AgeKay

I signed up with IQFeed recently. Historical data is 30 days after market hours and 7 days during market hours. Found out today that they don't have servers in Europe for Eurex which might cause the 1 second lag I experience (compared to Zen-Fire), which is pretty bad. I don't know whether the 1 second lag is really due to the latency but it makes sense. I will investigate this tomorrow... So far the only data feeds I can recommend are TT and Zen-Fire.

All bar charts and candle stick charts - based on ticks, volume, price or time - have one big flaw with regards to volume. You don't see how much volume was traded at each individual price, only how much traded at a range of prices, which makes it pretty worthless in my opinion.

Jon, I don't get your entries. You seem to enter on random places. They don't seem to be based on PA at all.

Yes, but currently only if there were also trades at that bid or ask, I might change this in the future though. This is how I think of price changes when I watch the order book so it makes natural sense to me to plot it that way. I would not use it with FX though because volume plays a big part on those charts.

None that I know of (I wrote my own charts). No, sorry.

You still have to look at volume, of course, but I would say it makes a lot more sense on a chart based on price changes.

I think the best charts are based on price changes (like P&F) because that's what traders care about (P&L). My favorite chart is one that shows you each individual price change based on the inside market because that is the only chart that does not require arbitrary parameters and it makes S&R easier to determine.

Same here. It looks too me as if the chart program took an overdosis of crack and vomitted random lines and text. I am just kidding Maybe you could explain what all of this on your chart means?

bakrob99, <= in the original code with LargeBlockFilter set to 49 is equivalent to your Example 1. >= in the original code with LargeBlockFilter set to 50 is equivalent to your Example 2, but cleaner. E.g. what happens if some drops a trade larger than 9999? Your code would exclude that trade. You should have called "IncludeSizeGT" just "minimumSize" and your "ExcludeSizeLT" just "maximumSize" which would make it much clearer what this variables actually mean. Or just leave the original code alone which works perfectly fine.

Sorry, Tasuki, I didn't mean to put it in quotes. The text in the code was supposed to be my reply to your question what the <= and >= signs in BlowFish's code mean. So: <= means to count the delta of trades smaller than LargeBlockFilter (i.e. "small trades") >= means to count the delta of trades larger than LargeBlockFilter (i.e. "big trades") And the text below the quote was just my general comment also directed to you.

Tasuki, you should definitely try to understand what this indicator means. Otherwise, it's just one more "magic" indicator that will never make you money.

I thought so too, but then I realized that it's actually might be better to be a market taker when you are a large directional trader since you have the ability to change a price. For example, let's say the best bid is 9 and best ask is 10. There are 200 contracts bid on 9 and 200 contracts offered on 10. The large trader wants to buy. The buyer has two options: 1) Place limit order on bid 2) Hit the ask with a market order Let's go through both scenarios: 1) You join the bid. Now there need to be 400 contracts traded on the bid to fill your entire order. There are two problems with this: a) You don't get your entire order filled because less than 400 contracts trade (which is bad). b) You do get your entire order filled but the whole bid would have to be taken out unless another large trader joins after you on the bid. This means the price changes to bid 8, ask 9. Your got filled on 9 which would have been the same if you had waited for the price to change down and then hit the ask. But you took the risk of not getting executed by using that limit order. 2) You hit the offer and it's likely you take out the ask doing that. So the new price is now 11 bid, 11 ask. Your order was filled at 10. So you have effectively bought the bid of the new price. But your execution was guaranteed. I think scenario 2 is more favorable if you are a large directiona trader since in fact you can take out an entire price with your market order. Another problem with limit order is that you might not want to show your entire size to avoid front runners, but if you don't you might not get filled. But even if you do get filled, you always want order flow to change immediately after you get filled. What I mean by that is you want your bid to get filled by sell market orders, but as soon as you get filled, you want to see buy market orders to make price go up and not put you in a losing position. If you use a market order instead, you get filled immediately. Yes, your order shows up on the time & sales. But you don't care. You're already in. If anything, it's a good thing that you order is visible on the tape because you are making other traders that watch indicators like those posted in this thread follow you, pushing price in the direction you want it to go. Of course, as with everything in trading it's never not clear cut and it depends on your strategy, but I just wanted to point out that market orders do have advantages, especially if you are a big trader.

RichardTodd, I never understand how people can say that big traders win over small traders. You say at least 70% of volume is caused by big traders. At most 50% of traded contracts can be winning. Let's clarify this and break it down. 70% of volume by large traders leaves at least 20% losing (70% total - 50% winners = 20%). But you're only tracking those that are using market orders. Someone has to match these with limit orders which are apparantely all losing. So 70% of large limit order traders have to be losing since only 30% of small market order traders are losing to them. So what you get in the end is that about half of large traders are losers. Maybe you could clarify?

I find it interesting that everyone here except BlowFish found it so hard to come up with a version even though the concept is really simple if you understand how trading works (i.e. order matching and difference in order types). You should all read the two books BlowFish recommended before wasting more time on figuring out indicators you don't understand. Please don't flame me though for that comment. This is well-intentioned advice.

Agree, I have been reading his blog for some time and it's excellent. Be aware though, he posts every day and on the weekend you'll get a video where he sums up his week so it takes a little time to keep up. This is the only trader in the internet I know that is successful and does not try to sell you shit. He prefers to trade like a market maker - providing liquidity - but does the occasional "speculative trades" (what he calls it) which are basically just directional trades. He trades a lot of contracts though and is member of CME, so his pays lower commission (saved him half a million last year).

I noticed the same in other markets. I have compared volume and number of trades to daily range and had the feeling that number of trades is an even better measure than volume. Have you looked at that?

Very likely that this is the reason. I guess another reason is that people just want to go home at some point. Beginning trading at 8:00 and stopping at 17:30 means their work day is 9.5 hours which is already longer than in most other professions in Europe. Xetra is in Germany where people work 7h per day on average...

Yeah, you're right. It's not hard rule though. Volume usually drops off at 18:00, sometimes at 18:30 or even 19:00.

The futures trade at the Eurex until 22:00 on regular trading days. Did you mean the underlyings?

If that mini DAX has the same volatility as the FDAX now, then that 1 mini Dax contract would be identical to a 1 FESX contract. Be prepared to see heavy computerized trading (auto spreading).

Do you have a link to that?

Blowfish, I remember the FDAX was extremely correlated to the FESX. How can they move the FDAX without moving FESX? Programmer, sorry, your response does not make any sense to me because there are no traditional market makers in FDAX.

So what is the logical explaination for these spikes?

I like that he points out that you have to understand the auction process. I have the feeling most traders are so far away from trading by looking at charts and indicators that they have forgotten how price changes as if price just changed magically...

brownsfan, back to blackjack, my favorite casino game. From your description, it didn't seem you were playing basic strategy? Here is what I find interesting about Blackjack. If you play perfect basic strategy, the casino's edge is only 0.3%. Which means that after having played 100 hands you will have lost 3x you're bet. Yet most players I see lose their whole stake in less than 50 hands while I usually double mine in that same time (I have never left a casino having lost money at blackjack). How can that be when we are all sitting at the same table? First of all, most player don't even know basic strategy so they don't make the right decisions on some hands. Big mistake is that they don't double when they should. But this is not the main reason they lose. They lose because of poor money management. For example, the minimum bet is £5 and they arrive with £30 at the table. You are guaranteed to lose with that amount of money because of the huge variance (winning and losing streaks) that you can expect when playing. Yet I win? And I don't count cards (I am usually drinking instead and talking to my fellow players). Why do I win? Luck - pure luck, but I take advantage of luck. How? I just play basic strategy to minimize the casino's edge and quit when I have doubled my money. I double my money not because of any skill, just because of the variance. While playing, I might lose half my stake due to variance but I know I will break even if I keep playing since this is a 50/50 game in the long run. Then I will make money due to variance (luck) again. I then just quit. It makes perfect sense. You can do this in any 50/50 game. Just don't bet more than 5% or 10% on each hand to avoid risk of ruin. And I recommend not varying your bet size. I always regret it. Now to trading: What are you opinions applying this to trading? Assuming you have no edge (or just enough to cover commissions), shouldn't you be able to make money using this strategy?