[volume] Delta Volume in Intraday Trading

[TheNegotiator 13]

Haha! Yeah I am with you. I think it is interesting though to look at other traders' take on ideas that align with your own. It can be enlightening...

[uexkuell 10]

For example, how would you be 100% certain a trade went off at the bid or ask ... without getting every book change, not just "most or enough" of them?

 

Easy.

 

There are quote feeds out there (not institutional) that supply the trade @ bid/ask info with every single trade.

Therefore whole book not needed.

[ScottB 10]

uexkuell, that is excellent, thanks.

[TheNegotiator 13]

Easy.

 

There are quote feeds out there (not institutional) that supply the trade @ bid/ask info with every single trade.

Therefore whole book not needed.

 

Which quote feeds are you talking about?

[uexkuell 10]

Which quote feeds are you talking about?

 

Feeds with bid/ask flags: DTN.IQ and CQG

[ScottB 10]

TheNegotiator, I saw you are going to host a booth at the Expo, I didn't know I was corresponding with someone famous!

[TheNegotiator 13]

Haha! I'm not so sure that makes me famous! Hopefully I'll meet a few of you guys though.

[ScottB 10]

I can see it now - TheNegotiator starring in his own reality show.

 

Unfortunately I am in the US and won't be making it but maybe I will catch you on television.

[TheNegotiator 13]

Well one day I will visit Chicago. After all isn't it the birthplace of futures?

[ScottB 10]

It is indeed.

 

Make you a deal, you come to Chicago, I will buy you dinner; if I come to the UK, you buy me a pint.

[TheNegotiator 13]

Done! That sounds like an awesome deal! A pint for a dinner. Unless of course you were planning on taking me to maccie d's or something. Lol.

[ScottB 10]

I just have a larger stop loss on the trade than you do.

[BlowFish 10]

Well one day I will visit Chicago. After all isn't it the birthplace of futures?

 

Naa they probably existed 2000+ years ago in ancient Greece (Aristotle strongly eludes to it). They certainly traded rice futures a century and a half before Chicago in Osaka.

[TheNegotiator 13]

Naa they probably existed 2000+ years ago in ancient Greece (Aristotle strongly eludes to it). They certainly traded rice futures a century and a half before Chicago in Osaka.

 

Lol. I'm pretty sure you're right there!

[Karish 10]

There are lot of discussions here on the difference between institutional / unfiltered and retail data feed (such as IQ / esignal) quality. Can someone with access to institutional data feed share with us the differences between them.

cheers,

[BlowFish 10]

In the past Fulcrum Trader has often said that he has compared IQFeed's data with "institutional grade data" and that they match closely. I don't know which feeds. He also says he has matched it with "cme data runs" I am guessing that by this he means CME Top of Book (TBO) data? Again not sure. You could always shoot him a PM, I dunno if he is round much atm.

[TheNegotiator 13]

It might be interesting if one of the ninja guys who deal with kinetick could explain it from their side. Will ask someone to post.

[Karish 10]

Blowfish thanks for the info on CME Top of Book, I down loaded example file they had and compared it to my cache data collected during normal operation from IQ. I compared BB and BA data and no doubt its not the same, main diff is in the amount of updates. I will do thorough analysis and share my findings.

Karish

[Ninjatrader_Staff 10]

I am not sure I can answer the difference between institutional versus retail since I am not clear on the definition of what institutional is myself. Take for example, TelventDTN, the company that owns the technology behind the IQFeed service, Kinetick service and Prophet X service. IQFeed and Kinetick target the retail active trader where Prophet X is mainly installed in institutions. Different target markets, same technology. CQG targets institutions however; we just announced partnership with them to address our main demographic, the retail trader. Zen-Fire, technology used in institutions and prop shops however, NinjaTrader/Zen-Fire heavily used by the retail trading community. My point is that here are three products that clearly overlap both retail and institutional space using the same technology.

 

Let me clarify some definitions…Market data service only provides data, trading engines provide data and order routing.

 

• Unfiltered data: Some provide it, some provide option to aggregate it, and in the case of the trading engine providers, filtered vs. unfiltered is dependent on the FCM who hosts the technology
  
• Time stamps: All market data vendors provide time stamps however, only some trading engines do thus, the client application must add a time stamp to incoming ticks
  
• Historical data: All market data vendors provide it, most trading engines do not
  
• Historical bid/ask prices per tick: Most vendors do not provide this
  
• Compression: Some vendors provide compression, some optional compression some do not
  

My response likely does not make things much clearer. I think the point is simply, what do need as a trader? My comments are based on my direct experience in working with and writing to 15+ market data/brokerage API’s.

[euro99 10]

I am not sure I can answer the difference between institutional versus retail since I am not clear on the definition of what institutional is myself. Take for example, TelventDTN, the company that owns the technology behind the IQFeed service, Kinetick service and Prophet X service.

 

By the by, and not wishing to change the subject - I had assumed that Kinetick was running (off the back of NxCore, perhaps) and I had meant to ask you whether it supplies (1) sub second timestamps for CME and (2) true historical quote data with the tick history - by which I mean the changed strip price / volume in between trade ticks as well as at the time of a reported trade. Both of these are shortcomings of Iqfeed which is otherwise an excellent product.

[Ninjatrader_Staff 10]

By the by, and not wishing to change the subject - I had assumed that Kinetick was running (off the back of NxCore, perhaps) and I had meant to ask you whether it supplies (1) sub second timestamps for CME and (2) true historical quote data with the tick history - by which I mean the changed strip price / volume in between trade ticks as well as at the time of a reported trade. Both of these are shortcomings of Iqfeed which is otherwise an excellent product.

 

Kinetick does not run off of NxCore and shares the same technology as IQFeed thus features between the two are identical.

[TheNegotiator 13]

I thought I'd put a quick chart on up on a nice little delta divergence today that saw me right and hopefully a few of you guys too!

 

Top is ES bottom is cumulative delta. The divergence happened around 11:15am then 11:30am EST. Initially the ES had reached an important area. On the retest, fairly strong selling was still present yet price was higher than previously and clearly struggling to fall. This suggested an underlying bid to the market at the previously identified price area. The two gold dots on the delta chart show a couple of candles of particular interest where there were delta buying wicks. There had been strong selling but buying came back in and reversed the delta. This showed perhaps the supply/demand dynamic had changed. Testing higher as we speak in the ES. Make of it what you will...

[unicorn 10]

 

Top is ES bottom is cumulative delta. The divergence happened around 11:15am then 11:30am EST. Initially the ES had reached an important area.

 

what is the timeframe on that chart?

[PatternTrader 10]

I am a little confused by your post. What you are showing is hidden divergence, as opposed to regular divergence. There is a higher low in price, and a lower low in the delta momentum. This can be a sign of continuation in a trend move. However, there really wasn't a trend established yet. If you are trying to demonstrate regular divergence to demonstrate a turning point, this would be seen by lower lows in price in a down move combined with higher lows in the delta divergence, implying a possible trend reversal.

 

What I believe your chart post illustrates, in hindsight, is more sellers getting trapped at or near the lows, contributing to a more powerful subsequent upmove.

 

Regards,

PT

[Traduk 10]

The Negotiator,

 

There is something really odd about the chart you have displayed. Judging by the time you stated it looks like a 1 minute chart as there are 15\16 bars in that window. I tried to re-create that time slice in CQG and although the chart for 11.15 to 11.30 EST looks somewhat like the move you have shown, mine looks very different to yours and that is allowing for the certain slight differences in time of creation of bars.

 

I have ultra low latency feed with atomic clock timing (on PC) but something is really wrong because we are looking at two different charts.

 

I suspect that the regularity of candles is a construction from either tick volume or trade volume. What parameters have you used for cumulative delta eg are they per bar or a summation of many bars as a rolling total.

 

Which feed do you use?. I ask because I have seen several and some can be an impediment to trading as they just do not show what is anything like the real market.

 

I have always been fascinated by Volume Delta but having seen CQG's TradeFlow which has a function that shows the order book in detail, the passive side of the order book is a high speed streaming ticker of thousands of cancel and replace which is a dynamically changing beast at a speed which defies reading with the speed of the human eye.

 

Due to changes made at the CME (a couple of years ago) reporting of what used to be block trades is sent out as what looks like a string of small trades as an order for say 500 buys at market will reflect the resting orders hit and the 500 will be reported as all sizes hit on the ask to make up the 500 which will inevitably be dozens of 1's with a mix of others to give a total of 500. The only way I know that a large order has gone through is if the ask is cleared and replaced by many sitting on the bid in one hit. That would be say 2000 buys which clears 800 on the ask and leaves 1200 on the replacing bid..

 

CQG can guess at such action by time (ms) and concurrent trade prints.

 

The CME by changing to what is virtually matched orders has blurred the activity of the big boys and made their actions somewhat harder to see.

 

I would like to replicate your chart because (a) yours looks very little like mine and (b) the divergence you see is not what I call divergence at all and if anything is misleading enough to think that sellers still had control whereas I doubt that they did. In my experience the only time that volume delta is contrary to price is when the order book is comparatively empty and I do not remember seeing that on Friday. I see true delta divergence as price moving lower\higher than a prior point with the support of sellers\buyers having lost out to the other side or in other words the drivers have run out of power.