Karish

Blowfish thanks for the info on CME Top of Book, I down loaded example file they had and compared it to my cache data collected during normal operation from IQ. I compared BB and BA data and no doubt its not the same, main diff is in the amount of updates. I will do thorough analysis and share my findings. Karish

There are lot of discussions here on the difference between institutional / unfiltered and retail data feed (such as IQ / esignal) quality. Can someone with access to institutional data feed share with us the differences between them. cheers,

Scott, thank you very much for the very valuable information. I had my guesses about how these prop shop work and you confirm many of them. My belief is that even if I cannot play this game myself, understanding these players behavior and intention can assist me in building my own strategies / indicators to present their activity. The other group I'm trying to understand/analyze their behavior are the so called "smart money" who execute part of their strategies at limit and not for MM, HST business. We cannot see them directly looking at Volume Delta, but their footprint is there.

Scott, Thanks As these shop doing most of their business in the limit side of the book they play Market Maker role, is the money they are sucking out of the market is it coming out of the overall MM business ,or in addition their practice cause for unfavored execution to liquidity takers?

Scott, If I understood you correctly, a lot of the logic you describe above depends on knowing the location in the bid/ask queue. Currently, when I send my limit order I do not know my location in the queue, how do they? Many Thanks

This may happen if you are using win7, if this is the case google "tws win7" and you will find the change in the command line

As in bar chart choosing different bar period generates different signal, also in PnF charts setting box size & number box for reversal would generate different signals. I am wondering if someone is able to identify the magic calculation between the asset and its box size and, box to revers

While watching the tape at the Bid / Ask action sometime there are trades at Bid and than without any up tick a trade at the Ask with the same price (the opposite occurs too). Attached is example from ES T&S yesterday using IQfeed. I am wondering how such event is possible, is it bad data ? Thanks.

Just read now why the discussion about NT started.:helloooo: Interesting Idea FT, I plan to test two VWAPs analysis for Bid /Ask and to see if the relation between both VWAPs has value. Regarding your idea, If you have Neoticker I can program it, just need more detail on the idea

This explains it, current NT version has volume, momentum and others. In addition they have a kind of API which can be used to build what ever you like superposition bar.

Thx for clarification , I would than recommend to feed the created CVD to NT UDS - user defined symbol and create a data series which is the actual underline contract CVD, this newly created series can be displayed by using all kind of bars supported by NT. Use price series synced to this Series. Little long but achievable. Hope it helps.

You can get CVD in Neoticker in a snap - calculate using DayTotalBidTrades, DayTotalAskTrades CVD. To display indicator as candlestick in the indicator setup, Meta style display as: candle, and you got it.

Thx BF, One of the theory's tenants is that during weak order flow that liquidity provider will trigger Stop Loss, any idea if we should categorize it as part of their inventory balancing or it is just making easy money?

Pardon for my lack of knowledge, can you please explain why during the process of distributing large stock block, the algo provider need to buy inventory. Even if they do need to buy some inventory during the distribution process in order to minimize their effect on the stock price, one would expect that the algo process would clear the unnecessary inventory along the process, and not to carry to much to the end. Thanks, Karish

madspeculator , Thanks for your educating post, In relation to liquidity takers / providers you said that: FT is using CVD to spot liquidity zone where the CVD measures the market orders (aggressive traders order flow) in the market, Is it correct to say that CVD is measuring the liquidity takers (commercials?) as the market order takes liquidity out of the Limit order book pool. But once they took the resting limit orders, they are left with the inventory which happens to be the liquidity provider once the market is visiting this zone afterward Thanks Karish