Time and Sales Profile Indicator

[Challenger 10]

Hello,

 

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

 

Probably something like time and sales profile to say in other words.

 

I use Ninja Trader 7 and it does not have such tool.

 

I want a free tool/indicator or one time payment, not monthly paid fee!

 

Is there anything available? My data is Zenfire.

 

Thank you.

[Crazynasdaq 10]

Hello,

 

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

 

Probably something like time and sales profile to say in other words.

 

I use Ninja Trader 7 and it does not have such tool.

 

I want a free tool/indicator or one time payment, not monthly paid fee!

 

Is there anything available? My data is Zenfire.

 

Thank you.

 

Hi Challenger,

 

I don't use Ninja Trader, I use Multicharts and I've coded this tool myself, but I don't give it away for free. It is one of many indicators that I lease with a monthly fee in an unique pack.

Here is probably what you mean (see the picture attached).

It's accurancy is tick precision and it works well in real time and it's not cpu instensive. Maybe you can find some NinjaTrader programmer who can code it for you, based on this picture, if it's what you look for.

 

Edited November 22, 2010 by Crazynasdaq

[Forex Renegade 10]

Hello,

 

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

 

Probably something like time and sales profile to say in other words.

 

I use Ninja Trader 7 and it does not have such tool.

 

I want a free tool/indicator or one time payment, not monthly paid fee!

 

Is there anything available? My data is Zenfire.

 

Thank you.

 

What I'd do would be to put Ninja Trader on a 30 tick chart, then press Control + D to open the data window, and it will give me all the volume/price/time info I need.

 

Hope this helps.

[BlowFish 10]

Resting inventories will be the problem. This requires accurate order book data and charting that has tick precision across multiple data streams. MC does not have the internal precision and is prone to sequence issues and race conditions across multiple data streams (like bid ask and last). In fact race conditions can occur with a single data stream.

 

Profiles of actual trades are pretty straight forward and if you look around you will find public domain snippets for both MC & Ninja. Have a look for Gomi's stuff for ninja.

[Crazynasdaq 10]

Resting inventories will be the problem. This requires accurate order book data and charting that has tick precision across multiple data streams. MC does not have the internal precision and is prone to sequence issues and race conditions across multiple data streams (like bid ask and last). In fact race conditions can occur with a single data stream.

 

Profiles of actual trades are pretty straight forward and if you look around you will find public domain snippets for both MC & Ninja. Have a look for Gomi's stuff for ninja.

 

Multicharts can give an accurate synchronization between bid -ask and Trade if you use some datafeed like DTN IQ feed which is very accurate and can retrive historical bid-ask-trade back to 30 days.

If you consider as benchmark X_Study from TradingTechnologies which is the creator of Cumulative Volume Delta which is a registered TradeMark of TradingTechnologies and which is certified in its accurancy from TT which sends its value from TT servers to client PC and it's not calculated in the client PC of each customer (in this way we assume that the TT CVD with X_Study is accurate to single tick and synchronized with the trade as they certified), you can compare each datafeed and each Cumulative Volume Delta to TT CVD.

If You create a copy of CVD equal to TT CVD using a good datafeed, you can assume that your datafeed and your code works as it should work, so you can trust in it because it replies the original one that you assume as the correct one.

In this way you can create a code using some functionality of Multicharts which collects and gives you an accurate indicator such the one I've posted some minutes ago.

 

Below a comparison between X_Study CVD from X_Trader and my own CVD using DTN IQfeed on Multicharts (you can compare each CVD and you can see that they are very very close each other). This way I suppose that I can trust in my code and in DTN IQfeed data.

 

I'm agree with you that not all the datafeeds are equal and accurate and not all can be done even with MC or Ninja, but if you use the correct "ingredients", a good work can be achieved.

This my humble opinion.

 

CrazyNasdaq

[BlowFish 10]

I would argue that TT is perhaps not a great benchmark! Arguably DTN.IQ is currently the one to judge from. The thing is it can all change again within 3 months!

 

If one is using delta to gauge order flow or resting inventory it is not a precise measure anyway. It's a question of whether things are good enough. Of course that is no reason not to strive for perfection and to pressurize the companies that make this software to offer greater precision.

 

Out of interest how do you deal with the fact that MC only has 1 second precision for historical data? This kind of make the 30 day history form DTN academic dosen't it? I guess you can only run your indicators live? This is actually my biggest criticism of both MC and NT as it make any sort of qualitative testing on historical data ....well.....impossible really (without writing your own database and data handling).

[BlowFish 10]

Just looked at the charts more carefully. They look quite close in 'shape' (though not quite the same) but the absolute numbers seem quite different (maybe an artifact of how things are reported).

 

I notice that the bands (presumably VWAP & SD Bands) look slightly different. There are a couple of discussions on those calculations on Jperls trading with market statistics threads. I wonder if you are re weighting all the old bars when a new bar completes? Just thought I'd mention it though I am sure it's good enough.

[Crazynasdaq 10]

Out of interest how do you deal with the fact that MC only has 1 second precision for historical data? This kind of make the 30 day history form DTN academic dosen't it? I guess you can only run your indicators live? This is actually my biggest criticism of both MC and NT as it make any sort of qualitative testing on historical data ....well.....impossible really (without writing your own database and data handling).

 

I've chosen X_Styudy from X_Trader TT because they certify the accurancy of their CVD that is not calculated in the client PC of the customer, but is recieved as a quote value from TT Servers as is close, high or low. They have patented their CVD as reported in the US patent storm System and method for calculating and displaying volume to identify buying and selling in an electronic trading environment - US Patent 7403921 Full Text and they certified it for its accurancy, so I assume that they have a good synchronization between bid-ask and last which are the fields on which CVD is calculated.

For now, Multicharts is limited to 1 second as the smaller time stamp, but you can collect up to 3000 different ticks or more for each second (the tick precision is the maximum accurancy that you can have). The accurancy and the synchronization of your data is not based on Multicharts technology, but in the accurancy of your datafeed and DTN for now seems very good, so if you trust in DTN, you can trust in your synchroniztaion between bid and ask and in the accurancy of your bid- ask volume.

Then my indicator isn't calculated ONLY in real time, but even for historical data because of DTN IQ Feed permits you to retrive historical data for LAST, BID or ASK back to 30 days back and Multicharts is able to collect that historical BID, ASK and LAST in different fileds which can be compared each other in an historical way and not only in real time. This is sure because is what I've made with my indicators and is verifiable in Multicharts site which is able to collect data and create an own historical database about bid and ask fields. In the same way you can verify it in DTN IQ feed site.

 

 

Just looked at the charts more carefully. They look quite close in 'shape' (though not quite the same) but the absolute numbers seem quite different (maybe an artifact of how things are reported).

 

It's not an artifact but they probably are different because of X_Study has a different way to calculate SD bands and you can't modify the way they are calculated in X_Study combine with X_Trader.

 

I notice that the bands (presumably VWAP & SD Bands) look slightly different. There are a couple of discussions on those calculations on Jperls trading with market statistics threads. I wonder if you are re weighting all the old bars when a new bar completes? Just thought I'd mention it though I am sure it's good enough.

 

My code is right in the same way is right Jperl's code and logic. I weight each new tick/volume with the old bars/volume. I know Jperl's logic and post and to him goes all my thanks for sharing those greatfull posts.

The differences from X_Traders SD bands are based on the logic on X_Trader calculates those bands which is a lock code/logic.

[BlowFish 10]

 

For now, Multicharts is limited to 1 second as the smaller time stamp, but you can collect up to 3000 different ticks or more for each second (the tick precision is the maximum accurancy that you can have). The accurancy and the synchronization of your data is not based on Multicharts technology, but in the accurancy of your datafeed and DTN for now seems very good, so if you trust in DTN, you can trust in your synchroniztaion between bid and ask and in the accurancy of your bid- ask volume.

Then my indicator isn't calculated ONLY in real time, but even for historical data because of DTN IQ Feed permits you to retrive historical data for LAST, BID or ASK back to 30 days back and Multicharts is able to collect that historical BID, ASK and LAST in different fileds which can be compared each other in an historical way and not only in real time. .

 

Thanks for your detailed reply.

 

I don't quite understand how you compare bid ask and last for historical data. If over 1 second you get 3000 ticks (lets say) of bid ask and last data there is no way to tell the order exact order they came in as bid ask and last are held in separate databases? The sequence information is not preserved for those 3000 ticks. You know the order of all the bids and you know the order of all the asks and of all the trades. There is no way from MC's database of knowing the sequence across the three databases?

 

Are you somehow reading straight from the IQ history and by passing MC database? maybe using Qcollector or something? I hate saying impossible (nothing is impossible right ) but I feel pretty safe saying that MC wont sequence historical data from it own database correctly, that's why I wonder if you are constructing the history directly from Qfeed somehow?

[laurus12 10]

Thank you all for the informative posts.

 

I am wondering if some of you know and could tell how eSignal data feed would perform in regards of the quality discussed here? For example compared to the DTN IQ feed.

 

Thanks,

Laurus12

[Crazynasdaq 10]

Thanks for your detailed reply.

 

I don't quite understand how you compare bid ask and last for historical data. If over 1 second you get 3000 ticks (lets say) of bid ask and last data there is no way to tell the order exact order they came in as bid ask and last are held in separate databases? The sequence information is not preserved for those 3000 ticks. You know the order of all the bids and you know the order of all the asks and of all the trades. There is no way from MC's database of knowing the sequence across the three databases?

 

Are you somehow reading straight from the IQ history and by passing MC database? maybe using Qcollector or something? I hate saying impossible (nothing is impossible right ) but I feel pretty safe saying that MC wont sequence historical data from it own database correctly, that's why I wonder if you are constructing the history directly from Qfeed somehow?

 

I try to explain my way hoping to be clear in my reasoning.

For now, no platform gives a time stamp accurate to milliseconds or more accurate. The best is still accurate to second even if Multicharts is working on milliseconds precision on one of its next release. However my reasoning is a deductive reasoning based on the assumption that if the module X_study of X_Trader from TT which patented their logical on CVD and certified it in its accurancy, is correct and accurate, it should work correctly regards synchronization about Bid-ask and trade(last). If this assumption is false, all the reasoning is false and the conclusion fall down.

This way, If using DTN IQ feed, I find a way to duplicate that CVD in real time as in an historical way, I can think in a deductive way that my CVD is very very close to CVD from X_Study which I assume works correctly about the synchronization on bid-ask trade.

The deductive reasoning tells me that if X_study is correct and my CVD is a good replica of X_study CVD, then my CVD works correctly and I can trust in my Code and in my datafeed (DTN IQ feed), specially regards synchronization of bid-ask and trade.

A technological aspect on the time stamp on Multicharts, is that is NOT multicharts to give a time stamp to the datafeed, but it is collected as it is recieved from the datafeed which gives to the series of data the time stamp and it order the sequence of the trades, for bid- ask and last. This way different datafeed with the same numbers of trades, bid and ask work differently regard synchronization because the time stamp of the row of data is not multicharts based, but datafeed based and if the datafeed has not a synchronized server about bid-ask and trade, the trade can't be synchronized with bid or ask.

An other thing about the synchronization is on the "id" of each tick/trade. As you write before, if you can't have a certified accurancy about milliseconds, it is very difficult to have a good synchronization. This is true if you link each trade to its bid or ask based on time.

If you link each trade not on time, but on a unique ID regards the trade and this ID is the ID of the bid or ask, there is no reason to use milliseconds time stamp because to each trade ID must match to ASK ID or bid ID. This way even if the market works more quickly then now and in a next future we must talk about microseconds and not milliseconds, the logical structure has no need to be changed becasue it's not time based, but on ID sequence based. This is true even in an historical way and you can collect row of data about TRADE, about BID and about ASK which bring with them their unique ID (see the picture below).

Then even this structure could have bugs or work not correctly, but for now seems the best I can trust nearest to the reality of market. The perfection maybe couldn't be reached.

 

 

Thank you all for the informative posts.

 

I am wondering if some of you know and could tell how eSignal data feed would perform in regards of the quality discussed here? For example compared to the DTN IQ feed.

 

Thanks,

Laurus12

 

 

For my experience Laurus, the answer for now is NO..........maybe in the future eSignal will perform better than DTN, but today it's no so.

 

CrazyNasdaq

[laurus12 10]

Thank you for your directed answer and your detailed thoughts in the post above CrazyNasdaq

 

- Laurus12

[Crazynasdaq 10]

Thank you for your directed answer and your detailed thoughts in the post above CrazyNasdaq

 

- Laurus12

 

You are welcome Laurus12

[Crazynasdaq 10]

Well, as recent news talk about, it seems that the next step is not microseconds (1 /1 milion of second) but NANOseconds ( 1 / 1 billion of second) .

 

Second - Wikipedia, the free encyclopedia

 

Read what talks about this artcle http://analytics.informationweek.com/abstract/106/3255/Financial/accelerating-wall-street-2010-next-stop-nanoseconds.html

 

With data latency on its way to being measured in nanoseconds, along with exploding message volume and intensified demand for innovative trading products, Wall Street organizations are turning to the fastest and newest technologies to stay ahead. This special Wall Street & Technology digital report examines some of the latest innovations in the low-latency arms race, including hardware acceleration, complex event processing and colocation, and provides exclusive insights from WS&T's Accelerating Wall Street 2010 conference.

 

This way is very difficult to link market quote fields to a time stamp and in the same time be very accurate. The best way seems to be linking them to a unique ID regard Trade which must match the ID regard ASK or the same ID regard BID.

Technology about speed of market seems to push very very hard !!!

[djohnsonhot 10]

Well, many have posted replies in a different category than the one I use: Market Profile or otherwise known as Volume Profile or VOLUME at PRICE.

 

In any case, those indicators come in different flavors depending on the platform. Ninja has a free one (look in forums under indicators) and I use the ones I see at Freestockcharts.com and the ThinkorSwim platform - - -which I actually do use to trade from as ONE of the indicators I use beyond pure price action (Based on principles I learned from Al Brook's book on a 5 minute chart with a 22 EMA on pullbacks). However, most of my trades are worked from the following:

 

1. I trade RANGES. In other words, depending on my over-night studies and a daily trade sheet that displays: GANN LEVELS, FIB LEVELS ON 5 different timeframes, I use the previous 3 to 5 days of range to determine exhaustion in any direction, low or high based on the first 30 minutes to one hour of trading (or the previous days' range should I take a pre-market trade that I deem a no-brainer entry). Now, I will NEVER go long at the top of my calculated range and vice-versa (short at the bottom) unless the momentum is just ridiculous and many support or resistance levels are taken out by "range bars."

 

2. I will respect VOL PROFILE levels. I write them on a 30-minute, 2-day chart in TOS. I will also look at Shadowtraders' VP levels. I will also look at several other blogs I subscribe to in order to find commonality is what their projected ranges are OR what they think they are...and play according to those commonalities. You can pretty much find that your SUPPORT and RES levels match theirs or come very close.

 

3. I follow a guy names Michael Jardine on his Enthios.com website. He does a good job in actual trades, posts them in advance and takes those trades. He uses Volume Profiles calculated on the Ensign Software platform which I do not need. Jardine also uses Keltners to exit his trades without exception. His trades at times produce good results or rather small losses....he cuts his losses quickly.

 

That is really the key in my mind: stick to your plan, do not get emotional esp on very fast action by the commercial trades because they scoop up retail shares in order to build their trading contract sizes by eating us alive by taking out our stops that are way too close to the action.

 

Many of you will be surprised by this: I use a 16 tick stop. I do NOT close a trade if and until a stop point is hit...I try to enter trades that offer ENOUGH TICKS OF STOP AND TARGET RANGE that are OUTSIDE of major support/resistance/key levels.

 

For example: I will short at $990 (for example). If my 16 tick stop and target are CLOSER than the KEY levels (let's say we go short at $990 and $1000 is a key level (it should be, it is a century level), then I will not go short there because it is within 16 ticks of a major level. Comprende?

 

I will wait, instead, for my short entry to pullback to OUTSIDE of the 16 tick stop level. In this case, we will need some downward range expansion to trade it....make sense?

 

If a VOLUME PROFILE level is within that range, then again, it is not wise to trade it unless you know it will HOLD. $1000 ES could indeed hold, right, as now SUPPORT BECOMES RESISTANCE at $1000 because it was trading above that level for my short to be of consequence...and thus, IF I see it BOUNCE BACK UP TO $1000 and it holds and then proceeds with momentum below that level, I might have a better chance but $1000 less 16 ticks would be a better short area.....

 

It is Turkey day, or otherwise I would share more.

 

One more thing: if I shorted at $990, then my natural target (profit level) is $990 less 16 ticks or 4 points. Or, $986. Now, if I have on 10 contracts, I will trade out of 1/2 of my position at $986 and IF that level is still above a key level, I will then make that my next target...let's say it is a 61.8 level or 138.2% expansion on a great range expanding down-draft short...well, now we will place a trade to close the other 1/2 (5 contracts) at that level.

 

I am quick to move my stops IN CLOSER should I sense a rapid shift against me and I DO NOT move my stops on a good trade closer than Break-even plus 1 tick, unless and until my first trade target stop (5 contracts, or 1/2) is hit.

[bomberone1 10]

WHat do you think about CQG datafeed and Genesisft datafeed?

Do they have the same features of IQFeed of syncronization?

How many years of well tick data suncronize folks do you collect? This is a very hard task to do well, how do you collect them?

 

Crazynasdaq and other folks please tell us your views!

 

Bye

[alibaba5055 10]

Thanks for the interesting discussion.