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Old 09-11-2011, 09:12 PM   #17

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Re: Tape Read (Time & Sales) Strategies

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Originally Posted by Xiao si »
Great idea, this could be a good substitute for my IB time and sales window, can that be done? Can excel take streaming data from IB and display it?

XS
Taken be til 2am, but I think I now have Time and Sales in Excel, streamed from IB. Will test it tomorrow when market opens. If it works the possibilities are endless, in terms of what events I could program the spreadsheet for.

Will keep you posted....
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Old 09-12-2011, 01:47 AM   #18

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Re: Tape Read (Time & Sales) Strategies

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This is not tape reading--what he's doing can be accomplished by using a breakout of a bar. He used a 20 second range. Why not just use 20 second bars, and buy/sell a break of the high/low? Tape reading is about more than bracketing highs and lows--if you can see it in a bar chart, then you don't need the tape for it.

What watching the tape will tell you that a bar chart will not, is how many transactions are being executed (though volume will tell you this as well), whether they are buy or sell orders (which delta will tell you), and roughly how fast the orders are being executed. For example, without a time and sales window, you cannot see that buyers are buying 86.00, yet 86.00 does not go bid. You simply see price stalling at 86.00. With a volume histogram and delta, you can see basically what's happening with the T&S, but having the tape open makes for an easy visual reference.

I would recommend to not just watch the tape by itself, but rather use it at areas you identify on your chart as areas of interest. I'm sure some people can do it, but why use it by itself, when you can use it simply as confirmation? For example, if you see support at 85.50, when price dips to there, notice what happens--do sellers aggressively short at this area? Are there heavy bids on the DOM that are clearly not spoofing, buyers who genuinely want to buy? Does price barely budge even though the volume is heavy? Do they try to sell it off twice, and then the second time the momentum of the tape is slower, volume is generally lower, and more buyers are buying the offer? These things are IMO how tape reading can be beneficial.
Dear joschdance
You sound knowledgable
Two questions
Would a tick by tick chart not give you the same info?
Is the tape useless without corresponding volume?
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bobc
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Old 09-12-2011, 03:46 AM   #19

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Re: Tape Read (Time & Sales) Strategies

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Originally Posted by joshdance »
I would recommend to not just watch the tape by itself, but rather use it at areas you identify on your chart as areas of interest. I'm sure some people can do it, but why use it by itself, when you can use it simply as confirmation?
My recommendation to focus solely on the tape, was for someone learning how to read tape, not trade off it. I use the tape for confirmation, i use the charts to identify the setups, levels etc.

I don't think one can learn to read tape with the distraction of a chart. That's why i suggested writing the levels down.

To each their own, whatever works for ya mate!

XS
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Old 09-12-2011, 08:02 AM   #20

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Re: Tape Read (Time & Sales) Strategies

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Would a tick by tick chart not give you the same info?
The smaller time frame or period the chart, the more information you will see, and with a small tick or volume chart, yes, you will see a closer picture to what the tape will show. I keep a tick chart open for this reason, to have a very quick look at the "historical tape" for the last minute or so (as the time and sales will only show about 80 transactions on a typical screen). However, time and sales will give you an immediate visual of bid/ask to go along with that, and for that reason I keep it open.

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Is the tape useless without corresponding volume?
I don't quite understand the question. If you mean the "volume" column to see the number of shares/contracts traded in the time and sales window, then, it's not useless without it, but I see no reason to not display the volume.
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Old 09-12-2011, 09:02 AM   #21

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Re: Tape Read (Time & Sales) Strategies

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I don't quite understand the question. If you mean the "volume" column to see the number of shares/contracts traded in the time and sales window, then, it's not useless without it, but I see no reason to not display the volume.
Hi joshdance
I trade the South African Top 40 index future. Its like forex. There is no volume available.
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Old 09-12-2011, 02:34 PM   #22

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Re: Tape Read (Time & Sales) Strategies

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Hi joshdance
I trade the South African Top 40 index future. Its like forex. There is no volume available.
Regards
bobc
I am not familiar with this--if it's traded on an exchange and there's no volume information available,I would not trade it. At least with interbank currencies there are the futures equivalents which have volume, and can serve as a good proxy (for example, EURUSD = 6E at the CME), but if there's no volume information available I would not trade it.
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Old 09-12-2011, 10:56 PM   #23

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Re: Tape Read (Time & Sales) Strategies

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However, time and sales will give you an immediate visual of bid/ask to go along with that, and for that reason I keep it open.

Interesting, i use the DOM for the B/A. I only use the T&S for the prints, the size and occasionally the time. I don't think you are a trader that really uses the tape as most index scalpers that I'm familiar with do. I think you are a chartist, and have little interest in the order flow.

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Old 09-12-2011, 11:49 PM   #24

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Re: Tape Read (Time & Sales) Strategies

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Originally Posted by Xiao si »
Interesting, i use the DOM for the B/A. I only use the T&S for the prints, the size and occasionally the time. I don't think you are a trader that really uses the tape as most index scalpers that I'm familiar with do. I think you are a chartist, and have little interest in the order flow.

XS
"The tape" is time and sales, it is not the DOM. The DOM represents orders, which can be changed. Time and sales are the tape, they are transactions that have occurred. "Reading the tape" does not rely on a depth of market, though I do use a DOM to try to get a clearer picture.

Don't know if it's been mentioned by the way, but if you use IB for data, their time and sales data is not accurate at all. Their ticks are filtered, and you need a more accurate, unfiltered data feed such as IQFeed if you want the actual transactions. IB will combine transactions, for example.
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