About TPS Indicator Pack

[UrmaBlume 10]

TradePoint Software has developed an Indicator Pack which is a set of indicators, functions and workspaces that run in TradeStation. The Indicator Pack is offered on the basis of a yearly lease/subscription at a price of $1,400/yr and is not designed for beginning traders.

 

The User Manual contains Installation Instructions and a more detailed description of this software and is viewable/downloadable for free here. The End User License Agreement is available here.

 

Below is copyrighted text taken from "Practical Short Term Trading - Techniques & Technologies" that is reproduced here with permission from the author.

 

"Free trading liquid markets trade in a Price/Time/Volume Continuum that conforms to certain basic dynamics, three of which are defined here:"

 

"As Price changes or not and Time passes Volume happens/accumulates.

 

As Time passes and Trade/Volume happens Prices change in Direct Proportion to the degree to which that Trade is Imbalanced.

 

As Time passes and Trade/Volume happens Prices change in Inverse Proportion to the degree to which that Trade is Balanced."

 

The indicators in this pack are designed to reflect that the prime motivator of price is the balance of trade - a great imbalance to the buy side in total trade volume is more likely to motivate price to the upside than the downside.

 

These indicators provide a view and quantification of

 

• Net motivated trade over time - The Balance of Trade
  
• A more sensitive moving window of net buying and selling - Order Flow
  
• An indication of the sudden bursts of the kind of commercial trade that often turns the market
  
• A smoothing of price plus pivot and other price reference points
  

 

Below are text and charts that describe the 11 indicators currently in the TPS Indicator Pack. Of note is that below are linked more detailed descriptions of these indicators and that the charts below have been "cherry picked" to reflect both technologies and techniques in the most demonstrative light possible.

 

The Intenisty/Velocity of Net Commercial Trade

 

The Intenisty/Velocity of Net Commercial Trade is displayed using 3 different indicators, all plotted on top of each other on the same chart:

 

1. .!TPS.TradeVelocityUp – This indicator graphs the velocity of buying volume in the micro time frame and with a time granularity of milliseconds. This value is graphed as a blue histogram.
   
2. 2.!TPS.TradeVelocityDn – The velocity of selling volume is calculated as above and graphed as a red histogram.
   
3. 3.!TPS.TradeVelocityTV – This track of the velocity of total volume is graphed as a blue line.
   

 

The spikes in the charts below are often seen on significant local and even session extremes. In the more liquid markets where there is also significant hedging and arbitrage activity there are also a number of "false" spikes. One way to differentiate these activities is by referencing some of the other indicators in this pack, NNT & V94, in different time frames for either confirmation or divergence between price and order flow.

 

This chart shows the blue topping spike in the velocity indicators in the middle graph which is confirmed by the negative divergence between price and The V94 Window in the bottom sub-graph.

 

Please click to enlarge image

 

Sometimes this activity is precisely coordinated across all three major equity index futures. The chart below demonstrates the intense commercial activity at a session high.

 

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Below is a low indicated by both a bottoming spike in the Intensity/Velocity of commercial trade plus a positive divergence between price and V94Window. The indicators in this pack are designed so that readings in one can confirm indications in another.

 

Please click to enlarge image

 

Balance of Trade Volume Harmonic

 

Most indicators that carry the word "Harmonic" in their titles are based on pice. This indicator is based on trade volumes, and price plays no part in its calculation.

 

One definition of simple harmonic motion is that the acceleration causing the motion a of the particle or object is proportional and in opposition to its displacement x from its equilibrium position. As buying and selling displace each other in harmony (the graphic) so is price displaced.

 

The caveat with this indicator is that it is very sensitive to both settings and the size of the volume bars on the chart. When these are all in synch the indicator looks like the chart below:

 

Please click to enlarge image

 

Net New Trade

 

!TPS.NetNewTrade calculates the cumulative net/balance of buying and selling volumes in the market. The Indicator Pack comes with both a beyond the day time frame indicator and an indicator designed from intra-session work.

 

The longer term version of NNT can be useful in spotting loger term divergences. The chart below shows an intermediate term high in ES in late Feburary 2011 and a high in NNT.

 

The following May showed a higher high in price with notable divergence between price and NNT. That divergence continued over the next couple of months leading to a precipitous drop in price.

 

Please click to enlarge image

 

The shorter term, intra-session, version of Net New Trade can indicate sluggish price when it has no apparent direction. It can indicate trend/continuation with a series of higher highs and higher lows as shown below or it can indicate a regime change by demonstrating divergences.

 

With NNT in the lower graph this chart shows continuation:

 

Please click to enlarge image

 

Divergences between Price and Net New Trade can often signal a change in regime as shown below:

 

Please click to enlarge image

 

The V94 Window

 

!TPS.V94Window is an indicator designed to report a moving window of net buying and selling volumes – a moving window of the balance of trade.

 

This indicator is more sensitive than NNT and can be used to indicate confirmation, continuation or a reversal.

 

In this chart the small departures below zero and the large amplitudes above zero indiate a big imbalance to the buy side and indicate a long continuation.

 

Please click to enlarge image

 

Divergences between Price and V94 can indicate a change/reversal as shown below

 

Please click to enlarge image

 

5 Day HiLo

 

Oftentimes the high or low of previous days will become areas of price support or resistence.

 

!TPS.5DayHiLo plots the current day’s open, high and low plus it can also plot both the high and the low for the 4 days previous to today.

 

It was selling that formed these highs and buying that formed the lows. Sometimes that buying or selling will reappear at the same price and sometimes what was resistance will become support and vice versa.

 

The user can elect to see these highs and lows from any or all of the most recent 5 days including the current day.

 

Please click to enlarge image

 

Price Center Stripe

 

This indicator:

 

1. Smooths price by plotting a custom MA, _DX2MA, of the mid points of the price bars
   
2. Plots standard Pivots as "RDots" - the user can adjust the strenghts of these pivots
   
3. Plots Special Reference "S" Dots that can be useful in strongly trending markets and misleading in choppy markets
   

 

!TPS.CenterStripe is to be applied to price on volume bar charts.

 

The small red and blue dots are the midpoints of each price bar smoothed by DX2MA. The channel that contains these price dots can be expanded to channel the bulk of price activity, not just the dots.

 

The RDots are the round dots posted above and below pivot highs and lows. These are the standard TradeStation pivot points and their strength setting is one of the inputs to this indicator. These dots plot after the fact.

 

The SDots shown as “fat” + signs in the graph above are special reference dots. These dots reference price, price pivot points and Net New Trade and can be very useful in a strongly trending market as shown below and be very expensive if acted upon in noisy sideways markets. SDots are plotted in real time.

 

Please click to enlarge image

 

%Bar Complete & %Bar Bias

 

Please click to enlarge image

 

!TPS.%BarComplete is a ShowMe indicator that when applied to volume bar charts plots the percentage of completion of last bar on the chart. This figure is plotted in blue opposite the midpoint of the bar. The “7.9%” displayed above shows that the bar is only 7.9% complete and has just opened. If this were an 8k bar and 4k contracts had traded the reading would be 50%.

 

!TPS.%BarBias is a ShowMe indicator that when applied to volume bar charts plots the percentage of buying and selling volumes so far in that bar. In the bar above the red 52.3% indicates that at that point 52.3% of the volume, so far, in that bar is selling volume and that the remaining 47.7% is buying volume.

 

This information can sometimes give a bit of a lead when contemplating an entry or on the formation of local or session extremes.

 

Strongest Indications

 

These indicators speak loudest when they confirm each other and do it across more than one time frame.

 

The first chart below shows a 1k volume bar chart with a strong bottoming spike confirmed by positive divergence between price and V94Window. The second chart confirms the first with positive divergence between price and V94 in the much higher time frame 8k volume bar chart.

 

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This second chart confirms the indications of the first with the same positive divergence but in a much higher time frame.

 

Please click to enlarge image

 

Service & Support

 

We support these indicators with service via email, phone or Skype by contacting us here.

 

Time permitting we will also support installations in real time via screen sharing and phone or Skype.

 

We invite your queries

Edited October 3, 2011 by UrmaBlume