Today's Action by Intelligent/Predictive Agents

[UrmaBlume 10]

Today's (04/27) action in ES has offered better trading opportunities than we have seen in that particular contract in some time.

 

In This Thread I discussed the practical applications of some of the predictive agents we use in our trading.

 

These agents receive inputs from time of day normalized percentage of normal commercial participation and bias as well as a host of bias inputs calculated as described in This Thread. This information is stored in global variables and processed by the agents working on that particular chart.

 

The agents then auto-post TradePoints or NoTrade recommendations. We define a TradePoint as a particular point in the Price/Time/Volume continuum where a specific action is recommended.

 

Here is a shot of some of today's action showing such a recommendation. These texts are updated every tick and are for the current bar. The smaller red dots are stops, the small blue dots are take profits for scalpers and the + is a recommended entry price.

 

 

[cunparis 10]

Hi Urma, I've been following your threads with great curiosity. I've done a lot of research into volume and written several indicators to help me analyze volume and use it in my trading. I have a trade intensity indicator but it's no where near as sophisticated as yours.

 

I'm really curious how you classify volume as "commercial". Currently I do this by looking at above average trade size. From reading your posts, if I understand correctly, a large trade size isn't the smart money you're tracking. If you could elaborate on how you classify commercial activity that would be very helpful.

 

Thanks

[boomerangas 10]

I've been following all the threads, started by UrmaBlume and i've developed trade intensity indicator. Personally i don't know is it 100% replica of original TI but it seems that UrmaBlume keeps this secret because he doesn't answered to any of my questions, just gave some hints. I like blowfish's idea and am sharing this idea. It would be interesting to hear UrmaBlume, but here is my opinion:

velocity of trade = price/time. Trade intensity = velocity of trade/time. Really my indicator measures with a 1/1000 sec precise how fast timestamps are moving and is it buying/selling tick. You could often observe, that commercial volume entered at specific levels ( pivots, trendline break and so on ), where all the retail traders are ripped. I observing this abnormal volume comparing this to the normal volume at this moment of the day and am calculating the total volume which have occured at these spikes. The total volume at the spike = acuumulated/distributed commercial volume. It seems that it works in some way for me, doesn't so good as for UrmaBlume but good enough too. Red spikes - buying volume, blues spikes - selling. Today accumulation have taken the place in three steps ( screenshots ). Just calculate volume on these spikes and you'll get commercial LONG volume. Would be interesting to see pictures from Urma.

Edited May 19, 2010 by boomerangas

[UrmaBlume 10]

  cunparis said:

Hi Urma, I've been following your threads with great curiosity. I've done a lot of research into volume and written several indicators to help me analyze volume and use it in my trading. I have a trade intensity indicator but it's no where near as sophisticated as yours.

 

I'm really curious how you classify volume as "commercial". Currently I do this by looking at above average trade size. From reading your posts, if I understand correctly, a large trade size isn't the smart money you're tracking. If you could elaborate on how you classify commercial activity that would be very helpful.

Thanks

 

Certainly size can show you that the commercial is present, i.e., the 2 lot trader never trades a 100 lot.

 

The issue with the efficacy of this approach is that you need to differentiate between commercial spec trades and commercial permium aribtrage.

 

The commercial who trades for premium capture doesn't care about price, he only cares about the ROI offered by the current permium level.

 

The commercial spec trader cares nothing about premium.

 

My head of technology has had 3 offers from 3 different hedge funds in the last 6 mos to build technology to disguise just such entries.

 

cheers

 

UB

 

Size alone is useless for this work.

 

PS Does anybody know what's wrong withthe search engine. I can search usernames but not keywords.

[brownsfan019 17]

  boomerangas said:

I've been following all the threads, started by UrmaBlume and i've developed trade intensity indicator. Personally i don't know is it 100% replica of original TI but it seems that UrmaBlume keeps this secret because he doesn't answered to any of my questions, just gave some hints. I like blowfish's idea and am sharing this idea. It would be interesting to hear UrmaBlume, but here is my opinion:

velocity of trade = price/time. Trade intensity = velocity of trade/time. Really my indicator measures with a 1/1000 sec precise how fast timestamps are moving and is it buying/selling tick. You could often observe, that commercial volume entered at specific levels ( pivots, trendline break and so on ), where all the retail traders are ripped. I observing this abnormal volume comparing this to the normal volume at this moment of the day and am calculating the total volume which have occured at these spikes. The total volume at the spike = acuumulated/distributed commercial volume. It seems that it works in some way for me, doesn't so good as for UrmaBlume but good enough too. Red spikes - buying volume, blues spikes - selling. Today accumulation have taken the place in three steps ( screenshots ). Just calculate volume on these spikes and you'll get commercial LONG volume. Would be interesting to see pictures from Urma.

 

Interesting screenshots boomerangas. Are you able/willing to share the code you use to construct these?

[boomerangas 10]

Smart man, smart trading soft, smart answers . Really, no answer what is commercial volume by your mean, but it's your choose you have provided enough of valuable info for us.

What's regarding the size of the trade i think it's useless because either large order is splitted and is shown as iceberg order. Example: 100 lot order is traded as 1-2-1-2-1-2-1-2

in matter of seconds. Either more often variance order is not shown at all - the price is driven to the "retail points" as i have mentioned above ( weekly trendline, 52 week high/low, swing high/low, fibonacci and so on ), this level is VIOLATED, stops were hit, and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example. Look, what happened: price was driven to the 1100 level on ES, this level WAS VIOLATED, stops WAS COLLECTED by a passive commercial, which have putted the large bid which was not shown to any trader. Now we are ready to rebound on a daily charts? Let's see... What's regarding inventory here are another examples. As on Daily basis distribution on ES have taken place at 1165-1180 level, anything above was just stops running. You could see this on MarketProfile graphs and just with analyzing NET cumulative delta in either bloomberg soft either in any other like MarketDelta. Then, price was driven to the <1140 level, stops were hit, liquidity removed, market flash crashed on the may 6 and all this inventory was unloaded at ~1060-1090 level. Someone wanted quick profits and not to wait for a weeks when price will come to this point because of risk of rising economies. As i think all the UrmaBlume examples of TI was shown at these "intraday reaction points", because if you are large operator you need to create buying power or selling power. Market just oscillating between these points and i think we must primary track this, and intensity indicator just helps here.

With my respect to UrmaBlume i will not share neither sell my indicator, we have put tremendous amount of work in it and i don't need money. Instead, i could exchange it to some fresh genious ideas in trading volume.

 

  UrmaBlume said:

Certainly size can show you that the commercial is present, i.e., the 2 lot trader never trades a 100 lot.

 

The issue with the efficacy of this approach is that you need to differentiate between commercial spec trades and commercial permium aribtrage.

 

The commercial who trades for premium capture doesn't care about price, he only cares about the ROI offered by the current permium level.

 

The commercial spec trader cares nothing about premium.

 

My head of technology has had 3 offers from 3 different hedge funds in the last 6 mos to build technology to disguise just such entries.

 

cheers

 

UB

 

Size alone is useless for this work.

 

PS Does anybody know what's wrong withthe search engine. I can search usernames but not keywords.

Edited May 20, 2010 by boomerangas

[cunparis 10]

  boomerangas said:

Smart man, smart trading soft, smart answers . Really, no answer what is commercial volume by your mean, but it's your choose you have provided enough of valuable info for us.

 

I don't need answers, just some hints. I've spent a year investigating about volume, prototyping, etc. so I find it fascinating.

 

  Quote

What's regarding the size of the trade i think it's useless because either large order is splitted and is shown as iceberg order. Example: 100 lot order is traded as 1-2-1-2-1-2-1-2

 

The question is does the pro split into 1-2 lots or 10-20? That makes a difference.

 

  Quote

in matter of seconds. Either more often variance order is not shown at all - the price is driven to the "retail points" as i have mentioned above ( weekly trendline, 52 week high/low, swing high/low, fibonacci and so on ), this level is VIOLATED, stops were hit, and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example. Look, what happened: price was driven to the 1100 level on ES, this level WAS VIOLATED, stops WAS COLLECTED by a passive commercial, which have putted the large bid which was not shown to any trader. Now we

 

This low yesterday is a good example. My paintbar colors blue & magenta for above avg trade size and yellow for below average. Here's what the bottom looked like:

 

 

Up until now I had thought that small trade size = amateurs. I often see yellow bars at the high or low of a move. I thought it was amateurs caught on the wrong side. But now I think it could also be the smart traders who split their orders into small lots. Often the yellow bar will come after the low, that could be the smart traders buying without driving price up and without showing a large order on the book.

 

This idea of detecting splitting has opened up a whole new set of doors for me.

 

Here is an example of my "pace of tape" indicator which measures the intensity of ticks but doesn't (yet) use volume. Anyone interested can find a short video about it and download it for Ninjatrader & Multicharts from my blog.

 

 

It's not comparable to urma's but it has been a great learning experience for me.

[BlowFish 10]

  boomerangas said:

 

....... and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example.......

 

This is something that is really quite important. Most of the approaches that start with the premise that trade direction can be determined by looking at the last price with respect to best bid and ask neglect this phenomena. An advance can be stopped by aggressive buyers running out of steam or by passive sellers standing firm.

[boomerangas 10]

I'd like to suggest to you, blowfish, as to the good programmer to write some indicator which measures passive pressure to the price. Let's say trendline was breaked to the downside, volume is rising, it's selling volume but price is going nowhere. Or it is going down just for a 2 ticks, when, comparing to the normal volume, which is taken from the past ( database ) it should go for a 10 ticks down. As a result there is some passive buying activity here. I think we should measure volume/price changes to determine how do volume affects price comparing to the normal activity to gain some edge in these markets. What do you think, is there any way to measure this?

[cunparis 10]

  boomerangas said:

I'd like to suggest to you, blowfish, as to the good programmer to write some indicator which measures passive pressure to the price. Let's say trendline was breaked to the downside, volume is rising, it's selling volume but price is going nowhere. Or it is going down just for a 2 ticks, when, comparing to the normal volume, which is taken from the past ( database ) it should go for a 10 ticks down. As a result there is some passive buying activity here. I think we should measure volume/price changes to determine how do volume affects price comparing to the normal activity to gain some edge in these markets. What do you think, is there any way to measure this?

 

Barry of Emini watch has an indicator that does something similar. It's called "Better Volume", it's free with the source code. it looks for a high volume bar with a small range. The small range means the volume couldn't move the price and it's likely to reverse.

[boomerangas 10]

Yeah, i know that, Cunparis, thanks. Bur really no edge here, because it could be just comercial volume absorbing all the retail traders volume near expected high.

 

  cunparis said:

Barry of Emini watch has an indicator that does something similar. It's called "Better Volume", it's free with the source code. it looks for a high volume bar with a small range. The small range means the volume couldn't move the price and it's likely to reverse.

[SIUYA 11]

just to add spice to the mix.:2c::2c::2c:

If you think you can actually determine who is buying or selling - then you are kidding yourself.

Nice intellectual idea, however even determining who is the smart/dumb money, institutional/commercial/retail money is irrelevant. Nice idea to chop everything up and look at the markets in a different manner..... however looking at a market differently will not change how the market moves.

 

If determining weather or not certain trade patterns in volume help determine as a filter a continuation or reversing pattern...... then maybe there is value.

It all seems to boil down to the whole conundrum of context and pattern recognition.

 

There are too many assumptions to believe that you can tell who is doing what, and more importantly the relevance of the situation. Professionals get it wrong just as often as others, and quite frankly for futures its a zero sum game, so how is all this relevant.

What is the relevance of another indicator?

[UrmaBlume 10]

  SIUYA said:

just to add spice to the mix.:2c::2c::2c:

If you think you can actually determine who is buying or selling - then you are kidding yourself.Nice intellectual idea, however even determining who is the smart/dumb money, institutional/commercial/retail money is irrelevant. Nice idea to chop everything up and look at the markets in a different manner..... however looking at a market differently will not change how the market moves.

 

If determining weather or not certain trade patterns in volume help determine as a filter a continuation or reversing pattern...... then maybe there is value.

It all seems to boil down to the whole conundrum of context and pattern recognition.

 

There are too many assumptions to believe that you can tell who is doing what, and more importantly the relevance of the situation. Professionals get it wrong just as often as others, and quite frankly for futures its a zero sum game, so how is all this relevant.

What is the relevance of another indicator?

 

 

It is an absolute fact that some technical traders can indeed "actually determine who is buying or selling - then you are kidding yourself" and it is also an absolute fact that some others can not

 

The chart below is based entirely on our determination of the balance of trade by commercial traders.

 

You will notice net commercial trade is going straight up. You will notice only blue bars and no selling signals at all.

 

The + is a recommended entry point, the red dot a stop and the blue dot a recommended scalping point.

 

The text suggests the TradePoints for entry, stop and scalp for the current bar and is updated every tick. When there is no recommended trade as when the bars are gray then "NO TRADE" is posted.

 

This chart is from today's open at 0630

 

[UrmaBlume 10]

As of this writing the ES top of 0707 PST Today 05/21 has been good for 14 pts and shows a definite change in sentiment.

 

The 2 charts below reflect some of the ways we read the formation of extremes in real time.

 

The first chart shows a strong negative divergence between the balance of commercial trade and price.

 

The second chart shows the huge intensity selling spikes that formed the extreme at 0706one minute BEFORE the absolute high price.

 

 

 

Spikes in Commercial Intensity (Selling)

 

[boomerangas 10]

Can't agree with you. There is several ways how to filter out "smart money" and "dumb money", it's very difficult to trade it, because more often than not it's counter-trend moves and it's more context trading, not pure mechanical trading. You should use your brains to analyze what's trying to do commercial's brains.

Yes, i agree futures is a zero-sum game but look, GS and JPM made money at the first quarter EVERY single day. It averaged 25m-100m a day. How do you think where all the money came from amd who are on the loss side ?

Question to Urmablume:

Could you post earlier overnight screenshots of the action of predictive agents. I think any agent and any indicator wasn't able to predict today's short covering rally because all the night till 6.30 am commercials was pushing price down just to violate 1158 and 1156 levels. At 6.30 came pure reversal trend trade occured.

 

QUOTE=SIUYA;96859]just to add spice to the mix.:2c::2c::2c:

If you think you can actually determine who is buying or selling - then you are kidding yourself.

Nice intellectual idea, however even determining who is the smart/dumb money, institutional/commercial/retail money is irrelevant. Nice idea to chop everything up and look at the markets in a different manner..... however looking at a market differently will not change how the market moves.

 

If determining weather or not certain trade patterns in volume help determine as a filter a continuation or reversing pattern...... then maybe there is value.

It all seems to boil down to the whole conundrum of context and pattern recognition.

 

There are too many assumptions to believe that you can tell who is doing what, and more importantly the relevance of the situation. Professionals get it wrong just as often as others, and quite frankly for futures its a zero sum game, so how is all this relevant.

What is the relevance of another indicator?

[UrmaBlume 10]

  boomerangas said:

Question to Urmablume:

Could you post earlier overnight screenshots of the action of predictive agents. I think any agent and any indicator wasn't able to predict today's short covering rally because all the night till 6.30 am commercials was pushing price down just to violate 1158 and 1156 levels. At 6.30 came pure reversal trend trade occured. ?

 

Boomerangas,

 

All you have to do is read the strong buy intensity spikes that were right after the open and look at the first chart below which nailed the entire run up.

 

There were specific entry points (all buys) by our agents for the whole move up. The 2 charts below show the formation of the top. Buying from 3 mins after the open until the very top at 0707 when a sell was given as demonstrated in this post.

 

[cunparis 10]

  UrmaBlume said:

As of this writing the ES top of 0707 PST Today 05/21 has been good for 14 pts and shows a definite change in sentiment.

 

Urma,

 

can you post your chart for the time around 10 minutes earlier? I got several spikes on my chart and I'm curious if you have the same. Your 7:07 is my 16:07.

 

[cunparis 10]

and a half hour later another spike which sent prices up.

 

[UrmaBlume 10]

  cunparis said:

Urma,can you post your chart for the time around 10 minutes earlier? I got several spikes on my chart and I'm curious if you have the same. Your 7:07 is my 16:07.

 

Sure.

 

Here is a shot of the signals given by the intelligent agents described in the OP from just before the local extreme at 0707 until the recent new high.

 

Gray bars - NO TRADE, blue TradePoints, Long - Red for shorts.

 

[cunparis 10]

  UrmaBlume said:

Sure.

 

Here is a shot of the signals given by the intelligent agents described in the OP from just before the local extreme at 0707 until the recent new high.

 

Gray bars - NO TRADE, blue TradePoints, Long - Red for shorts.

 

[/center]

 

Thanks. I would like to see your spikes for 6:45 to 7:07 your time.

[davewolfs 10]

Just a couple of points.

 

1. You do not need trade intensity to understand where turning points occur.

2. If you are intimately familiar with the ES, you can get a good understanding of the size of prints which occur at major reversal points.

3. In a Bull as strong as what we had this morning, it was not difficult to understand where to pick pullbacks, all you needed to do was wait for a confirmed change in momentum and price indicators alone were sufficient for this.

4. If you did your homework you would notice that intensity spikes likely took place at High Volume and Low Volume Nodes on a volume profile. Viewing the prints alone at these levels were indicative that heavy volume was being unloaded in these areas in a very tight congested range following up to these points of confluence. You did not need trade intensity to determine this.

 

There is no "perfect" way to trade and many of the topics described in this thread can be replicated using market delta. If you can understand orderflow and choose areas where you think institutions are likely to participate you can do fine with just the DOM, prints at a given price, delta and a volume profile chart.

 

Re Urmablume's charts. Whatever they are, the one showing the negative divergence can be replicated using delta momentum in market delta. Perhaps it might not be exact, but the chart that I use looks nearly identical to what UM has posted.

 

Try watching trade intensity during a bear and it will spike to your hearts desire. These spikes do not necessarily imply that it's time to buy (or sell).

 

Cheers!

Edited May 22, 2010 by davewolfs

[SIUYA 11]

Interesting.....I am sure if you can actually front run (otherwise why say this is predictive?) or even tell exactly what goldmans and morgans etc are actually doing in terms of their trades then they would be very happy and interested to hear that.

If you have worked inside some of these places you will understand where they make a lot of their money - market making not trading, OTCs and options. Additionally a lot of the time, they are not 100% sure of where they make their money trading and tracking all their positions.

For a good laugh on this point read the Big short, and have a think about the recent GFC.

 

I have no problems with indicators that track divergences, volume and the like, it is just as a natural born skeptic find it hard to believe someone can make the claim as fact they are tracking actual orders for certain clients and market participants. I am sure this is not what is being claimed.

As was mentioned, a lot has to do with context and discretion and common sense and this indicator can help visualize elements of that.

(please take this in a positive light of a discussion point, not as an attack on anything in particular, except claims of fact that are next to impossible to prove)

[justtrade01 10]

So, ultimately, is it possible or not, to differentiate the actions of Big Players at important price points.

 

Specially after this CME change issue !

 

Can we reconstruct the Big Lot trades, which are being chopped into small sizes and being fed into the markets as "passive stop trades", or sometimes as "active market trades" also ?

 

It is not necessary that such big orders get executed into smaller trades within a distance of just a few milliseconds. It might get executed in few seconds interval also, which makes the stuff complex. Otherwise just combining the same direction trades within few milliseconds might have given some results.

[boomerangas 10]

My answer will be very simple. Any indicator, any ultra high-speed quant trading system, as Urma's system or reproduced TI indicator which i'm using DO NOT provide ultimate edge. You can't automate these things, because the very first channel of the price will wipe out all the earlier profits. Could these things help? For sure yes, but it's not uncommon to see the high intensity spikes near support/resistance levels, for the price just to pop up from here for several ticks and to break support/resistance just a few seconds later. I think UrmaBlume could would agree with it. You can't know who's driving move either commercial, which trades on 240 min timeframe either much larger, which basically trades on weekly timeframe an he covered 1/100 of his position on the spike just to throw price much much lower later. Personally i'm watching support/resistance, spikes near here, delta divergence in MD soft, cumulative delta, but the main thing is VALUE and where do Institutionals plan to accumulate/unload inventory, as i said in earlier posts. Yesterday HUGE short inventory was unloaded at the <1058 level, which was accumulated at 1165-1180 level. Any TI indicator couldn't tell you is it real breakout or just the shorts unloading inventory. So i'd suggest to just observe inventory and cumulative delta studies, or to trade pure order flow. Will it be delta studies, candlestick patterns or pure trendlines any volume/divergence/intensity indicator will be just a 10% helper here. I think the ultimate edge of UrmaBlume studies is not his indicators but himself with 30+ years of expirience, if for sure he is profitable trader.

 

 

 

QUOTE=SIUYA;96936]Interesting.....I am sure if you can actually front run (otherwise why say this is predictive?) or even tell exactly what goldmans and morgans etc are actually doing in terms of their trades then they would be very happy and interested to hear that.

If you have worked inside some of these places you will understand where they make a lot of their money - market making not trading, OTCs and options. Additionally a lot of the time, they are not 100% sure of where they make their money trading and tracking all their positions.

For a good laugh on this point read the Big short, and have a think about the recent GFC.

 

I have no problems with indicators that track divergences, volume and the like, it is just as a natural born skeptic find it hard to believe someone can make the claim as fact they are tracking actual orders for certain clients and market participants. I am sure this is not what is being claimed.

As was mentioned, a lot has to do with context and discretion and common sense and this indicator can help visualize elements of that.

(please take this in a positive light of a discussion point, not as an attack on anything in particular, except claims of fact that are next to impossible to prove)

[Tams 20]

  davewolfs said:

Just a couple of points.

 

1. You do not need trade intensity to understand where turning points occur.

2. If you are intimately familiar with the ES, you can get a good understanding of the size of prints which occur at major reversal points.

3. In a Bull as strong as what we had this morning, it was not difficult to understand where to pick pullbacks, all you needed to do was wait for a confirmed change in momentum and price indicators alone were sufficient for this.

4. If you did your homework you would notice that intensity spikes likely took place at High Volume and Low Volume Nodes on a volume profile. Viewing the prints alone at these levels were indicative that heavy volume was being unloaded in these areas in a very tight congested range following up to these points of confluence. You did not need trade intensity to determine this.

 

There is no "perfect" way to trade and many of the topics described in this thread can be replicated using market delta. If you can understand orderflow and choose areas where you think institutions are likely to participate you can do fine with just the DOM, prints at a given price, delta and a volume profile chart.

 

Re Urmablume's charts. Whatever they are, the one showing the negative divergence can be replicated using delta momentum in market delta. Perhaps it might not be exact, but the chart that I use looks nearly identical to what UM has posted.

 

Try watching trade intensity during a bear and it will spike to your hearts desire. These spikes do not necessarily imply that it's time to buy (or sell).

 

Cheers!

 

you are saying a lot of nothing.

 

> 1. You do not need trade intensity to...

 

you don't need anything to do anything...

what the poster showing is "his" way of doing things

everybody knows there are more than one way to skin a cat

 

>2. If you are intimately familiar with...

 

If you are intimately familiar with the market, you can simply read price. You don't need any method or indicators

 

>There is no "perfect" way to...

 

oops... more of nothing again.