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davewolfs
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Posts posted by davewolfs
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So based on this post, the method of tracking commercial trade is by viewing the volume that takes place during an intensity spike?
The direction of price movement that follows will give you an indication if the trades are buys or sells regardless if the trades are happening at the bid or offer.
Is this along the longs of detecting this commercial trade?
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Day Summary
Another day, Another New High
Trade was on just under average volume with a medium buy bias.
Net New Trade by Commercials was significant at +69, 198 contracts.
How are you determining what net new trade is commercial or not when you no longer have access to as many large blocks of trade given the new changes brought forth by the CME?
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Funny how the market always gives us surprises.
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Several here have come very close and have working indicators. They report that their versions have really helped their trading. Also the graphs you see are but one of 3 ways, that we know of, to present that same information.The algorithm is in this description - ""When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes." Another clue is that there is more than one data feed involved.
Some of what makes this game of ours truely great is that one needs no license, no permisision or approval from anybody and there are infinite ways to be hugely successful. You don't even need huge capital - all you have to be is right and if you are right you wont be little for long. This kind of trading is very leveraged and there is unlimited capital available for those with practical working protocols.
The challenge is that very few ever get there. The limiting factor is not money or equipment it is intellectual capital.
cheers
Another data feed? I don't believe anyone other then you has mentioned the use of multiple feeds to do this.
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UrmaBlume,How has the change in Tick Reporting by the CME affected your Indicators?
Bakrob99
Good question - I was wondering the same thing now since ticks show less volume how is the trade intensity indicator standing up.
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Dave,As to Bars and Time Frames:
While we do believe that it is important to stay in touch with higher time frames, how much higher depends on where you execute. At some point much higher just adds lag. For our human traders in ES the 16k bars are our highest and 250 the lowest.
We use NO time bars and we use NO tick bars. In the price time volume continuum time is only a marker - price is motivated by trade, propelled by an imbalance in volume and time has nothing to do with it. Of all the different bar structures we find the tick bars to be something worse than useless - they can be misleading.
Knowing that it is an imbalance that drives price, bars that treat each transaction equally regardless of size make it impossible to measure that imbalance with any degree of precision. Tick Bars give transactions of 1,000 contracts the same weight as a transaction of a 1 lot and that can easily be misleading.
As to your reference to the public/retail trader "is time since this is probably what most of the world looks at" we don't care or notice this trade. Public/Retail trade never leads the market, never turns the market and loses tons of money chasing the market. You may have noticed that much of our work is about identifying and classifying COMMERCIAL trade.
As to Jim Dalton, I found him to be a very nice guy but too linear to evolve much past what he was doing 30 years ago.
Market profile is invaluable as a theory but almost usless as a method. Almost every commercial trader I know has spent tens of thousands of dollars learning market profile but only 1 of them uses it as a method.
Thank you for the response UrmaBlume. Just to touch on the point that no time or no tick bars are used. May I ask why Time is displayed in the HUD you have developed. Is the purpose of this simply to gauge the markets in direction in terms of how well trade is being facilitated? Regardless, wouldn't all of this information be detectable through the use of the other methods we have discussed i.e. price volume time continuum and if so, then why not just use that?
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UrmaBlume,
I understand that you look at balance on multiple time frames, i.e. 2,4,8 minutes etc...
May I ask if you ever look at balance of trade on volume bars, for example I have seen that you have posted charts using 8000 bars, but have you ever used say 16000, or 32000 bars? I'm finding that the results here can be equally useful unless my calculations are wrong.
The idea for looking at balance on these larger volumes frames is based on the same principals of MP and balance areas. When the market comes into Balance on these large volume levels the same idea holds where price is easier to be moved out of balance. As Dalton puts it "Imagine a large stone balanced on a mountain peak...the stone might come loose and tumble down the mountainside". The key is understanding where that mountain peak exists and looking for clues on smaller levels to determine how hard other time frames are attempting to move that stone or what is the path of least resistance to move that stone.
I would assume that your preference is time since this is probably what most of the world looks at before placing a trade but I am curious to know if the same principals can also be applied using another unit of measurement. I appreciate any input and thank you again.
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When you start talking about "initial lean" you are starting to talk about psuedo science.Whether the time frame is days, intra-session or sub-second most of our trading is of a single modality. The trades are based on bias and time/volume frame. The method is to fade a shorter term thrust into a stronger, longer term opposite bias. That is to sell a short term up-thrust into a longer term down bias.
You've been sharing quite the hints lately UrmaBlume.
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If it was that easy, I would just subscribe to Market Delta. Some misguided soul even suggested that tick ratios in delta would reporoduce intensity as we read it.Add about sixty lines of code and 2 more data feeds to market delta and you are there.
I wouldn't knock Market Delta yet, there are a lot of things that can be rapidly prototyped within it. I will agree with you that you cannot properly calculate trade intensity, but that might all change in a future release
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Last night I got the smoothing worked out. I'd be curious to know what type of smoothing you are using UrmaBlume. As you said, this does lead price.
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Peter has always stressed the importance of the balance of order flow as an indication of future prices.We use a harmonic of short term money flow to measure the extent of the imablance of trade.
In the chart below the extent of an imbalance is mesured by how far apart the lines are. If the top line is blue, orderflow is imbalanced to the buy side and vice versa.
If the +'s are blue, orderflow carries a buy bias and a sell bias if they are red. We use this indicator in conjunction with other money flow metrics.
Thank you for the clue. I just need to work on the subtleties now.
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That's pretty much what I'm working on - wish I'd started maintaining my own database ages ago.I am wondering about the utility of feeding it back into NT, though, as opposed to just using NT for time charts, and hard-coding the volume charts I'd want from the API data.
Named Pipes and WCF
NT 7 will support .NET 3.5. -
I've found this too, and use it similarly, but I think that's also because my version isn't there yet - still working on scaling and noise.I wanted to thank you for your insistence on the ZenFire API being readily available - the response I got from them was very different from what Mirus had told me, so I'm setting myself up with 'correct' data now - which should make further development easier.
And congrats on your work!
My plan is as follow in the coming weeks.
I want to create an application that will connect to the Zen-Fire API and record the data to a database, allowing for precise millisecond precision. I already have the client connecting, I just need to record the data and patch it through to NT. Version 7 might make this vision easier. Also, Zen-Fire is in the works of updating their API to support historical intraday replay for every tick, so the plan is that as long as the app is connected by EOD, you can capture all tick data for the session.
I'm hoping that I can then patch the data through to NT, similar to what gom from paris has done. The advantages of having this in a DB will be the ability to perform other statistical analysis so we can all have our own custom dashboard with relative ease
I'm hoping to have some free time in the coming weeks, so hopefully I can crank this out over a few brews. -
This particular version was indeed written in Easy Language for Trade Station. We have our own dlls that allow us to use Trade Station data with much greater time granularity than is normally allowed.At the very top of today's market higher prices attracted very strong, coordinated commercial selling in all three US traded equity futures. This charts shows all three futures and the spikes that drove all three futures to new session lows and formed a reversal day down on higher than normal volume.
There was definitely blood in the streets today
For those who follow PA (see the Brooks thread), UrmaBlume's chart was confirmed by a perfect final flag on the 5 minute bar chart. The pulses that occurred at 14:50 - 14:55 were small but sells and there were significant spikes as the market dropped to the 20 bar EMA.My personal favorite occurred when pulses start firing again between 14:56 and 14:58 causing a pullback. The 15:08 pulse was the final nail in the coffin and confirmed the L1 entry where the market tumbled there after.
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UrmaBlume, I have your indicator working now. The way you plot your line is interesting, from what I can see the line you draw on your intensity has a min value of the total intensity and then is scaled upwards from that based on the rate of change between each blue bar - which based on my observations are trades that are happening at the ask.
One question for you. Is there a way to determine an ideal periodicity to use for a market. I've also noticed that this works much better in the ES then in other markets.
A side note for prospective users, my observations find that this indicator works best if you simply use it as a guide to determine possible changes in market direction. I do not enter based on this indicator, but I do trade using price action so once my existing strategies indicate that an opportunity exists I will go with the trade.
Today there were buy spikes at: 9:59, 10:38-10:42, 12:00, 12:21
Sell at: 10:17, 12:00
Of these spikes, 3 were followed by decent entries and those entries occurred on the biggest of the spikes..
Thank you UrmaBlume.
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The Force is what gives a Trader his power. It's an energy field created by all living things. It surrounds us and penetrates us. It binds the Markets together...
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UrmaBlume, could you please describe how long term trader commitment is computed to some degree. I unfortunately am still confused by this.
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What does the average time of day volume represent?
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"Perhaps I might have misread some of your previous posts then.So is trader commitment usually discovered during these intensity spikes and if it is, are you looking for orders or groups of orders that appear to be of a large size? intensity and commitment are not registered the same and for us, transaction size is not a consideration
What would help constitute that a trade is considered long term vs non long term? Based on what you have said your roots started with MP, so does some of this tie into initiative and responsive traders who are making their movies inside our outside specific value areas? whether it is intensity or balance of trade one of the issues with the profile graphic has always been that it can not be seen when it is inside the value area - no so with our gear"
I would have to assume, that the portion of the right of the HUD would represent some sort of buying/selling pressure for a given time period (i.e. overnight) based on the cumulative pressure that occurred during these different time frames. it is a bit more than that - it is the percentage of normal commitment for the period noted above and normalized for both bias and time of day
Just some other thoughts, you have mentioned that volume and size don't help in classifying the type of trader - how do you determine if a trader is long term or not? Are LDB reports part of the decision process?
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"Perhaps I might have misread some of your previous posts then.So is trader commitment usually discovered during these intensity spikes and if it is, are you looking for orders or groups of orders that appear to be of a large size? intensity and commitment are not registered the same and for us, transaction size is not a consideration
What would help constitute that a trade is considered long term vs non long term? Based on what you have said your roots started with MP, so does some of this tie into initiative and responsive traders who are making their movies inside our outside specific value areas? whether it is intensity or balance of trade one of the issues with the profile graphic has always been that it can not be seen when it is inside the value area - no so with our gear"
I would have to assume, that the portion of the right of the HUD would represent some sort of buying/selling pressure for a given time period (i.e. overnight) based on the cumulative pressure that occurred during these different time frames. it is a bit more than that - it is the percentage of normal commitment for the period noted above and normalized for both bias and time of day
Although subtle, your last point explains a lot and I appreciate your "commitment"
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Perhaps I might have misread some of your previous posts then.
So is trader commitment usually discovered during these intensity spikes and if it is, are you looking for orders or groups of orders that appear to be of a large size?
What would help constitute that a trade is considered long term vs non long term? Based on what you have said your roots started with MP, so does some of this tie into initiative and responsive traders who are making their movies inside our outside specific value areas?
I would have to assume, that the portion of the right of the HUD would represent some sort of buying/selling pressure for a given time period (i.e. overnight) based on the cumulative pressure that occurred during these different time frames.
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I've read in your previous posts that you commitment can sometimes can be defined as ticks that happen on the upside vs ticks that happen on the downside. How are you defining whether or not a trader is considered long term? Are these traders who are involved in the initial movement that occurs around an intensity spike?
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Tams,So far I have never seen an actual working Cumulative Delta candlestick study in TS live (for the 6 years I have tracked and traded with Cumulative Delta). I would really need to watch the indicator live for a while (hour or two) to come to a proper conclusion. For Tradestation, the Cumulative Delta candlestick study set up the way I use it with Investor RT is kind of like UFO's....I know they are out there but I have not yet been offered a ride!
I myself would LOVE to have a proper CD candlestick study for TS so if someone has one that works that would be GREAT! Also, to properly track CD you really need the candlestick format with multiple days of accumulated plotting....that is a must in my book!
BTW, an ideal set up would be Zenfire or DTN.IQ feed pumped into TS with a proper CD candlestick study that can look back at least 30 days of bid/ask data!
I hear yah, I've started working on it. No ETA on delivery though.
Daily 10/15
in General Trading
Posted
One thing that I have noticed in my own analysis is that much of the trade on a swing low will be responsive and will therefore occur at the bid while swing highs will also be responsive and therefore occur at the ask. In both cases this institutional buying/selling is acting as a built in break to stop the market in it's tracks and reverse its direction.
Regardless of the spike - how does this explain what constitutes as commercial vs non commercial trade? Based on your definitions would trade ever be considered commercial that happens outside of a spike?