Institutions Buying Vs Traders

[brownsfan019]

Iceberg orders would be a serious issue as the goal there is to make it look like many smaller orders. Open ECry has a nice Iceberg feature and here is what the user guide says about icebergs:



Order user guide attached to post for anyone that could use it. Nice info in there, even if not using OEC.

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As for the indicator, give it a test in real-time and see how it goes. It looks like you got a trial or purchased it, so give it a go and report back what you find. Real-time will be the key obviously.

[atto]

Iceburging would be a huge problem, and it's trivial for large size traders to do this. Hiding order size isn't the only reason to break up trades, by the way. Additionally, any arbing or hedging could actually go the other direction, even in huge size. The ES isn't a closed market, people trade it many different ways.

I examined a few charts with this indicator on them, and I couldn't find a significant edge (small sample size, but these were cherry picked charts to begin with). In fact, a few times, the small orders led the market much sooner. This whole setup also assumes that bid/ask volume is correct, and truely represents buying/selling exactly (it doesn't). Also, I noticed an undo emphasis was placed on the zero line, but in reality, that shouldn't have that much more significance than any other line.. a "slightly below the zero line, so they're net sellers, so it's ok to short" is not very different than a "slightly above..." in terms of actual orders. Finally, this assumes that everyone is trading on the same timeframe. A 60 minute chart trader enters in a zone he defines as "buy" or "sell", regardless of the micro movements below him, and regardless of his size.

The concept seems interesting, and may be a good tool, but it isn't as simple as he leads you to believe, in my opinion. If he finds this thread, I welcome him to respond to these issues.. I'd love to be wrong about it.

[swansjr]

I to ran across this new indicator on Richard's site and it seems like a good idea. I follow his posts every now and then and he's really geeked about his new baby: the "Volume Splatter" indicator. Yes, it may now work well because it is so new and thus does not have a lot of back testing behind it. Yet, I'm interested in how he does it.

Two basic things are going on here:

1) Richard is splitting the different traders into three camps (small traders, medium traders and big traders). Each camp has it's own indicator window. It appears Richard is, for example, defining "big" traders as those who initiate a position with 51 or more contracts. Does anyone have an idea how this information is obtained in TradeStation with EasyLanguage? How does he split the “big” traders from the “small” or “medium” sized traders?

2) It then appears he takes the amount of volume to build the size of the dot or "splatter" mark for each of the appropriate camps. Once we have the different traders split apart what would be a good way to compute the size of the dot?

I think it’s an interesting concept but I’m not clear on how this can be done with EL. Hopefully someone with more experience in EL can help me get this started. Any ideas?

Thanks,
Jeff

[thrunner]

https://www.tradestation.com/Discuss...=53982&PAGE=58

It is officially called "volume splitter" splitting traded size into:

1. Small 1-10
2. Medium 11-50
3. Large >50

[Tresor]

	Quote:	brownsfan019
	If there is a trial, get it and try it out for yourself. Report back on what you see.

Unfortunately, this indicator will be part of Elite Series (non-standard package) and cannot be trialed.

[Soultrader]

Iceberg allows big traders to hide the actual order size. But from my observation... even Iceberg orders can not conceal supply/demand entirely.

At key turning points, the DOM leaves a clue. Lets say the bid/ask is around 300 lot each on the ES coming down to support. The bid remains at 300... the tape shows contracts being hit at the bid. The bid falls to 80 contracts, however no matter how many sellers hit the bid the level doesnt drop. In other words, though the bid looks thin enough to get taken out it is holding. The bid is refreshing everytime to lets say around 80 lot. This is showing accumulation at that level. The true order size is hidden at the bid... but the tape is showing buying. Its probably alot better showing this visually... but hope this makes sense.

Also, I dont think all exchanges support Iceberg orders?

[MidKnight]

Good post soultrader. It is true that not all exchanges support iceberg, however it doesn't need to be natively supported to be widely utilized. Brokers and various order entry frontends do simulate it.

Your example described above is what I term as passive buying. This is indeed how a lot of the turns occur. Recognizing it in a timely fashion I have found difficult. Its always something I notice in hindsight. I'd like to automate this somehow, but so far I haven't been able to describe it in code properly.

[BlowFish]

I have always thought it would be interesting to write an indicator to look at the order book and tape compare orders filled with orders pulled ... add in ease of price movement too maybe. I have always had a hunch that seeing a level refreshed (or orders pulled) would be a good indicator of short term intent.

If the splatter plot simply divides by block size and then plots a suitable sized dot it should be pretty trivial to code btw.

[Tresor]

Maybe someone could give a try and code this?

[brownsfan019]

	Quote:	Tresor
	Unfortunately, this indicator will be part of Elite Series (non-standard package) and cannot be trialed.

Buyer beware if there is no trial offered.

If this was as good as advertised, why not let someone give it a go for a week or two? If it is that good, most would surely purchase it...