Tape Read (Time & Sales) Strategies

[joshdance 10]

You were the one that said you could read the B/A off the T&S, not me.

 

I see, miscommunication-- I meant that you can have a quick visual and see whether the transaction occurred at the bid or the offer.

[bobcollett 10]

Hello Traders,

 

I wonder if you can help. I've spent the last few days trying to track down information on tape reading (time and sales) strategies. I searched the four corners of the internet and trying to find suitable information buth nothing.

 

Just to prove to you how little information there is out there I found one site, Welcome to the Price Action Room, charging $1995 for a DVD called 'The Magic of Tape Reading'. This blew me away. I thought how can they justify that price tag? Then I thought, 'of course they can, they know there isn't anything out there on Tape Reading'. Don't get me wrong, the DVD might be the Holy Grail of Tape Reading, but I'm not ready to pay that kind of money until someone has reviewed it and gives it the thumbs up.

 

I watched all of soultraders videos (there are good and they give you a taste, but no real meat on the bones).

 

So if there is anyone here that can point me in the right direction, I'd appreciate it.

 

Cheers guys/gals

 

Carlton

 

Hi carltonp,

Tape reading was the method used by traders in the olden days.

And it was a correlation between price and volume

And most important, the number of trades was low.

And there were no charts.

If 83% of all trading on the NYSE is alogrithem, there is NO TRUE ORDER FLOW.

The computer buys the market on 1 tick up and sells on 1 tick down, or similar.

Therefore ,tape reading has as much usefulness as watching paint dry.

Thats my view

I await the tirade from tape readers.

Kind regards

bobc

[carltonp 10]

Don't know if it's been mentioned by the way, but if you use IB for data, their time and sales data is not accurate at all. Their ticks are filtered, and you need a more accurate, unfiltered data feed such as IQFeed if you want the actual transactions. IB will combine transactions, for example.

 

That explains a lot. I've been watching IB's ticks intensely, and it was so off I called them to find out why. The person I spoke at IB was honest with me and stated exactly what you mentioned.

 

I might take a look at Esignal as I think they may be cheaper...

 

Cheers

[carltonp 10]

Hi carltonp,

Tape reading was the method used by traders in the olden days.

And it was a correlation between price and volume

And most important, the number of trades was low.

And there were no charts.

If 83% of all trading on the NYSE is alogrithem, there is NO TRUE ORDER FLOW.

The computer buys the market on 1 tick up and sells on 1 tick down, or similar.

Therefore ,tape reading has as much usefulness as watching paint dry.

Thats my view

I await the tirade from tape readers.

Kind regards

bobc

 

Thanks for your comments bob. Unfortunately, I don't have enough experience to argue the point with you. However, I think Tape Reading has value as a precision instrument.

 

I too look forward to hearing the views of active Tape Readers :-)

[daVinciLite 10]

Hi carltonp,

Tape reading was the method used by traders in the olden days.

And it was a correlation between price and volume

And most important, the number of trades was low.

And there were no charts.

If 83% of all trading on the NYSE is alogrithem, there is NO TRUE ORDER FLOW.

The computer buys the market on 1 tick up and sells on 1 tick down, or similar.

Therefore ,tape reading has as much usefulness as watching paint dry.

Thats my view

I await the tirade from tape readers.

Kind regards

bobc

 

Then only difference between an algo and a manual order is speed. An order is an order and it shows up just the same. Although a large percentage of trades are from algo’s, the goals of the prospective parties can be completely different. Some are taking ticks out of the market while others are accumulating long-term positions.

 

Things change but they stay the same.

 

Also, an algo does not have intuition.

Quant firms go belly up all the time, just like everyone else.

 

Hope it helps,

dVL

[carltonp 10]

Then only difference between an algo and a manual order is speed. An order is an order and it shows up just the same. Although a large percentage of trades are from algo’s, the goals of the prospective parties can be completely different. Some are taking ticks out of the market while others are accumulating long-term positions.

 

Things change but they stay the same.

 

Also, an algo does not have intuition.

Quant firms go belly up all the time, just like everyone else.

 

Hope it helps,

dVL

 

It helps very much ....

[carltonp 10]

Yes, that was my point with the T&S, i thought you seemed confused. I know what it is. You were the one that said you could read the B/A off the T&S, not me.

 

IB now has 'true tick' volume.

 

XS

 

Hello mate.

 

Are you sure about that.

 

This is the email I received from IB

 

IB does not provide tick-by-tick data we do not provide Time & Sales at all through the API. The realtime market data IB provides are snapshot requests, taken every 250 milliseconds.

 

My understanding of this statement seems to concur with 'joshdance's' statement. Would you agree?

[joshdance 10]

Then only difference between an algo and a manual order is speed. An order is an order and it shows up just the same....

Things change but they stay the same.

 

So true. One of the things I remember reading from Wyckoff that he said is essentially that despite the crafty nature of specialists, for example, markup and markdown, accumulation and distribution (in other words, they are hiding their intentions), that they cannot hide their transactions, their volume, their footprint. It is there for all to see, and while their intentions may not be open, their activity is. (I am not a real Wyckoffian a la "smart money" etc. but I use the principles)

 

So while algos execute differently than humans, they still all leave a trail for all to see, and it's called volume.

[bobcollett 10]

So true. One of the things I remember reading from Wyckoff that he said is essentially that despite the crafty nature of specialists, for example, markup and markdown, accumulation and distribution (in other words, they are hiding their intentions), that they cannot hide their transactions, their volume, their footprint. It is there for all to see, and while their intentions may not be open, their activity is. (I am not a real Wyckoffian a la "smart money" etc. but I use the principles)

 

So while algos execute differently than humans, they still all leave a trail for all to see, and it's called volume.

 

Ok Joshdance,

So you do need volume to read the tape.

And there is so much more volume, thousands and thousands of deals transacting,

that , unless you pick a market like Orange juice,you will not see the wood for trees

regards bobc

[Xiao si 10]

Ok Joshdance,

So you do need volume to read the tape.

And there is so much more volume, thousands and thousands of deals transacting,

that , unless you pick a market like Orange juice,you will not see the wood for trees

regards bobc

 

Actually Bob, the time and sales is quite easy to INTERPRET and only takes a couple weeks of screen time to start to get a feel for the order flow...you should try it sometime.

 

XS

[bobcollett 10]

Actually Bob, the time and sales is quite easy to INTERPRET and only takes a couple weeks of screen time to start to get a feel for the order flow...you should try it sometime.

 

XS

 

Carltonp,

Slowly but surely you will get some useful info. I am also interested in reading the tape and have tried.

A chart showed me the same thing.

So now I have to make controversal statements to get members to respond

Unfortunately its the same few members and their advice is scant.

Maybe everybody else knows something?

Thank goodness MMS cleared all the vendors who were hijacking your thread

Regards bobc

[bobcollett 10]

Actually Bob, the time and sales is quite easy to INTERPRET and only takes a couple weeks of screen time to start to get a feel for the order flow...you should try it sometime.

 

XS

 

Dear XS

You have an interesting biography.

Joshdance made the comment that he would not trade a market without volume.

My CFD market has no volume. Maybe thats why I cant read the tape.

What do you think?

Kind regards

bobc

[Jleon 10]

Hello Traders,

 

I wonder if you can help. I've spent the last few days trying to track down information on tape reading (time and sales) strategies. I searched the four corners of the internet and trying to find suitable information buth nothing.

 

Just to prove to you how little information there is out there I found one site, Welcome to the Price Action Room, charging $1995 for a DVD called 'The Magic of Tape Reading'. This blew me away. I thought how can they justify that price tag? Then I thought, 'of course they can, they know there isn't anything out there on Tape Reading'. Don't get me wrong, the DVD might be the Holy Grail of Tape Reading, but I'm not ready to pay that kind of money until someone has reviewed it and gives it the thumbs up.

 

I watched all of soultraders videos (there are good and they give you a taste, but no real meat on the bones).

 

So if there is anyone here that can point me in the right direction, I'd appreciate it.

 

Cheers guys/gals

 

Carlton[/quote

 

 

Hello

 

I started reading the tape 6 years ago and live by it. It is the only way to gauge supply and demand and give the true direction of price. I do have a website and book that I do not advertise since I make a living from trading not selling. You can find a free copy of The Day Traders Bible (Richard Wyckoff) and Reminiscences of a Stock Operator (Jessy Livermore) there. These are 2 great books on tape reading that I highly recommend. The only difference from when these books were written and now is the technology, everything else is the same.

 

You can learn it on your own or with a mentor but learning on your own takes many years to master everything. Tape reading is a great grail key but is sharp as a surgeons knife. If you don't have the patience or discipline it will cut you but if you learn what to look for and at what points are of highest interest it is highly lucrative.

 

Good Luck!!

 

JLeon

[carltonp 10]

Thank goodness MMS cleared all the vendors who were hijacking your thread

Regards bobc

 

So true. I really want learn to read the tape.

 

I must say although I agree the information has been scant, however there have been a number of good comments from some good people on this thread. Believe me, I'm taking all the comments and suggestions on board - already I have decided not to use Interactive Brokers for T & S and have signed up with Esignal, following the comments here.

 

So, please keep the comments flowing....

 

Cheers

[Nvesta81 10]

I have decided not to use Interactive Brokers for T & S and have signed up with Esignal, following the comments here.

 

In my humble opinion the aggregate data that IB provides is sufficient when reading the T&S screen. With a trained eye there's no information you can get from T&S that you can't read from a chart anyway. If your success as a trader relies on this alone then I suspect you are going to struggle regardless of which broker you go with.

 

Bottom line,I think the difference is negligible. Just thought I'd throw it out there so you don't choose your broker on T&S alone, there are more important things to consider IMHO.

[carltonp 10]

In my humble opinion the aggregate data that IB provides is sufficient when reading the T&S screen..

Thanks for responding. However, I beg to differ. I'm not joking when I say I've looked at their data over the past week and its poor, I mean POOR. I called them and I was totally convinced by their responses to my questions that IB's market data is not to be relied upon.

[carltonp 10]

Hello Traders,

 

I wonder if you can help. I've spent the last few days trying to track down information on tape reading (time and sales) strategies. I searched the four corners of the internet and trying to find suitable information buth nothing.

 

Just to prove to you how little information there is out there I found one site, Welcome to the Price Action Room, charging $1995 for a DVD called 'The Magic of Tape Reading'. This blew me away. I thought how can they justify that price tag? Then I thought, 'of course they can, they know there isn't anything out there on Tape Reading'. Don't get me wrong, the DVD might be the Holy Grail of Tape Reading, but I'm not ready to pay that kind of money until someone has reviewed it and gives it the thumbs up.

 

I watched all of soultraders videos (there are good and they give you a taste, but no real meat on the bones).

 

So if there is anyone here that can point me in the right direction, I'd appreciate it.

 

Cheers guys/gals

 

Carlton[/quote

 

 

Hello

 

I started reading the tape 6 years ago and live by it. It is the only way to gauge supply and demand and give the true direction of price. I do have a website and book that I do not advertise since I make a living from trading not selling. You can find a free copy of The Day Traders Bible (Richard Wyckoff) and Reminiscences of a Stock Operator (Jessy Livermore) there. These are 2 great books on tape reading that I highly recommend. The only difference from when these books were written and now is the technology, everything else is the same.

 

You can learn it on your own or with a mentor but learning on your own takes many years to master everything. Tape reading is a great grail key but is sharp as a surgeons knife. If you don't have the patience or discipline it will cut you but if you learn what to look for and at what points are of highest interest it is highly lucrative.

 

Good Luck!!

 

JLeon

 

JLeon, thanks man.

 

I am totally feeling you. And if I be totally honest with if I couldn't program the Tape to provide only the information I need I wouldn't touch it with a barge pole - it would drive me mad. However, due to my programming skills I don't have to watch the tape to use the tape. Let me explain that last statement.

 

I have been watching the Tape now for a couple of weeks, alongside my set up. I have recorded the tape for three weeks with my charts. I have looked at every single bid/ask, bid size/ask size for YM for the past three weeks. I know it will take much longer than three weeks to fully appreciate the tape. The reason why I have poured over the tape for that long isn't simply because I want to trade the tape but because I want to understand how I can use my programming skills to take from the tape only the information I need WITHOUT WATCHING THE TAPE. Its beautiful. Its taken a while to get to this stage. Now, I will spend the next year learning how to trade the tape.

 

Thanks for your encouraging words mate.

 

Is there any chance you could PM me with your website and book?

 

Cheers

[gosu 10]

Thanks for responding. However, I beg to differ. I'm not joking when I say I've looked at their data over the past week and its poor, I mean POOR. I called them and I was totally convinced by their responses to my questions that IB's market data is not to be relied upon.

 

While I do not know exactly what you are trying to glean from your data, I will say that my experience with IB's data is that it is very stable and more than adequate to trade with.

 

It is ironic to me that you are switching to eSignal because for over 8 years I used eSignal as my main data feed and IB as a backup and I can report that IB's data feed was more dependable BY FAR. It got to the point where I was using IB as my main data and using eSignal as my backup until the annual contract expired.

 

My current setup runs two data feeds concurrently and even with the volume reporting differences I rate IB's data feed as very good. And this is coming from a person whose trade decisions rely heavily upon volume data.

[carltonp 10]

While I do not know exactly what you are trying to glean from your data, I will say that my experience with IB's data is that it is very stable and more than adequate to trade with.

.

 

Gosu, thanks for responding. I'm going to retract some of what I said about IB as I have had another conversation with them and its been made clear to me.

 

Let me explain.

 

IB told me they don't publish duplicate quotes to save bandwidth. For example, if two bids come in at say 20 the first bid will be posted while the second bid will not. Another example, lets say there is a bid/ask of 10/20, if there is a duplicate bid then only the ask, 20, will be posted. The only way to know that there was duplicate bid of 10 would be look at T&S. Now, if you say IB's T&S is reliable, well ............

 

So wouldn't you like to know that a duplicate bid/ask of say 100 came in without looking at their unreliable T & S?

 

Cheers

[gosu 10]

Gosu, thanks for responding. I'm going to retract some of what I said about IB as I have had another conversation with them and its been made clear to me.

 

Let me explain.

 

IB told me they don't publish duplicate quotes to save bandwidth. For example, if two bids come in at say 20 the first bid will be posted while the second bid will not. Another example, lets say there is a bid/ask of 10/20, if there is a duplicate bid then only the ask, 20, will be posted. The only way to know that there was duplicate bid of 10 would be look at T&S. Now, if you say IB's T&S is reliable, well ............

 

So wouldn't you like to know that a duplicate bid/ask of say 100 came in without looking at their unreliable T & S?

 

Cheers

 

I'm not quite getting what you are describing. Are you saying that the respective bid and ask volumes showing on the inside market are not accurate as reported by IB because they do not post "duplicate" bids and asks?

 

Even if that were the case, I consider it negligible in trading the ES because of the rapidity in the changing bid and ask volumes. Anything that occurs within the data that my eyes cannot pick up has no bearing on my trade decisions.

 

Regarding the T&S, I do not rely on it except as a quick way to see what's printing and how fast the trades are scrolling. IOW, I use the T&S for convenience and the information I get from it is redundant.

 

Of course, I do recognize that you are looking to use the T&S for something more than that. My comment was in reference to the reliability of IB's data feed in general and in comparison with eSignal.

[carltonp 10]

I'm not quite getting what you are describing. Are you saying that the respective bid and ask volumes showing on the inside market are not accurate as reported by IB because they do not post "duplicate" bids and asks?

 

.

 

Hi Gosu,

 

Sorry, I should have explained that because I'm feeding the bids/aks into a formula I need each and every bid/ask to be correct and posted. The formula will take the numbers and alert me to when certain conditions occur without me having to watch T&S. Watching T&S would drive anyone nuts...

[daVinciLite 10]

 

 

I am totally feeling you. And if I be totally honest with if I couldn't program the Tape to provide only the information I need I wouldn't touch it with a barge pole - it would drive me mad. However, due to my programming skills I don't have to watch the tape to use the tape. Let me explain that last statement.

 

 

Cheers

 

Sounds like you are were I was two years ago. I was a professional programmer (still am I guess). You are in for a wonderful and fulfilling ride..LOL. If protect your capital while you learn you should come out ahead.

 

I don’t post much anywhere because I didn’t learn much from message boards. I basically watched as many order flow/market profile webinars that I could get my hands on, with membership to a cumulative delta chat room for 6 months.

 

I didn’t get into the programming until late last year. Some of my journey may help. The first programming task I did was to track responsive activity – contracts that HELD the bid or offer. Then with that under my belt I started tracking initiative activity. Now I am going to track the buy and selling spikes. This is after I could see things manually.

 

Not many people on here like the footprint chart, but it is an advanced form of tape reading IMO.

 

Good Luck,

Looks like you are willing to do the work necessary to be successful.

 

dVL

[gosu 10]

Hi Gosu,

 

Sorry, I should have explained that because I'm feeding the bids/aks into a formula I need each and every bid/ask to be correct and posted. The formula will take the numbers and alert me to when certain conditions occur without me having to watch T&S. Watching T&S would drive anyone nuts...

 

That makes things clearer. I had forgotten that you are running the data through Excel.

 

Regarding your desire that every bid and ask be correct and posted, how are you accounting for hidden volumes? Does it make a difference to what you want to do that large orders are often masked as small orders?

[carltonp 10]

 

Sounds like you are were I was two years ago. I was a professional programmer (still am I guess). You are in for a wonderful and fulfilling ride..LOL. If protect your capital while you learn you should come out ahead.

 

I don’t post much anywhere because I didn’t learn much from message boards. I basically watched as many order flow/market profile webinars that I could get my hands on, with membership to a cumulative delta chat room for 6 months.

 

I didn’t get into the programming until late last year. Some of my journey may help. The first programming task I did was to track responsive activity – contracts that HELD the bid or offer. Then with that under my belt I started tracking initiative activity. Now I am going to track the buy and selling spikes. This is after I could see things manually.

 

Not many people on here like the footprint chart, but it is an advanced form of tape reading IMO.

 

Good Luck,

Looks like you are willing to do the work necessary to be successful.

 

dVL

 

dVL,

 

It keeps me going when I hear comments like that. The beauty about programming T&S for contracts HELD at the bid or offer. Buying and selling spikes is literally the tip of the iceberg as to what can be achieved once you get the correct data. Just imagine all that real data pouring into a reliable T & S and not having to look at it to trade from it. In my opinion, its impossible to trade solely from it with the naked eye - but then again I've only been observing for 3 weeks. However, by programming it you can use all that it has to offer without bursting your eyes out of their sockets :-)

 

The only downside, you need ABSOLUTE, reliable data. A formula or a program will never have a 'feel' for the market. So, if there there is a single missing bid / ask then that will to lead wrong decisions. Which is simply why I can't use IB. Even they told me they don't post all their bids/asks.

 

Thanks again.

[carltonp 10]

 

Regarding your desire that every bid and ask be correct and posted, how are you accounting for hidden volumes? Does it make a difference to what you want to do that large orders are often masked as small orders?

 

Gosu, that I would agree is a problem. One way to overcome that problem is write an excel formula to alert me to the frequency of bids/asks. I understand that when large institutions start to accumulate they do so in small lots. So, I will write a program that will watch for that kind of action. Other than that I have don't know how to deal with that issue.

 

I should add if you have any suggestions as to what I should watch out for I would love to hear them. At the moment I'm just studying the Tape with a simple setup. Once I see a pattern I will write a program for it. I'm just looking for patterns right now.

 

I'm hoping that someone like dVL will provide some strategies. All I need is a strategy and then I can go away and program it in Excel.