[salsaman]

Awesome SwanJR. Look forward to your observations today.

[swansjr]

Originally Posted by daedalus »

Good work man! You got a lot further than I did. I spent the evening in the EOT free indicator class trying to look at splitter examples for clues...

Didn't come up with much. Even with modifying the BA Pressure indicator to look for size it still leaves the fundamental question of how they are pulling this data historically and not just real time... and its one I don't have an answer to just yet.

Yeah, I have no idea how they are using historical data. Now, I guess it is possible to interface with tradestation's charting abilities and data feed via third party programming. For example, writing custom DLLs. I wonder if they wrote a DLL that logs trade volume and then they access it later.

I would guess tradestation has an SDK for this type of work but his is outside of my realm of knowledge.

[BlowFish]

There are only a couple of tricks they can use to pull historical data. The obvious one is to store all the info you need real time in your own database/file. This assumes that the data was captured real time at the client.

The second is to read historical data tick by tick and make assumptions based on the relationship of tick(n) to tick(n-1).This actually is a pretty good 'proxy'.

Thats pretty much all they can do.

[uexkuell]

Originally Posted by HAL9000 »

On the other hand, it seems to me, that nowadays (electronic age)
you don't just order 200 ES contracts, instead you order 200 times 1 ES contract.
You "pulse" your order. From the commissions side it should be the same, so it makes sense to me.

Can only underscore this.

"Smart money" uses quite sophisticated software for working their orders. They do not just hit the "buy 200" order button.
Orders of big size show that the buyers are more in the category "big moose, but (at most) medium sophistication".

Therefore, their importance in determining important market turning points is not really that big.

Real smart money has btw already gone beyond pulsing orders.

[salsaman]

You may not be able to track hedge funds and so forth, but if you are at least tracking "smaller" traders who shoot off 2-5K share trades (pardon me, I'm in equities), odds will still be in your favor, because they have more experience and are often more right than wrong, to get to trade that size.

[BlowFish]

Originally Posted by uexkuell »

Real smart money has btw already gone beyond pulsing orders.

That's interesting, what might that be?

I think 'smart money' is not that useful a term, there are several different categories of traders that benefit from 'information asymmetry' making them 'informed traders', they pretty much compete with each other. These are the terms that those writing about market micorstructure seem to prefer (like O'Hara and Harris). That's not addressed at you particularly uexkuell....I blame the guys marketing certain VSA software <cough>

Anyway back on topic, why would they give up the spread and go to market anyway? Would it not make sense to join the limit side of the order book with iceberg orders? If they do need to go to market why increase the risk of slippage by pulsing orders? Assuming they have large orders to fill they require liquidity. There will be other traders competing for that.

In any case you might enjoy Harris chapter on bluffers and manipulation and how they can get stuffed if liquidity providers adjust their prices quickly enough or if value traders (as defined by Harris) are currently participating on either side of the market. If on the opposite side of the market the bluffer will likely hit a wall of greater liquidity if on the same side they will be competing for the same liquidity.

Would you pulse orders to hide order flow or to make it look greater? (to be honest only the later would make sense to me) Is it that effective? I guess that would be the first step for me in understanding why someone might want to do it. What sort of participant might want to and why?

Those interested in this sort of thing would undoubtedly enjoy:-

Amazon.com: Market Microstructure Theory: Maureen O'Hara: Books

Amazon.com: Trading and Exchanges: Market Microstructure for Practitioners: Larry Harris: Books

[swansjr]

Here are today’s results. I did not like how it was plotting during the morning session so I did some modifications. Below are two charts from the afternoon sessions. The price chart has two volume splitter indicators. The first one tracks TradeVolume of 50 or larger. The second one (on the bottom) tracks TradeVolume orders between 1-10.

The indicator is far from a true volume splitter but it does look like it might have some potential.

[flyingdutchmen]

did anybody manage to filter the amount of contracts like the indicator in the movie ? im having a hard time filtering them to my conditions
mincontracts - maxcontracts