[RichardTodd]

Originally Posted by BlowFish »

If I was to tackle block size as a project I would look at some sort of statistical analysis of blocks to determine dynamically what was 'large'. Not sure how well that would work but would dynamically adjust for seasonality and may be even fast enough to adjust for open, lunch, globex etc. I think this might be surprisingly powerful, send me a cheque if you make millions from it

Actually I did this last summer when it annoyed me that sometimes during lunch there were no 100 contract traders at all. The version I did can trade on a single chart from the day session into the evening session and it transitions over a few bars to the new environment(s).

While it's neat that it can do that, I wouldn't say it's surprisingly powerful. "Wonderfully convenient" is more like the extent of it. I was actually a little disappointed. It does seem to take a little noise out of the line when really big players come to the game (since it starts focusing only on them), but on fast charts those same really big players will be so much of the volume that they will dominate the shape of the splitter line anyway.

So, I didn't even bother to release it (because I was too lazy to make the enhancement for TS, eSignal, and our other platforms) (I did it on ninja). But, lately it's been pointed out that people have trouble finding the 'right' settings for their splitter on other markets besides ES, and the dynamic splitter would 'solve' that problem for the common case where you just want to follow the big players. So, sometime in the next month my company wants me to release it after all.

The new version will have a few enhancements to how it judges the line thickness as well.

[RichardTodd]

Originally Posted by cunparis »

I looked up your prior post that you referred to. I have studied the chart and I'm seeing something different than you so I hope you can elaborate a bit. You say that price pulled back but the big traders kept going in their direction. From what I see the big traders did participate in the pullback and the smoothing effect of the MACD makes the macd line flatten out a but it doesn't pull back.

Well, if you consider how a macd works, then you know the line flattens out because the ema's are still separating but at a slower rate than before. So, momentum is coming out of the underlying in those cases, but the underlying isn't pushing down. Price coming down during an uptrend without big traders bothering to sell == potential for profit$$$

[cunparis]

Originally Posted by RichardTodd »

Well, if you consider how a macd works, then you know the line flattens out because the ema's are still separating but at a slower rate than before. So, momentum is coming out of the underlying in those cases, but the underlying isn't pushing down. Price coming down during an uptrend without big traders bothering to sell == potential for profit$$$

Thanks for the explanation, it makes sense to me that it flattened out but did not turn down.

I'm curious, for ES, what is the best trader size to follow? Yesterday I followed three groups:

1,1
100,199
200,9999

it was interesting that there was a difference between 100-199 and 200+. It appeared the 200+ traders seemed to be a bit early around the turns. I suspect it's because when you're trading 200+ contracts you must sell into increasing prices and buy from decreasing prices and also that it was their activity which turned the market.

[BlowFish]

Originally Posted by cunparis »

They are surprisingly close. Maybe faster ma periods would make for less lag.

Also the EOT indicator doesn't lead as much as I initially thought.

I think I mentioned this earlier in the thread but you could use one of the 'fancy' low lag MA's Jurik, Hurst, Ehlers etc.

[BlowFish]

Originally Posted by RichardTodd »

.......Actually I did this last summer when it annoyed me that sometimes during lunch there were no 100 contract traders at all......

Using SD's actually is a no brainier (well it is to me but then I am a no brainer myself )....except they are rather slow in execution unless you implement them as a continuous algorithm.

I also wonder whether it is worth eliminating outliers in certain cases. For example Globex allows you to negotiate blocks with a counter party outside the auction process (i.e. off the exchange). This is then reported as a single large block trade. There is a minimum size to use this feature (can't recall what) but it is probably worth eliminating them altogether.

[RichardTodd]

Originally Posted by BlowFish »

Using SD's actually is a no brainier (well it is to me but then I am a no brainer myself )....except they are rather slow in execution unless you implement them as a continuous algorithm.

Yeah, I used an alternate method that's eager to jump down and a bit more reluctant to jump up. The reason is that there's not much penalty for including too many traders for a bar or two (just a bit more noise), but including too few traders leaves the line flat.

Originally Posted by BlowFish »

I also wonder whether it is worth eliminating outliers in certain cases.

That's funny you should say that, because the dynamic splitter I made had both a minimum and a maximum that you could set. They were just static inputs, rather than SD-style outlier detection, though. In other words, no matter how slow the market was, I didn't want my splitter telling me that 5 contract trades were "big." I put in the maximum thinking of those extraordinary blocks you see in the tape on stocks sometimes, which in my experience has the opposite effect of a normal block if it has any effect at all. I actually didn't know about off-market globex trades. I don't think I've ever noticed an obvious one, so that's very interesting. Maybe I don't know how to spot them.

[AgeKay]

Originally Posted by RichardTodd »

I actually didn't know about off-market globex trades. I don't think I've ever noticed an obvious one, so that's very interesting. Maybe I don't know how to spot them.

Me neither. Does anyone know how to spot these and what affect on the market this can have?

[BlowFish]

I did have a search of the CME before I posted and if there was an obvious helpful link I would have posted it (honest I did). There are quite a few links returned and I went through the first few but nothing that helpful (just talking about it in principle). There is a minimum size that is set (and sometimes adjusted) by the exchange. Eurex has the same feature too incidentally.