Today's Action by Intelligent/Predictive Agents

[cunparis 10]

Firstly, it will depend on the exchange. Different exchanges report differently.

I think the CME will report in the smallest denominator, so your 100 lot bid will print as you receive the fills back 100x1lots.

 

2nd Q: 50x 1 lot prints at 50, 50x 1 lot prints at 75

 

So you're saying it'll print one hundred entries that are size 1? I thought it'd print one entry with size 100. I thought the time & sales printed the market orders. You buy 10 (single order) it prints one trade size 10. Doesn't matter who you bought them from, one person or ten.

[jeffersondaarcy 10]

So you're saying it'll print one hundred entries that are size 1? I thought it'd print one entry with size 100. I thought the time & sales printed the market orders. You buy 10 (single order) it prints one trade size 10. Doesn't matter who you bought them from, one person or ten.

 

Whatever your 10 gets matched with is what CME prints. If there are 10 one-lots on offer, you will see 1 1 1 1 1 1 1 1 1. If there are a two 5 lots, then you will see 5 5.... If there is someone sitting on the offer with a 100 block, you will see a "10" print.

[cunparis 10]

Whatever your 10 gets matched with is what CME prints. If there are 10 one-lots on offer, you will see 1 1 1 1 1 1 1 1 1. If there are a two 5 lots, then you will see 5 5.... If there is someone sitting on the offer with a 100 block, you will see a "10" print.

 

Wow. Thank you for the explanation, I didn't know that. Very interesting.

 

Another question: If I want to detect large traders..

 

larger trader buys 100 and there are one hundred one lot traders on the offer, it'll print 100 trades so I can't detect him. correct?

 

so the only way to detect him would be if there is an even larger order than his on the book and it'll print a single trade 100 size.

 

So it seems pretty hard to detect these large traders. It would seem if one filtered T&S for a size, you'd only get a percentage of the actual large trades.

 

Thanks again I really appreciate the information.

[cunparis 10]

Alas, you're banging your head against the wall. There are many, many flaws with the logic sitting behind this. You have mentioned one. I have mentioned others (on either this or another similar thread). For example, the person you addressed has given thanks to a post since yours, but has not replied. Thus we know he is here, but can not answer.

 

If I understand correctly, you & the other guy are saying the logic behind the trade intensity is flawed. I've seen examples of trade intensity preceding market turns and I'm trying to understand the theory behind it and match that up with the arguments presented here (both for and against).

 

Here is an example today. I wasn't trading at this time but It was the first example I found after the open. This is my own TI indicator.

 

 

I'm curious if we can come up with some kind of explanation. I did not change any of my settings for this example, I've been using the same settings for weeks now. I will admit that mine does not always signal turning points in the same minute as the turn, but it worked very well in the first hour today. In general if I'm not trading the signals seem to work better.

[jeffersondaarcy 10]

1. If you place a 1000 buy market order and it prints 1000, by some people estimation, this would be bearish because someone was sitting on the offer with size (one large seller filled your order). I dont have an opinion on this (whether it is bullish or bearish, provides an edge, etc.) as I've never done in-depth research on this, but my guess would be that it totally depends on context.

 

2. As far as tracking size, think about how you could potentially filter for this considering what information is known (time, price, volume).

[SIUYA 11]

cunparis - "I've seen examples of trade intensity preceding market turns"

 

Just a note, there are probably plenty of examples of any indicator that might be found to do this. So it needs to be seen in context.

 

Also just to add to the debate - I hope without being seen to take sides as this is not the intention - it seems to me that the trade intensity is more about attempting to see a greater than normal volume fire through the market quickly - regardless of who is doing it and weather or not it originated as a buy or a sell.

When you see this, and the market price does not move sufficiently either with the prevailing trend, or as a reaction to it then it can possibly tell you that a "possible" turning point has been reached or at least some resistance or support has been found at this level. combine this with other factors and it might be useful.

This can have value to some one watching it closely enough.

eg; if a normal 1min time frame has 100 contracts trade in it, and the market is ticking up in an orderly fashion, all of a sudden 1000 trade in a minute and the market does not race higher, it implies the market has suddenly reached some resistance. This may imply that the current price may be a short term or even longer term turning point.

 

Can you tell, who it is, or what their intentions - i doubt it, and is this really relevant - probably not. It seems more along the lines of what someone mentioned previously that its a measure of execution styles, and abnormal volume without price movement.

(or I could be totally wrong )

[cunparis 10]

cunparis - "I've seen examples of trade intensity preceding market turns"

 

Just a note, there are probably plenty of examples of any indicator that might be found to do this. So it needs to be seen in context.

 

I totally agree. Right now intensity is one of 6 criteria I'm using. I'll take a trade without it but I notice the bigger trades have intensity behind them.

 

Also just to add to the debate - I hope without being seen to take sides as this is not the intention - it seems to me that the trade intensity is more about attempting to see a greater than normal volume fire through the market quickly - regardless of who is doing it and weather or not it originated as a buy or a sell.

 

This was my original idea but since then I've added code for bid/ask and that has been helpful as well. I'm still working on understanding this. Sometimes selling is exhaustion at the end of a move and sometimes it's the catalyst at the beginning.

[ecubru 10]

IMHO,the logic behind this "trade intensity" is not necessarily flawed, but what it is flawed is the way is being use.

 

If you are small trader, it's not important why or who, the key issue is WHEN. Over focusing in the reasons and the assumptions will only delay the process of understanding that you CANT tame the market. The only thing you can aim is to reduce risk and increase odds. The rest is a game you CANT play without Real Capital. Information, Direct Access to Markets and advanced technology (in terms of execution and algos).

 

I find very interesting all this academic discussion and I am not against all this nice theoretical assumptions but again in practice the use of "trade" intensity" indicator is as good or bad (i will dare to say worst) than using a very basic slow stochastic on overbought/sold areas, especially if you are going to aim for 1or 2 points (you don't even need volume for that, the noise will be enough). At least the latter apart from theoretically give you "exhaustion" areas can also give you a trigger... At end the key if you are going to introduce an indicator (regardless of how sound are the assumption behind it) it has at least have to give you something "new" than can be translated in practice in real improvements on your trades ...again its WHEN not why or who.

 

Same chart with your same areas with a basic stochastic...

 

ecubru

 

If I understand correctly, you & the other guy are saying the logic behind the trade intensity is flawed. I've seen examples of trade intensity preceding market turns and I'm trying to understand the theory behind it and match that up with the arguments presented here (both for and against).

 

Here is an example today. I wasn't trading at this time but It was the first example I found after the open. This is my own TI indicator.

 

 

I'm curious if we can come up with some kind of explanation. I did not change any of my settings for this example, I've been using the same settings for weeks now. I will admit that mine does not always signal turning points in the same minute as the turn, but it worked very well in the first hour today. In general if I'm not trading the signals seem to work better.

Edited June 11, 2010 by ecubru

[cunparis 10]

Same chart with your same areas with a basic stochastic...

 

My first signal was a short and yours was a long.

[ecubru 10]

LOL....

 

Without wanting to start a fruitless discussion. That's exactly my point...what do you gain in practice with that information. "Yes soon will turn around to the short side" so what? by then even if you blindly and naively trade any stochastic signal you will have not only take the long (your "short" alarm) but also catch the perfect entry on the reversal short (the trade short you suppose to take after your alarm).

 

My point is that you are trying to catch a big fish with a small boat based on apparently "rational and logical" assumptions that big players do this or that. In other words it seem to me that this "early" or sometimes not early, as somebody mentioned before, warning signals you are talking about are completely dislocating from practice and common sense. If you are going to use such a small timeframe you get better bang for buck if you trade a very basic stochastic (btw, this is a shame for any "new" trading indicator to perform worst and give less info than a simple stochastic).

 

Obviously if you want to catch a larger swing (as apparently you do) and if you use common sense you just use a longer timeframe.

 

Same day, with the same very basic stochastic but using a longer timeframe. I guess that was the short you wanted to take from your tiny micro chart...

 

ecubru

 

 

 

My first signal was a short and yours was a long.

[cunparis 10]

Same day, with the same very basic stochastic but using a longer timeframe. I guess that was the short you wanted to take from your tiny micro chart...

 

Your short signal was after the high. This thread is about "Intelligent & Predictive Agents". A stochastic cannot be predictive because it lags price.

 

No matter what chart I post, it will be possible to find a timeframe and a lookback period that will give a signal with stochastic. But that doesn't mean one can be profitable trading it. So I prefer not to argue about intensity versus a stochastic. If someone can make money with stochastic then I'm happy for them. I can't.

 

I don't want to convince anyone that trade intensity is the only way to trade. I find it useful as a warning of potential turning points and I'm simply sharing what I see. I find it very interesting from an intellectual point of view. Why it's happening, who is responsible, and what is their motive I find very fascinating but not necessary to make money with it.

[ecubru 10]

Fair enough. In order to conclude the last discussion and try to move on:

 

1. I also like the intellectual and theoretical discussion so I agree with you

2. I didn' use any timeframe and a lookback period for the charts. I didn't cherry pick the charts I use YOUR example and could have chosen at least 140 other indicators with the +/- the same results.

3. I was using the stochastic as an example just to generate the real discussion because it stuck me when I saw that the Inteligent and Predictive agents charts seemed to be less INTELLIGENT AND PREDICTIVE than a basic canned indicator.

4. I also 100% prefer not to argue about intensity versus a stochastic. But i do wanted to discuss the usefulness if any of the "Inteligent and Predictive agents" In the context of the OP.

 

So i leave still the questions open. What are the main difference/benefits/shortcomings (not in the way is calculated...) in performance using or reading this "intensity indicator" over any other indicator. Is it just a lot of mumbojumbo to make it things more complicate than they are?

 

Please don't get personal but get technical. At least for small trader like me, trading is a dynamic process that need to keep the edge often according to market circumstance. so I am interesting in intelligent ideas that can lead to something constructive so I am not interesting in my indicator is better than yours or if you make money with this or that.

 

I am simply challenging the basic assumptions and the real reasons behind this indicator. If you have good arguments please use them otherwise...

 

ecubru

 

 

So lets do discuss INTELLIGENT AND PREDICTIVE discussion

 

Your short signal was after the high. This thread is about "Intelligent & Predictive Agents". A stochastic cannot be predictive because it lags price.

 

No matter what chart I post, it will be possible to find a timeframe and a lookback period that will give a signal with stochastic. But that doesn't mean one can be profitable trading it. So I prefer not to argue about intensity versus a stochastic. If someone can make money with stochastic then I'm happy for them. I can't.

 

I don't want to convince anyone that trade intensity is the only way to trade. I find it useful as a warning of potential turning points and I'm simply sharing what I see. I find it very interesting from an intellectual point of view. Why it's happening, who is responsible, and what is their motive I find very fascinating but not necessary to make money with it.

[TheDude 10]

I agree with these recent posts.

 

Trade Intensity may or may not tell you that something is going to happen. You just dont know. The reason for this is simply:

-Because you just dont know if the intensity of order flow was entering or exiting.

-Because you just dont know if it was covering or initiating

-A hedge

-The time frame they are operating in,

-Part of a larger order being executed in a different fashion

- etc, etc.

 

As someone said, nice chat but of no real use when making money.

 

Besides, only a jub would try to be 'predictive'. A real trader never predicts, but manages probabilities.

 

Managing probabilities in c-o-n-t-e-x-t is key. Put the spurt of prints in context if you must. One of the major flaws in this concept is that it assumes that which ever party/ies were responsible for the 'signal' therefore have control of the market. It totally disregards the fact that there is always someone bigger in the market than you, no matter who you are or work for, and that they just may have a different opinion or reason than you.

Edited June 11, 2010 by TheDude

[clmacdougall 11]

I agree with these recent posts.

 

Trade Intensity may or may not tell you that something is going to happen. You just dont know. The reason for this is simply:

-Because you just dont know if the intensity of order flow was entering or exiting.

-Because you just dont know if it was covering or initiating

-A hedge

-The time frame they are operating in,

-Part of a larger order being executed in a different fashion

- etc, etc.

 

As someone said, nice chat but of no real use when making money.

 

Besides, only a jub would try to be 'predictive'. A real trader never predicts, but manages probabilities.

 

Managing probabilities in c-o-n-t-e-x-t is key. Put the spurt of prints in context if you must. One of the major flaws in this concept is that it assumes that which ever party/ies were responsible for the 'signal' therefore have control of the market. It totally disregards the fact that there is always someone bigger in the market than you, no matter who you are or work for, and that they just may have a different opinion or reason than you.

 

I think UB already made it clear that Trade Intensity was not at all his sole factor for entering a trade, with that said I agree with you that context is extremely important and that Trade Intensity alone provides little or no context, but maybe it provides a trigger point for entering a trade once context has been provided.

For UB it seems that along with other things his HUD which monitors multiple time/volume frames gives him an understanding of market bias and that is his provider for context. The real question becomes, what is his understanding of bias in each time/volume frame? To me this is what's now key!

[justtrade01 10]

It's available every 15 minutes. But I can't figure out exactly who is each of the trader categories to make it useful.

 

 

 

Have you read his other threads? The reason he uses intensity is precisely for the reason you describe, smart traders split up their orders. When one sees a series of orders in a very short timeframe (seconds for me, but milliseconds for him) then you can assume they come from the same trader or a similar group of traders.

 

In his post he said a 2 lot trader never trades 100 lots. In your reply you're saying a 100 lot trader can split his order into 50 2 lots. But he's still a 100 lot trader. What urma is saying is if we see a 100 lot order we know it's not a small retail trader so it's professional. From what I understand, if it's 100 lots on a trade it's more likely to be arb because a smart spec would have split his orders to hide them.

 

I hope that clears up some points. If I misunderstood anything please let me know.

 

Is it available every 15 minutes LIVE or if this data is available only at the end of the day in 15 minutes frequency ?

From where can I get this data ?

 

Thanks