[AgeKay]

I am wondering whether off-exchange block trades even matter since they do not change the inside market. They would have to appear in the DOM and time & sales to have an effect on the market, no?

[shrike]

hi

thanks for sharing your works

[BlowFish]

Originally Posted by AgeKay »

I am wondering whether off-exchange block trades even matter since they do not change the inside market. They would have to appear in the DOM and time & sales to have an effect on the market, no?

I am pretty sure they are reported (i.e. cross the tape) but you are right they would not show up on the order book. It puzzles me exactly how it works if it is negotiated away from the market price.

[RickAce]

Originally Posted by BlowFish »

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.

Hello BlowFish,

I was wondering if you could add to your VolumeSplitter a reset to zero at the morning open (09:30 est) - or allow it to be at adjustable times.

inputs: 
Desc("AddText"),
UpColor(darkgreen), 
DownColor(red), 
DeltaBar(1), 
MaxBlock(9999),
MinBlock(0),
ResetDeltaEachBar(0);   

variables: 
MyVol(0), 
Block(0),
color(yellow), 
intrabarpersist MyCurrentBar(0), 
intrabarpersist VolumeAtBid(0), 
intrabarpersist VolumeAtAsk(0), 
intrabarpersist BAVolRatio(0), 
intrabarpersist VolTmp(0), 
intrabarpersist Delta (0), 
intrabarpersist DeltaH (0), 
intrabarpersist DeltaL (0), 
intrabarpersist DeltaO (0);  

if LastBarOnChart then begin    
MyVol = Iff(BarType < 2, Ticks, Volume); 
if CurrentBar > MyCurrentBar then begin 
VolumeAtBid = 0; 
VolumeAtAsk = 0; 
BAVolRatio = 0; 
VolTmp = 0; 
MyCurrentBar = CurrentBar; 

if ResetDeltaEachbar = 1 then Delta =0;
DeltaO = Delta; 
DeltaH = Delta; 
DeltaL = Delta; 
end; 

Block = Myvol - VolTmp;
if (Block >= MinBlock) and (Block <= MaxBlock) then
if Close <= InsideBid then
Delta  = Delta - MyVol + VolTmp else 
if Close >= InsideAsk then 
Delta = Delta + MyVol - VolTmp ;  
VolTmp = MyVol ;
end;  

DeltaH = maxlist(DeltaH, Delta); 
DeltaL = minlist(DeltaL, Delta);    
if Delta <= 0 then color = DownColor else 
color = UpColor;  
plot1(DeltaO, "DO"); 
Plot2(DeltaH, "DH"); 
Plot3(DeltaL, "DL"); 
plot4(Delta, "DC");

Thank you very much in advance - these indicators have increased my success in the markets!

[flyingdutchmen]

Originally Posted by RickAce »

I was wondering if you could add to your VolumeSplitter a reset to zero at the morning open (09:30 est) - or allow it to be at adjustable times.

what would you want to do reset it, are you having the skript running 24/5?

as long as you open it before market will open it will not run any data and start
calculate all variables at "0"
in case it is still your wish place something like this in the code

inputs: ResetTime ( 0530 );

if t = ResetTime then begin //the 0530 is an example replace it by the future's closing-time - the time the last bar of that session will close
DeltaO =0;
DeltaH = 0;
DeltaL = 0;
Delta  = 0;
VolumeAtBid = 0;
VolumeAtAsk = 0;
BAVolRatio = 0;
VolTmp = 0;
end;

[flyingdutchmen]

i found this litle peace of info on another forum (yes that one)
can someone confirm this

I have been a TS customer for 4 years( not anymore ) so a few warning about TS Datas:
- If you trade futures, Implied prices sizes on DOM and prints in T§S are missing. Depending on the market, it can be half the prints...
-bid/ask datas( important for HF systems ) are not real time . It's just a snapshot at every tick.

[Tams]

You might be surprised to find out...
MOST of the data providers supply quotes in snapshots.

You can check the fine prints in your service contract for detail.

[flyingdutchmen]

im not realy that surprised
well ok, if it suits the quotes as well maybe i am
untill today i have not been able to customize any indicator that
shows correct t&s data

it indeed looks like a snapshot using skripts with commands like insidebid/insideask

wenn using upticks/downticks i am sure the information is an "average" only
as i see in my T&S window that within a single tick there could be over 10
different orders at mixed bid/ask

just wondering if you guys experience the same,
if so this all would be flawed