. I'm calling them tomorrow to ask.

[pfx111 10]

Fulcrum, let me understand,please.

Are you saying that the GomCD(NT) + ZenFire feed offers a *NOT* reliable image of the Cumulative Delta action (with a wrong bid/ask classification)?

So that Only Investor RT Pro + DTN.IQFeed can offer a reliable Cumulative Delta analysis?

 

 

Thanks

 

To properly "verify" a days CME run of ES BID/ASK data (from all the days volume data) is a lot of fun (NOT). You need to get a data file of one days un-coalesced ES data (NOT a coalesced data run for the day).

 

Tradestation is JUNK for trying to do bid/ask Cumulative Delta work with their own provided feed (with their own dysfunctional time stamping.....UUGH!!!). Now if you can pump a separate data feed into Tradestation set up for doing Cumulative Delta work (like we all know who) then you can use that charting platform for plotting CD.

 

I have not yet seen any "verified" Cumulative Delta run for the day in the ES (or any other futures instrument) from a MultiCharts user (even though someone may have a proper and working CD.....just never seen one myself yet).

 

BTW, Rithmic built and owns the "Zenfire" feed........"Zenfire" is just a brand name of the feed.

 

 

I remain a very loyal Investor RT Pro user with DTN.IQ feed for my Cumulative Delta work, as this is the only set up I have found to this day that will always match an end of day CME data run. When I take a look at the end of day "plot" of the GomCD Cumulative Delta tool with Ninjatrader running off Zenfire data (and NOT TT Fix adapter data) I can get a match with my Investor RT Pro set up. It would really be nice though if we had more options for PROPERLY tracking the Cumulative Delta plot each day. My next BIG project will be trying to get everything I do with my current Cumulative Delta capabilities set up into TradeVec for futures use......that will take some time (and work with my programmer....oh what fun!).....LOL!

i

[electroniclocal 10]

Let me chime in here. eSignal data is great. You can subscribe to Data Manager Only (no charting) at a lower price but need to switch an entitlement on for MD footprint and CVD:

 

Overview: The MarketDelta Footprint requires not just last price data, but also the quotes at the time of the trade. This information is usually send with real time data but NOT with historical data backfilling requests. This is something that is more recent and many data vendors are beginning to do because of the surge in data over the past few years as a result of electronic trading proliferation.

 

Resolution: In order to resolve this, there is a required free enablement that you must activate with eSignal by calling them at 1.510.264.1700 and choose option #1. Once it is enabled it will be in the online account maintenance for you to disable later if you choose. This is a FREE enablement at this time.

 

The name of the entitlement is Tick Server Trades and Quotes TSTQ

[pfx111 10]

Sorry.

Misunderstanding...cancel the post.:helloooo:

 

Fulcrum, let me understand,please.

Are you saying that the GomCD(NT) + ZenFire feed offers a *NOT* reliable image of the Cumulative Delta action (with a wrong bid/ask classification)?

So that Only Investor RT Pro + DTN.IQFeed can offer a reliable Cumulative Delta analysis?

 

 

Thanks

 

i

[cls71 10]

I thought that E-Signal was a great datafeed. At 18-ago-2009, I received a print with volume zero from e-signal for eurostoxx (FESX-09-09) and my indicator crashed.

From that day I only use Zen-Fire.

 

 

About OFA, I think that can be programmed in NinjaTrader easily. It is very similar to the action bar of fin-alg.com.

The unique problem is know when a new bar is added.

 

I have been watching theirs videos and looks like if a new bar is added when the maximum volume cell is exceeded.

If anybody want collaborate we can program this tool for academic purposes (non-commercial, of course). Only need know the reason to add a new bar.

 

Regards

[FulcrumTrader 10]

Just to clarify.......NinjaTrader w/Zenfire is good for CD work.

 

Esignal is NOT always good for CD work (why I have no idea) as I have been seeing way to many with CD plots running off Esignal data in the past months with problems on occasion. The best feeds I have found at this time for proper CD work are the following;

 

DTN.IQ (I use this feed myself with Inv RT Pro charting)

Zenfire (I use this set up for my Ninjatrader platforms)

TT regular feed (NOT TT Fix adapter feed....that one has issues that TT is working on)

CQG

 

Other feeds that I have NOT yet been able to verify work properly are the following for CD work;

 

Transact

OEC

Esignal

TT Fix Adapter

IB (total junk data even with DTN.IQ backfill....will NOT work for CD plotting)

Tradestation

 

Hope this helps!

[FulcrumTrader 10]

I thought that E-Signal was a great datafeed. At 18-ago-2009, I received a print with volume zero from e-signal for eurostoxx (FESX-09-09) and my indicator crashed.

From that day I only use Zen-Fire.

 

 

About OFA, I think that can be programmed in NinjaTrader easily. It is very similar to the action bar of fin-alg.com.

The unique problem is know when a new bar is added.

 

I have been watching theirs videos and looks like if a new bar is added when the maximum volume cell is exceeded.

If anybody want collaborate we can program this tool for academic purposes (non-commercial, of course). Only need know the reason to add a new bar.

 

Regards

 

The new bars "flip" at statistically significant order flow transitions.....what the OFA group has built up makes a lot of sense to me and I give them credit for another way to see the order flow as it shifts.

[paolfili 10]

FulcrumTrader, from what I' ve understood ,you are talking (about OFA methodologies goodness) for the *short* timeframe setups(the "when"), while the "inventory grab" method shows the direction for longer time_frame setup (the "where").

Can you confirm?

 

Thanks

 

 

The new bars "flip" at statistically significant order flow transitions.....what the OFA group has built up makes a lot of sense to me and I give them credit for another way to see the order flow as it shifts.

[natedredd10 10]

I totally hear you Blowfish. I like scanning the horizon's for ideas on how traders/programmers visualize data differently but prefer self-reliance.

 

data visualization is a well studied field of thought, you just have to step outside the bounds of retail trader garbage to find it. Just search for "data visualization" on amazon and you will find more books than you care to buy. For discretionary traders that field of thought should go hand in hand with the field of:

Exploratory data analysis - Wikipedia, the free encyclopedia

Those two combined are basically the well explored science of what you are trying to do as a discretionary trader...The weak link in the chain though is software wise and trying to impliment unconventional data visualization ideas.

While I welcome any unconventional market data visualization software...the entire concept of volume "delta" is extremely flawed as far as real time market mechanics..

While I think the market delta software set to plot "delta bars" is better than anything else commercially available, its still absurdly far from optimal because its knowingly sacrificing the most precious information for ease of implementation.

It doesn't take a genius to figure out that size at the bid - size at the ask, completely cuts off any information as far as the relationship between the two distribution wise.

[FulcrumTrader 10]

FulcrumTrader, from what I' ve understood ,you are talking (about OFA methodologies goodness) for the *short* timeframe setups(the "when"), while the "inventory grab" method shows the direction for longer time_frame setup (the "where").

Can you confirm?

 

Thanks

 

Yes you are correct......I like what OFA has built for tracking the "when" moment as I call it for the specific trade entry decision point. The "where" to get into a trade would be like tracking price back to a zone of resting inventory while looking for a Delta Divergence, Hidden Divergence, Inventory Grab, etc.

[davewolfs 10]

I'd still like to know what benefits of cumulative volume delta have past the day time frame.

 

The only use that I have found for cumulative delta is when we are making a new swing high/low it is a good indicator of knowing how hard/easy the market is capable of pushing over with respect to the state it was in that last time that level was visited (think a heavy rock on the tip of a pyramid, sometimes it's more lopsided then other times making it easier to push over). It's also helpful in determining how a trading range might be balanced even though price bars appear flat.

 

If you look at pullback, say for example the market is in a bear trend, you will notice that even though prices pullback, cumulative delta will usually further increase in the direction of the trend, a pullback like so is usually a high probably second entry into an existing trend for that day assuming this isn't taking place at a major level of confluence.

 

And as BlowFish has stated, for every buyer there is a seller. You have to consider too that positive delta doesn't imply real buying, think short covering.

 

IMO, volume can be a lot more useful then delta. Looking at this chart, it's not surprising why we might have been stuck in trading range these past two trading days.

 

 

Notice something about each swing high/low?

 

 

While we are on the topic, have any of you explored looking at depth ratios?

 

Edited December 12, 2009 by davewolfs

[GoldStandard 10]

Here's a link to their recent webinar: Trader Kingdom - Order Flow Analysis in the eMini S&P 500

 

He explained that the COT number is not the net delta for the period , but the delta 'since the last temporary exchaustion'

 

Interesting stuff.

 

That was an interesting screenshot of depth ratio indicators davewolfs. Was that a neoticker indicator?

[i trade 10]

Excellent thread...good job by all who have contributed, let's try and keep it going. Personally I believe 100% that order flow/auction theory is the only information one needs to trade profitably. That being said, there are many different ways and tools to use in order to interpret order flow. I agree with Fulcrum and electroniclocal in that to much information can be detrimental. Also, the last thing I want to do is get used to trading with someone's proprietary software and then find out one day, for whatever reason, that I can't use that software to trade with anymore. That would not be good for the psyche.

That being said, I am always interested in learning more about order flow and how other people use it to trade successfully. I actually talked to OFA a while back because their software does look interesting. From watching their intro videos it seems to me that something very important to them is not only the actual delta from the current auction but also the location of poc/hi volume node. Seems like when volume starts to build rapidly and the poc comes close to the hi/lo of the current bar then they look for climactic type of activity to start a new auction bar in the opposite direction and trap e1 who just sold the low or bought the high but I see that on a .50 range volume candle chart. Plus, I would expect these climactic events to be occurring at levels that I am already watching myself. To be frank I think it's just taking the exact same information I look at now and just presenting it in a more organized way. But if it can continuously get me filled a tick or 2 better and help automate things a little bit.... Any comments? Anyone here actually using the software live? I have not seen the software operate in real time yet.

 

Besides trading the ES I also use orderflow/auction theory to trade currencies without actual trade volume, only tick volume. All the same basic principles still apply.

Way too tired to type anymore....look forward to exchanging ideas.