thrunner

Thank you very much for the update and explanation, Jerry. Attached please find two plots of the same period in question, based on TS data and DBtina VWAP TS code, one with start time of 0930 and the other with start time of 0000 EST. The DBtina based code generated similar results to your ESPL study. However, VWAP & SDs were about 1 point lowered with start time calculation at midnight most likely because of substantial volume prior to RTH (regular hrs).

ES 1200 anybody? Looks like every bearish Ww EPA is hit and every bullish Ww rejected. There is a convergence of some bearish Ww EPAs from all the way back in 10/17/01 There has got to be some buyers there, you think?

LOL, because you know you are a gentleman and you like to see NT traders do well. It kinds of bugs me that NT developers will cave in to the likes of Carter and Senters who obviously have taken from the open source programmers and personally profited from them without contributing back to the programming community at large. I also don't blame Ant (Antonio) for not releasing his market profile code because you know the same thing would have happened - programmers get nothing and the marketeers profit. NT 6.5 has this new export format call ntns, attached please find the file squeeze.zip containing squeeze.ntns for those who can't get the source to compile properly. This file was zipped because attachments on TL probably don't allow ntns yet. Squeeze.zip

This is interesting. NT may have pulled their version of the Squeeze indicator after TTM started developing in NT.. http://www.ninjatrader-support.com/vb/showthread.php?t=3055&highlight=squeeze For those who find this indicator of use, the original opensource code was created by Nick and eKam over at the TS forum before TTM copied it. There is a TS version here in TL: http://www.traderslaboratory.com/forums/f46/bb-squeeze-replica-for-tradestation-662.html eSignal version: function preMain() { setStudyTitle("FPSqueeze"); setCursorLabelName("FPSqueeze", 0); setDefaultBarFgColor(Color.blue, 0); setPlotType(PLOTTYPE_HISTOGRAM,0); setDefaultBarThickness(4,0); //addBand(0,PS_SOLID,1,Color.black,"zero"); var BBlow=null; var BBhigh=null; var KClow=null; var KChigh=null; var Mom=null; var vHigh=null; var vLow=null; var vClose=null; var fp1 = new FunctionParameter("nMA", FunctionParameter.NUMBER); fp1.setName("Squeeze Moving Average"); fp1.setLowerLimit(1); fp1.setDefault(20); var fp2 = new FunctionParameter("nSD", FunctionParameter.NUMBER); fp2.setName("Standard Deviation"); fp2.setLowerLimit (1); fp2.setDefault(2.0); var fp3 = new FunctionParameter("nColorSqueeze", FunctionParameter.COLOR); fp3.setName("Squeeze Color"); fp3.setDefault(Color.red); var fp4 = new FunctionParameter("nColorAction", FunctionParameter.COLOR); fp4.setName("Action Color"); fp4.setDefault(Color.lime); } function ATR(nInputLength) { var dSum = 0; var dH = high(0, -nInputLength); var dL = low(0, -nInputLength); var dC = close(-1, -nInputLength); if (dH == null || dL == null || dC == null) { return; } for (i = 0; i < nInputLength; ++i) { var vTrueHigh = Math.max(dH[i], dC[i]); var vTrueLow = Math.min(dL[i], dC[i]); var vTrueRange = (vTrueHigh - vTrueLow); dSum += vTrueRange; } dSum /= nInputLength; return dSum; } function main(nMA, nSD, nColorSqueeze, nColorAction) { //Bollinger Band Variables using 1.4 Standard Deviation var myStudy1 = upperBB (nMA,nSD); var myStudy2 = lowerBB (nMA,nSD); var momStudy1 = ema(10,mom(12)); var macdstudy = new macdHist(12,26,9); BBlow = myStudy2.getValue(0); BBhigh = myStudy1.getValue(0); Mom = momStudy1.getValue(0); macdvalue = macdstudy.getValue(0); var BarCntr; var nRangeFactor = 1.5; if (getBarState() == BARSTATE_NEWBAR) BarCntr += 1; if (BarCntr < nMA) { return; } else { var dKeltnerBasis= call("/Library/KeltnerEMA.efs", nMA); var dATR = ATR(nMA); KClow = (dKeltnerBasis - (nRangeFactor * dATR)); KChigh = (dKeltnerBasis + (nRangeFactor * dATR)); } //Logic to create red or blue squeeze signal if ((BBhigh <= KChigh) || (BBlow >= KClow)) { drawShapeRelative(0,0,Shape.CIRCLE,null,nColorSqueeze,Shape.TOP); } if ((BBhigh > KChigh) || (BBlow < KClow)) { drawShapeRelative(0,0,Shape.CIRCLE,null,nColorAction,Shape.TOP); } if (Mom > 0) { setBarFgColor(Color.blue); } else { setBarFgColor(Color.red); } drawTextPixel( 1, 93, "FPSqueeze v0.1: www.forexproject.com", Color.black, null, Text.RELATIVETOLEFT | Text.RELATIVETOBOTTOM | Text.BOLD, "Arial",10 ); return ((Mom+macdvalue)/2); } Metatrader version: //+------------------------------------------------------------------+ //| bbsqueeze.mq4 | //| Copyright © 2005, Nick Bilak, beluck[AT]gmail.com | //+------------------------------------------------------------------+ #property copyright "Copyright © 2005, Nick Bilak" #property link "http://metatrader.50webs.com/" #property indicator_separate_window #property indicator_buffers 6 #property indicator_color1 LimeGreen #property indicator_color2 IndianRed #property indicator_color3 LightGreen #property indicator_color4 LightPink #property indicator_color5 Blue #property indicator_color6 Red //---- input parameters extern int totalBars=300; extern int bolPrd=12; extern double bolDev=2.0; extern int keltPrd=6; extern double keltFactor=1; extern int momPrd=8; extern bool alertBox=false; extern bool audioAlert=false; //---- buffers double upB[]; double loB[]; double upK[]; double loK[]; double upB2[]; double loB2[]; int i,j,slippage=3; double breakpoint=0.0; double ema=0.0; int peakf=0; int peaks=0; int valleyf=0; int valleys=0, limit=0; double ccis[61],ccif[61]; double delta=0; double ugol=0; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int init() { //---- indicators SetIndexStyle(0,DRAW_HISTOGRAM,0,2); SetIndexBuffer(0,upB); SetIndexEmptyValue(0,0); SetIndexStyle(1,DRAW_HISTOGRAM,0,2); SetIndexBuffer(1,loB); SetIndexEmptyValue(1,0); SetIndexStyle(4,DRAW_ARROW); SetIndexBuffer(4,upK); SetIndexEmptyValue(42,0); SetIndexArrow(4,167); SetIndexStyle(5,DRAW_ARROW); SetIndexBuffer(5,loK); SetIndexEmptyValue(5,EMPTY_VALUE); SetIndexArrow(5,167); SetIndexStyle(2,DRAW_HISTOGRAM,0,2); SetIndexBuffer(2,upB2); SetIndexEmptyValue(2,0); SetIndexStyle(3,DRAW_HISTOGRAM,0,2); SetIndexBuffer(3,loB2); SetIndexEmptyValue(3,0); //---- return(0); } int start() { int counted_bars=IndicatorCounted(); int shift,limit; double diff,d[],std,bbs; /* if (counted_bars<0) return(-1); if (counted_bars>0) counted_bars--; limit=Bars-31; if(counted_bars>=31) limit=Bars-counted_bars-1;*/ if (counted_bars<0) return(-1); limit=totalBars; //Bars-31; ArrayResize(d,limit); for (shift=limit;shift>=0;shift--) { /*upB[shift]=0; upB2[shift]=0; loB[shift]=0; loB2[shift]=0;*/ //d[shift]=(iMomentum(NULL,0,momPrd,PRICE_CLOSE,shift) - iMomentum(NULL,0,momPrd,PRICE_CLOSE,shift+1)); d[shift]=LinearRegressionValue(momPrd,shift); //d[shift]=0;//FindDirection(shift); if (shift == 1) Print (d[shift]); if(d[shift]>0) { if (d[shift] >= d[shift+1]) { upB[shift]=d[shift]; upB2[shift]=0; } else { upB2[shift]=d[shift]; upB[shift]=0; } loB[shift]=0; loB2[shift]=0; } else if (d[shift] < 0) { if (d[shift] <= d[shift+1]) { loB[shift]=d[shift]; loB2[shift]=0; } else { loB2[shift]=d[shift]; loB[shift]=0; } upB[shift]=0; upB2[shift]=0; } else { upB[shift]=0.01; upB2[shift]=0.01; loB[shift]=-0.01; loB2[shift]=-0.01; } diff = iATR(NULL,0,keltPrd,shift)*keltFactor; std = iStdDev(NULL,0,bolPrd,MODE_SMA,0,PRICE_CLOSE,shift); bbs = bolDev * std / diff; if(bbs<1) { upK[shift]=0; loK[shift]=EMPTY_VALUE; if (alertBox == true && shift == 0) Alert("Warning for ", Symbol(), " on ", Period(), " chart!"); if (audioAlert == true && shift == 0) PlaySound("alert.wav"); } else { loK[shift]=0; upK[shift]=EMPTY_VALUE; } } return(0); } //+------------------------------------------------------------------+ double FindDirection (int i) { int j; double val; double bulls, bears; for (j=i+8; j>i; j--) { bulls += High[j]-Close[j]; bears += Close[j]-Low[j]; if (bulls > bears) { val = 0.5; } else if (bears > bulls) { val = -0.5; } //sum += (Close[j] - Open[j]); //val = sum/j; } return (val); } double LinearRegressionValue(int Len,int shift) { double SumBars = 0; double SumSqrBars = 0; double SumY = 0; double Sum1 = 0; double Sum2 = 0; double Slope = 0; SumBars = Len * (Len-1) * 0.5; SumSqrBars = (Len - 1) * Len * (2 * Len - 1)/6; for (int x=0; x<=Len-1;x++) { double HH = Low[x+shift]; double LL = High[x+shift]; for (int y=x; y<=(x+Len)-1; y++) { HH = MathMax(HH, High[y+shift]); LL = MathMin(LL, Low[y+shift]); } Sum1 += x* (Close[x+shift]-((HH+LL)/2 + iMA(NULL,0,Len,0,MODE_EMA,PRICE_CLOSE,x+shift))/2); SumY += (Close[x+shift]-((HH+LL)/2 + iMA(NULL,0,Len,0,MODE_EMA,PRICE_CLOSE,x+shift))/2); } Sum2 = SumBars * SumY; double Num1 = Len * Sum1 - Sum2; double Num2 = SumBars * SumBars-Len * SumSqrBars; if (Num2 != 0.0) { Slope = Num1/Num2; } else { Slope = 0; } double Intercept = (SumY - Slope*SumBars) /Len; //debugPrintln(Intercept+" : "+Slope); double LinearRegValue = Intercept+Slope * (Len - 1); return (LinearRegValue); }

All from the TS forum regarding the new $55 fee.

There were delays for quite a few traders although apparently some were not affected. There was also an advisory from TS about data transmission problems. This is not to say TS has more problems than the other data providers, it is just reported quicker with more details just because of the larger user base : Print Page | Close Window TS can't keep up with the market... Topic URL:https://www.TradeStation.com/Discussions/Topic.aspx?Topic_ID=72685 Printed on:01/19/2008 12:06:53 Topic: -------------------------------------------------------------------------------- Topic author:CarlC Subject:TS can't keep up with the market... Posted on:01/17/2008 10:41:03 Message: Over 45 minutes now and the TS platform still can't keep up with the market data. I did a speed check, runnung cable dsl @ 4-6 megs tested against 4 different locations. Logged in and out, shut down all but 4 workspaces, still the position graph bar is showing the Dow down 60 when right now it's down 118. Charts won't update, matrix is useless. This has been getting progressively worse over the course of the last two weeks. There's just no way TS can keep up with todays markets. CarlC -------------------------------------------------------------------------------- Replies: -------------------------------------------------------------------------------- Reply author:solidus Replied on:01/17/2008 10:43:33 Message: What kind of pc do you have? I haven't had my cpu over 20% all day - E6600 with lots of emini charts. Matrix has issues recently though. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 10:46:33 Message: P4, 2.4 gig, 2 gig ram. Maybe I need a dual or quad core? -------------------------------------------------------------------------------- Reply author:solidus Replied on:01/17/2008 10:48:55 Message: Dualcore is a ton better than anything that came before in my experience. -------------------------------------------------------------------------------- Reply author:TSAddict Replied on:01/17/2008 10:54:21 Message: Once again, a big market move and TS falls down. They just cannot cut it. Its not your computer, the TS Network Status screen said " Not Available" for all exchanges. I don't think I will be a TSAddict for much longer, seen far too much of this sort of thing. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 10:56:30 Message: I have a new Toshiba laptop at home with a dual core, 1.5 gig speed though. May have to try that. Gee, I was gonna buy a new desktop, but with the money TS cost me this month, it'll have to wait. (Lots of back office snafu's that kept me from trading). -------------------------------------------------------------------------------- Reply author:sunabeacho Replied on:01/17/2008 10:57:58 Message: Right now I see TradeStation ahead, thats right ahead of IB. Anywhere from 2-3 points on the ES. Although earlier I got an advisory from TS about data transmission problems. Edit. Spoke too soon just had another data lag. Someone must have dug in the wrong spot agin in Chi town. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:00:56 Message: TSaddict, I agree. I can see the T&S flying by so SOMEONE is executing. I just don't think it's TS clients. (though I can't tell if the trades are real time because they haven't fixed the TIMESTAMP ISSUE!). This is TS's "subprime" mess. -------------------------------------------------------------------------------- Reply author:superstar Replied on:01/17/2008 11:02:16 Message: OptionStation and data/matrix is not working. strange.does it make sense to connect to a different ts server? -------------------------------------------------------------------------------- Reply author:ehjh Replied on:01/17/2008 11:03:27 Message: 45 minutes ago TS message said that market data was delayed. Is it still delayed? They said that they would let us know when the sharks had keft the beach. At least tell us something even if its still delayed. I know in the past there has been a failure to remember that they said they would get back to us and we just never heard from them again on an issue. -------------------------------------------------------------------------------- Reply author:twsn1 Replied on:01/17/2008 11:04:06 Message: quote: -------------------------------------------------------------------------------- Originally posted by sunabeacho Right now I see TradeStation ahead, thats right ahead of IB. Anywhere from 2-3 points on the ES. -------------------------------------------------------------------------------- Sun, How do you measure the difference between IB and TS? How would "data lag" be accurately measured? Thanks -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:04:40 Message: sunabeach, On more than one occasion market data has been compromised because of flooding of building basements in Chicago. Many buildings along the river have sump pumps running 24/7 to keep water away from the comm equipment and ducts. May be time to move from Chicago. How about the Norad bunker in CO? -------------------------------------------------------------------------------- Reply author:sunabeacho Replied on:01/17/2008 11:05:20 Message: Eyeball it, very "scientific" I know. Right now they are printing the same. Hope it holds. I've got a dash for a bar @ 1054am on esh08. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:07:09 Message: Looks like TS is rebooting the trade or quote servers. Lets hope this helps. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:09:07 Message: Nope, server just came back up, the quotes and the trades are 6 full S&P points apart. -------------------------------------------------------------------------------- Reply author:sunabeacho Replied on:01/17/2008 11:11:51 Message: I am showing 1111am 1365.75 same as IB ESH08 -------------------------------------------------------------------------------- Reply author:sunabeacho Replied on:01/17/2008 11:12:49 Message: On Server 64.74.235.150 -------------------------------------------------------------------------------- Reply author:balha76202 Replied on:01/17/2008 11:14:11 Message: Everytime that the market makes a VERY FAST MOVE, TS is down for me. Hip Hip Hip Hourra for CQG. Never down but far more expensive. balha76202 -------------------------------------------------------------------------------- Reply author:goose Replied on:01/17/2008 11:14:22 Message: Log off and then Log On again. That should clear it. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:15:35 Message: TS, in all seriousness, I've read about a company call Limelight that's courts all the hedge fund firms and other brokers, offering some of the fastest connections to market data and execution servers. Might be time to give them a call? -------------------------------------------------------------------------------- Reply author:mc2trader Replied on:01/17/2008 11:18:50 Message: I spent a half hour with the tech only to have him tell what he already knew but didn't tell me until we were done playing. That there was a data issue. This data problem caused me to lose money. I wonder how much money was lost as a result of bad data. T&S was updating but not charts or matix. Its a good thing I have another platform with someone else to see the data descrepenies. So when I was done with tech, they said, "sorry for the inconvenience". -------------------------------------------------------------------------------- Reply author:Orion4077 Replied on:01/17/2008 11:20:36 Message: I have had this problem... lagging charts... longer time frames laggin shorter TFs for a year. I have bought two new computers. Have a quad loaded. Still I have issues. Yes, I have read the performance threads, twice. Its not my PC or my internet connection. The user base here is absolutely stellar when it comes down to C++ code and memory management challenges with in the TS platform. I am 100% convinced. My $.02 -------------------------------------------------------------------------------- Reply author:goose Replied on:01/17/2008 11:31:16 Message: TS sent the following message at 10:14:15. U might want to make sure Ur messages window alert stays on until U click on it in the future. -------------------------------------------------------------------------------- Reply author:Orion4077 Replied on:01/17/2008 11:31:51 Message: Anyone want to comment on fear of TS performance (technology stress) + trading stress = big apprehension to enter an order... -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/17/2008 11:33:12 Message: Balha, is CQG just a data provider, or do they offer order execution as well? -------------------------------------------------------------------------------- Reply author:JaLee Replied on:01/17/2008 11:34:44 Message: OptionStation bid/ask quotes on TS have been frozen all morning. They are updating fine at my other broker. -------------------------------------------------------------------------------- Reply author:Orion4077 Replied on:01/17/2008 11:51:30 Message: TS network status said that the data network was down.... Logged back in and data is moving.... The website network status is unreliable. -------------------------------------------------------------------------------- Reply author:mc2trader Replied on:01/17/2008 12:29:22 Message: This is a disgrace. -------------------------------------------------------------------------------- Reply author:NorCalTrader Replied on:01/17/2008 12:50:34 Message: +10 -------------------------------------------------------------------------------- Reply author:Orion4077 Replied on:01/17/2008 13:00:10 Message: I really think it is time to put the pressure on TS to fix these issues and publish an UPTIME statistic. For both data and order network. If we the public user group don't, nobody will. Then the exedus of clients will. -------------------------------------------------------------------------------- Reply author:ChetnikTX Replied on:01/17/2008 13:38:16 Message: As a former Cybertrader client that has had to depend on my pos Streetsmartpro data feed over the last 2 days when in a position on my Tradestation system...this is distressing. I'm sure TS gained a lot of refugee accounts like mine, this is not the time to let the data go down. -------------------------------------------------------------------------------- Reply author:Orion4077 Replied on:01/17/2008 14:31:31 Message: Here we go again.... Ok Go. -------------------------------------------------------------------------------- Reply author:tachyonv Replied on:01/17/2008 14:40:20 Message: There is no unusual data lag today with AMEX, NYSE, Nasdaq. In fact, TS is pretty fast today. I have a tool that measures TS data lag for a constant sample of 30 symbols that are a good benchmark for all three exchanges. If anyone is having troubles with TS speed today on the equity markets, the problem lies on their own PC, broadband connections, custom EL code. etc. If a trader has a fast dual core PC or even an average single 2.8 GHz processor like I do, and if the PC has 4 GB RAM, and a 6 MBS or faster broadband connection, and no hardware conflicts, no software conflicts like Norton AV, etc., then s/he is likely seeing the same fast TS today as I am. If a trader does not have an adequate capacity fast enough PC and broadband connection, then during higher volume periods, TS will run slowly giving the illusion of a data lag, when it is simply not able to keep up with the TS data feed. Even with a new very fast PC with 4 GB RAM or more if 64 bit, then a poor router, a poor Ethernet adapter, software conflicts, IRQ conflicts and the like, will cause TS to be too slow to keep up with the data feed. These conflicts can easily overpower any PC, TS, high end video games, etc. -------------------------------------------------------------------------------- Reply author:Mathemagician Replied on:01/17/2008 14:45:06 Message: quote: -------------------------------------------------------------------------------- Originally posted by tachyonv There is no unusual data lag today with AMEX, NYSE, Nasdaq. In fact, TS is pretty fast today. I have a tool that measures TS data lag for a constant sample of 30 symbols that are a good benchmark for all three exchanges. If anyone is having troubles with TS speed today on the equity markets, the problem lies on their own PC, broadband connections, custom EL code. etc. If a trader has a fast dual core PC or even an average single 2.8 GHz processor like I do, and if the PC has 4 GB RAM, and a 6 MBS or faster broadband connection, and no hardware conflicts, no software conflicts like Norton AV, etc., then s/he is likely seeing the same fast TS today as I am. -------------------------------------------------------------------------------- Tach, you do know that TS sent a message out today that they are experiencing issues and data may be delayed? jj -------------------------------------------------------------------------------- Reply author:_Nemo Replied on:01/17/2008 14:50:17 Message: No problems here either, but that doesn't mean that other people on different servers aren't getting bad lags ... -------------------------------------------------------------------------------- Reply author:ChetnikTX Replied on:01/17/2008 14:52:28 Message: quote: -------------------------------------------------------------------------------- Originally posted by Mathemagician quote: -------------------------------------------------------------------------------- Originally posted by tachyonv There is no unusual data lag today with AMEX, NYSE, Nasdaq. In fact, TS is pretty fast today. I have a tool that measures TS data lag for a constant sample of 30 symbols that are a good benchmark for all three exchanges. If anyone is having troubles with TS speed today on the equity markets, the problem lies on their own PC, broadband connections, custom EL code. etc. If a trader has a fast dual core PC or even an average single 2.8 GHz processor like I do, and if the PC has 4 GB RAM, and a 6 MBS or faster broadband connection, and no hardware conflicts, no software conflicts like Norton AV, etc., then s/he is likely seeing the same fast TS today as I am. -------------------------------------------------------------------------------- Tach, you do know that TS sent a message out today that they are experiencing issues and data may be delayed? jj -------------------------------------------------------------------------------- 2.8ghz dualcore pentium, 3gb RAM, serial drives, and a 20mbs (yes, twenty not two point zero) download broadband, no custom code, and 30 symbols on the RadarScreen. Sorry, the issues today were not PC/ISP related. -------------------------------------------------------------------------------- Reply author:tachyonv Replied on:01/17/2008 15:02:03 Message: Big oops, with apology...I was not active on TS during the slow down this morning and did not notice the message center message until just a minute ago. Sorry! However, TS has been running fine here for some time. Also, I do not trade futures, in the event only futures were impacted. -------------------------------------------------------------------------------- Reply author:ehjh Replied on:01/17/2008 15:23:46 Message: Tachyonv do you have another data feed to compare TS to? My system seems fine today but I have no way to know if the data is behind or not. I do wish that TS would keep us better informed as to just what data is affected if indeed it is just a particular server or something of that nature instead of the generic sort of Data Delay maybe thing they did today. Im waiting to see them give the all clear signal though. Hope they dont forget that we need to know when they get it resolved. -------------------------------------------------------------------------------- Reply author:bluelagoon Replied on:01/17/2008 15:25:35 Message: in short, TS needs to take their source code, strip it off MS .NET bloatware dependency and port to Linux, then we all can run 100+ charts on 1Ghz/512mb machines, else welcome to world of bloatware OS where you need a freaking 3Ghz/2Gb machine to run 10 charts... regards. -------------------------------------------------------------------------------- Reply author:eaglenest Replied on:01/17/2008 15:28:02 Message: with all due respect folks,save it for the tourist! TS has had data problems all day since 10:02 am today. confirmed by phone w/ TS tech w/ whom i highly regard.so once again SAVE IT FOR THE TOURIST!. just for the record i run an o/c intc e6850 w/ 4gb ddr2 1000.its not my hardare @ fault. -------------------------------------------------------------------------------- Reply author:Mathemagician Replied on:01/17/2008 15:28:42 Message: quote: -------------------------------------------------------------------------------- Originally posted by tachyonv Big oops, with apology...I was not active on TS during the slow down this morning and did not notice the message center message until just a minute ago. Sorry! However, TS has been running fine here for some time. Also, I do not trade futures, in the event only futures were impacted. -------------------------------------------------------------------------------- No worries, my friend. You took time out of a busy trading day to help out, and your intentions are unassailable. jj -------------------------------------------------------------------------------- Reply author:ChetnikTX Replied on:01/17/2008 15:48:25 Message: quote: -------------------------------------------------------------------------------- Originally posted by ehjh Tachyonv do you have another data feed to compare TS to? My system seems fine today but I have no way to know if the data is behind or not. I do wish that TS would keep us better informed as to just what data is affected if indeed it is just a particular server or something of that nature instead of the generic sort of Data Delay maybe thing they did today. Im waiting to see them give the all clear signal though. Hope they dont forget that we need to know when they get it resolved. -------------------------------------------------------------------------------- 3:37 et and we're down again. T&S working but lvl2 is hopeless. I'm comparing to my streetsmart feed. The SSP feed is one that I can guarantee you will go down if there is high volume and it has been working fine all day. Good luck everyone. -------------------------------------------------------------------------------- Reply author:tachyonv Replied on:01/17/2008 15:49:21 Message: ehjh, I have an indicator developed by another trader herein that measures data lag between the exchanges' date and time data stamps, and my local PC time, synched to an atomic clock. I do not have another data feed/trading software provider at the moment, with which to compare data feeds. Yes, TS ought to keep us better informed. The Message Center needs some sort of different color or blinking patterns, for example, to distinguish between notices about training and holidays, versus problems...so that some like me do not ignore the messages during the trading day. FWIW, no data delays here at all, while I've been at the PC. My data feed usually comes via Dallas servers rather than the Chicago or Florida server farms, which might also make a difference. -------------------------------------------------------------------------------- Reply author:tachyonv Replied on:01/17/2008 16:01:52 Message: ChetnikTX, I stopped using Level II about three years ago, it was/is too full of disinformation what with the sophisticated order execution management systems of many large institutions and funds that interpret and react far faster than one of us individual traders can. I use only the Time & Sales window, actual trades only - and even there, there is a heck of a lot of intentions cloaking. Anyway, since I don't use Level 2, did not experience what you did today...further explaining differences in what we've seen. FWIW my fills today were fast aside from charts and RS being ok while I was watching them and the data lag measuring indicator. Also FWIW, I suspect that TS may be implementing server side performance improvements, which might account for the recent problems. Might/might not be the case, but I hope this is the reason, have no way to know for sure personally...other than I'd guess that a TS performance improvement release will be released some day, sooner the better. -------------------------------------------------------------------------------- Reply author:eaglenest Replied on:01/17/2008 16:13:14 Message: tach, to the best of my knowledge the last time i looked there was no "server farm" in plantation,just an empty room.i am connected via IL,live 30min away from TS in s.fla. & have had ts data problems all day, the last seris was about 30 min ago.while i'll say 90% or more of the time it is a user hardware\softwae problem, it is wrong to always insist so.there have been TS server problems today.they are busily going thru each blade, as each had a different set of tick data.trading is difficult enough! good luck. -------------------------------------------------------------------------------- Reply author:ChetnikTX Replied on:01/17/2008 16:27:00 Message: tachyonv, I agree re: lvl2 but just for the sake of logging all the problems I had today: lvl2: hopeless T&S: went out during the morning brownout, worked ok till the close Charts: worked when T&S did Radarscreen: down during the morning OptionStation: intermittent data updates all day Order execution: The one bright spot. Limits were fast and market orders matched what I was seeing on my Streetsmart feed. Sorry if I sound like the FNG around here, but like I said I am one of those who got f'd during the cybertrader downfall. I know many CT clients who remained quiet and took a wait and see attitude while things got progressively worse. To have TS suffer from 3 data brownouts on non-fed days is unacceptable. -------------------------------------------------------------------------------- Reply author:m-u-r-p-h-y Replied on:01/17/2008 18:14:19 Message: https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=48579 are you experience similiar problems these days? still no response from TS . . . -------------------------------------------------------------------------------- Reply author:SB Replied on:01/17/2008 19:04:41 Message: I'm missing intraday data on most equity symbols. This problem still hasn't been fixed? Seems like it is worse.... NO DATA! -------------------------------------------------------------------------------- Reply author:TSAddict Replied on:01/18/2008 05:11:43 Message: Thank's Goose for a very sensible suggestion, I have to admit that I didn't know Notification Preferences existed. It is essential to know that its not just your own setup thats causing the problem, else you restart TS, then reboot your computer as I did, all to no avail. This does not happen often, but it does happen to TS every time we get a big, fast market move. When you are in a chat room with a lot of traders many of whom are using different feeds and they are saying things like, "Wow got 9 points out of that", it is of limited help to watch a stationary Matrix and know that its TSs' fault. They just do not have enough bandwidth at such times. -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/18/2008 08:40:47 Message: TSAddict, the notices would be more welcomed if they were timely and informative. Unfortunately the problem has to be of such a severe nature before TS acknowledges a problem, and usually there is one post just telling you they're working on the problem. Updates are rare, and usually happen long after the problem is resolved. A few months ago the trade servers went down a little after midnight, which affects most futures traders. 4 hours later there still wasn't any notifiaction of a problem unless you called TS, and that was impossible because the phones were tied up. If you checked the message center, no acknowledgement of a problem. If you checked the TS status page, all indicators were green. Personally, I have never seen any of the status indicators other than green, even when the system or data has been down for hours. I used to be with MyTrack, and the one thing they excelled at was keeping the customer informed via a live text chat link each manned with a MyTrack moderator. There were about 20 different chat rooms tailored to specific problems (data, trading, accounting, charting, etc.) or underlying securities such as stocks, options, futures, etc. If there was a problem the moderator was quick to report it, and quick to let you know the ETA on a resolution. They could also troubleshoot most problems in a fraction of the time it takes TS to respond or even answer the phone. Other traders also helped to keep others informed while the moderator was busy. It was very efficient and trader tensions were low. As I've said a hundred times, just keep us posted and let us know whats going on. Don't tell us to call tech support when you know the wait time is measured in hours or all the lines are busy. And last, we're understanding to a point, but when the problems happen time after time and you don't address the underlying issue, then it's time to look else where. While I like TS's charting, I am looking at another broker to fill in some gaps that TS won't address, such as day trade margin for futures at all times, day trade margin for more than the 5 futures TS allows, better OSO, OCO, and trailing stop management via Ninja (TS hasn't addressed a major concern in this area in over two years). I'm more in need of a broker that can better accommodate the bulk of my trading, which occurs outside the 9:30 to 4:00 time frame. IMO TS isn't paying enuogh attention to the needs of the 24/7 futures trader. They want to wander in at 8:30 and go home at 4:15. -------------------------------------------------------------------------------- Reply author:SB Replied on:01/18/2008 09:36:49 Message: How come no one at TS has chimed in here? Seems like they would be bending over backwards to assure that this won't happen again and address the steps they are taking going forward..... -------------------------------------------------------------------------------- Reply author:ehjh Replied on:01/18/2008 10:45:04 Message: Well not only did they not chime in here but they did not ever post to the platform message center that the issue had been resolved and further they deleted the message from yesterday morning that there was a data problem. Whats up with that? -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/18/2008 11:48:52 Message: Data problem? What data problem? -------------------------------------------------------------------------------- Reply author:TSAddict Replied on:01/18/2008 12:05:12 Message: Yes Carl, I have been looking at Ninja for some time now and as soon as I can get up to speed with C# and their system and get my stuff to work on their simulator, ( YES TS THEY OFFER A FREE SIMULATOR ), I will be off. I was not intending to minimise TS's problems on my previous post - far from it. -------------------------------------------------------------------------------- Reply author:Skydog-1 Replied on:01/18/2008 12:49:55 Message: OK folks, I just spoke to Johnathan at TS tech support (~9:25pst) and he told me that TS is currently experiencing data feed problems (as announced through TS message center. He also stated (and I told him I would be posting his response here) they, TS, would announce through the TS message center when they believe the problem has been resolved. I told Johnathan that I did not want to clog their phone lines every hour to see if the issue has been resolved so to make sure and update the message center........now maybe he's just holding my hand a bit while blowing smoke u.......well, you know what I mean, anyway.... I explained that my system (AMD64+ Socket939 based, 4G 3200 DDR) did not appear to experience such data lag issues in the past and that I did not want to modify settings on my PC if they worked recently but not now. Because, then I would have compounded the problems when it was really a TS data feed issue. And, yes, this is a complex world of technology, and the CME just got married to the CBOT and it's obvious they are probably still stuck the the "honeymoon" suite , and the TS/CME/CBOT IT gurus need to complete their handshake processes and get the bugs out of the corners, and then finally we can all get back to business as usual. So, I guess it's gonna be an xtra long weekend for some of us, have fun and enjoy. Blessings to all, Sky -------------------------------------------------------------------------------- Reply author:CarlC Replied on:01/18/2008 13:08:59 Message: TSA, what is C#? I've downloaded their simulator, haven't heard about C#. -------------------------------------------------------------------------------- Reply author:ehjh Replied on:01/18/2008 13:26:07 Message: I did not get any message from TS about a data problem. Are you talking about today Skydog? Or are you talking yesterdays message? -------------------------------------------------------------------------------- Reply author:tachyonv Replied on:01/18/2008 13:39:19 Message: No data issues here in Dallas for me, so far today, for equities - NYSE, NASDAQ, AMEX - but I do not use Level II or Matrix, and trade only equities. Order fills in and out very fast and good today also...so far. -------------------------------------------------------------------------------- Reply author:TSAddict Replied on:01/18/2008 14:55:20 Message: Their user programing language is C Sharp (C# for short). -------------------------------------------------------------------------------- Reply author:TSAddict Replied on:01/18/2008 14:55:42 Message: Ninja that is - Carl. -------------------------------------------------------------------------------- Reply author:goose Replied on:01/18/2008 15:59:35 Message: Today, my data lag indicator has logged < 3 ticks out of 10,000 for both ESH08 and ER2H08 which were processed on my computer over 2 seconds from the Exchange TimeStamp. This is with ES volume running 138% > normal day and ER2 running 131%. -------------------------------------------------------------------------------- Reply author:Skydog-1 Replied on:01/18/2008 16:41:26 Message: Hi folks, Reporting back in at 13:01 pst on my data lag findings. Yesterday I upgraded to 8.3 v1419 because I was experiencing a large chart to T&S to vol. to matrix price change lag on the @ESH08 futures, so I called tech support this morning (1/18) and spoke to Johnathan (see post above) who was very professional in his help. Actually, I've not had a negative tech support experience to date. Johnathan, said they had a data issue and by the way most traders are trading the ESH08 contract not the @ESH08 so I switched to the ESH08 but still with problems. But, after realizing the "old timers" (sorry, dudes and dudettes for the insinuation.....solidus, tachyonv, goose, et. al) were not really having these problems I decided to review my code WRT the new 8.3 "same-tick optimization" on price change only. I went into all my indicators and removed the "intrabarpersist" on the old update on "lastclose <> close" code and forced every indicator to update "On" price change via the format indicator advanced tab and removed the "auto-detect" and forced to "On". My current indicator If...then statement now asks: var: Lastclose (0); (removed intrabarpersists) If close <> Lastclose then begin........remainder of indicator code. Now, things are looking good as far as syncronization of the price in the matrix to vol. to T&S to the charts except.......... I am getting a non-stop tic flow message in the TS Events Log that states in the Events Details window: Date/Time: current date/time of tic Workspace: Unavailable Window: Unavailable Event: 65536 - ERROR: NO NAME and NO ADD Can anyone point me into the right direction as to what this error might be referencing. Tech support said it was an indicator setting or code not set correctly. So if I force each indicator to "on" in the "same-tick optimization" on the advanced tab of the format indicator and I have some indicators that are checking for "barstatus 1 = 1" (checking each tick) and I have update intrabar checked ........... is this a conflict and could this be my problem???? Any help on the Error message is greatly appreciated. Kindest regards, Sky -------------------------------------------------------------------------------- Reply author:goose Replied on:01/18/2008 17:16:15 Message: My symbols are @ESH08.D and @ER2H08.D. -------------------------------------------------------------------------------- Reply author:goose Replied on:01/18/2008 17:18:04 Message: I'll be glad to look at Ur code over the weekend. U can send it to me via PM. -------------------------------------------------------------------------------- Reply author:Skydog-1 Replied on:01/18/2008 18:35:12 Message: Thanks gooose......I do appreciate it....let me take a look at some excerpts and do a bit more study on the forums for rolling over my indicators to the new "same-tick optimization" indicators. I remember solidus gave a bit of info on this a while back but now I have a few "honey-do's" to attend to and will return soon. Thanks again, Sky -------------------------------------------------------------------------------- Reply author:willie1 Replied on:01/19/2008 11:30:20 Message: Just read a ton of responses on this forum re data. I did not see one saying that PERHAPS THE DATA IS BEING MANIPULATED. This problem was never there until TS became the account and trading platform. Welcome to the wild west of forex trading/manipulation/stop running/ and and and. They all do it. -------------------------------------------------------------------------------- Close Window

No. It has gotten a lot better with 2.1 (but also >2x more expensive as well from $399 I believe to $899), but automation trading is quite limited and there are no radar screen and DOM.The good news is that most indicators will run without much alteration, even some of the bid/ask transient data type indicators. The question you should ask yourself is what type of trader are you and what type of charting and data feed do you need? You can get a 30 day free trial of MC here: http://www.tssupport.com/support/downloads/

Your trade didn't get busted? Who is your broker if you don't mind divulging ?50 point stops on ES is not really a trade most would make on an overnight trade.

Some kind of automation gone wild overnight in a large account. The quote and image are from the TS forum. Do you ever wonder why this business is so tough on small and new traders and so much easier for the large accounts? If you have a large account that can trade tens to hundreds of thousands of contracts at a time and your automation goes wild, the exchange will bust the trade for you. That is not going to happen with a 3 contract account. This goes to show that the large traders can jerk the market any direction at any time they want; your stops are at the mercy of their whim.

Welcome to the forum. This indicator looks better than it actually is. It actually plots the scalper bar usually about 3 bars later, retrospectively. That makes it hard to use in any strategy (and hard to program if your platform doesn't support such plotting). Here is the C# code from NT. Perhaps you can adapt it for Esignal. http://www.ninjatrader-support.com/vb/showthread.php?t=2966&page=4&highlight=scalper // Scalper v0.1 by Gumphrie, inspired by John Carter's TTMScalper // v0.2 - removed the period parameter as pretty much useless and changed all the high/low calaculations to be one bar ahead // v0.3 - fixed possible plotting error // v0.4 - additional check for highest and lowest // v0.5 - reduced cpu usage & added trigger bar alert arrows #region Using declarations using System; using System.Diagnostics; using System.Drawing; using System.Drawing.Drawing2D; using System.ComponentModel; using System.Xml.Serialization; using System.Text; using NinjaTrader.Cbi; using NinjaTrader.Data; using NinjaTrader.Gui.Chart; using NinjaTrader.Gui.Design; #endregion // This namespace holds all indicators and is required. Do not change it. namespace NinjaTrader.Indicator { /// <summary> /// Scalper /// </summary> [Description("Scalper")] [Gui.Design.DisplayName("Scalper")] public class Scalper : Indicator { #region Variables private SolidBrush ScalpBarBrush = new SolidBrush(Color.Lavender); private int counter = 0; private int ExtremeBar = 0; private int lastBar=0; private bool HighPainted = false; private bool LowPainted = true; private bool showTriggers = false; private double ExtremeBarHigh = 0; private double TriggerBarLow = 0; private double ExtremeBarLow = 0; private double TriggerBarHigh = 0; private int TriggerBarLowNo=0; private int TriggerBarHighNo=0; private DataSeries scalpSeries; private DataSeries open; private DataSeries high; private DataSeries low; private DataSeries close; #endregion /// <summary> /// This method is used to configure the indicator and is called once before any bar data is loaded. /// </summary> protected override void Initialize() { Overlay = true; scalpSeries = new DataSeries(this); open = new DataSeries(this); high = new DataSeries(this); low = new DataSeries(this); close = new DataSeries(this); CalculateOnBarClose = true; } /// <summary> /// Called on each bar update event (incoming tick) /// </summary> protected override void OnBarUpdate() { open.Set(Open[0]); high.Set(High[0]); low.Set(Low[0]); close.Set(Close[0]); if (CurrentBar <= 4) { scalpSeries.Set(0); } else { //Up if (HighPainted==false) { if ((High[1] < High[2]) && (0==ExtremeBar)) //if ((High[1] < High[2]) && (2 == Bars.HighestBar(3)) && (0==ExtremeBar)) { ExtremeBar = 2; ExtremeBarHigh = High[2]; TriggerBarLow = Low[1]; TriggerBarLowNo = CurrentBar-1; // if (ExtremeBarLow > High[4]) ExtremeBar = 4; } if (High[0] > ExtremeBarHigh) { ExtremeBar = 0; ExtremeBarHigh = 0; TriggerBarLow = 0; TriggerBarLowNo = 0; counter=-1; } if (0!=ExtremeBar) counter++; if ((Close[0] < TriggerBarLow) && (0!=ExtremeBar)) { ExtremeBar = ExtremeBar + counter; HighPainted = true; counter=-1; scalpSeries.Set(CurrentBar-ExtremeBar); ExtremeBar=0; } } //Down if (HighPainted==true) { if ((Low[1] > Low[2]) && (0==ExtremeBar)) //if ((Low[1] > Low[2]) && (2 == Bars.LowestBar(3)) && (0==ExtremeBar)) { ExtremeBar = 2; ExtremeBarLow = Low[2]; TriggerBarHigh = High[1]; TriggerBarHighNo = CurrentBar-1; // if (ExtremeBarLow > Low[4]) ExtremeBar = 4; } if (Low[0] < ExtremeBarLow) { ExtremeBar = 0; ExtremeBarLow = 0; TriggerBarHigh = 0; TriggerBarHighNo = 0; counter=-1; } if (0!=ExtremeBar) counter++; if ((Close[0] > TriggerBarHigh) && (0!=ExtremeBar)) { ExtremeBar = ExtremeBar + counter; HighPainted = false; counter=-1; scalpSeries.Set(CurrentBar-ExtremeBar); ExtremeBar=0; } } // else scalpSeries.Set(0); } lastBar=CurrentBar; } public override void Plot(Graphics graphics, Rectangle bounds, double min, double max) { // Default plotting in base class. //base.Plot(graphics, bounds, min, max); if (base.Bars == null) return; if (ChartControl.ChartStyleType.ToString()=="LineOnClose") return; int index = -1; Exception caughtException; int barPaintWidth = ChartControl.ChartStyle.GetBarPaintWidth(ChartControl.BarWidth); int bars = ChartControl.BarsPainted; while (bars >= 0) { index = ((ChartControl.LastBarPainted - ChartControl.BarsPainted) + 1) + bars; if (ChartControl.ShowBarsRequired || ((index - Displacement) >= BarsRequired)) { try { bool ScalpBar=false; for (int scalpBar=index;scalpBar<=lastBar;scalpBar++) { if (scalpSeries.Get(scalpBar)==index) { ScalpBar=true; break; } } if (ScalpBar) { int x1 = (((ChartControl.CanvasRight - ChartControl.BarMarginRight) - (barPaintWidth / 2)) - ((ChartControl.BarsPainted - 1) * ChartControl.BarSpace)) + (bars * ChartControl.BarSpace); int y1 = (bounds.Y + bounds.Height) - ((int) (((high.Get(index) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); int y2 = (bounds.Y + bounds.Height) - ((int) (((close.Get(index) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); int y3 = (bounds.Y + bounds.Height) - ((int) (((open.Get(index) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); int y4 = (bounds.Y + bounds.Height) - ((int) (((low.Get(index) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); if (ChartControl.ChartStyleType.ToString()=="OHLC") graphics.DrawLine(new Pen(ScalpBarBrush.Color,(int)((((double)ChartControl.BarWidth)/3)*2)),x1,y1,x1,y4); else if (ChartControl.ChartStyleType.ToString()=="HiLoBars") graphics.DrawLine(new Pen(ScalpBarBrush.Color,ChartControl.BarWidth),x1,y1,x1,y4); else { byte bRed = (byte)~(ChartControl.BackColor.R); byte bGreen = (byte)~(ChartControl.BackColor.G); byte bBlue = (byte)~(ChartControl.BackColor.B); Pen pen = new Pen(Color.FromArgb(bRed,bGreen,bBlue), 1); graphics.FillRectangle(ScalpBarBrush,x1-(barPaintWidth/2)+1,y1,barPaintWidth-2,y4-y1); if (y2>y3) { graphics.DrawLine(pen,x1,y1,x1,y3); graphics.DrawLine(pen,x1,y2,x1,y4); } else { graphics.DrawLine(pen,x1,y1,x1,y2); graphics.DrawLine(pen,x1,y3,x1,y4); } graphics.DrawLine(pen,x1-(barPaintWidth/2)+1,y3,x1+(barPaintWidth/2)-2,y3); graphics.DrawLine(pen,x1-(barPaintWidth/2),y2,x1+(barPaintWidth/2),y2); graphics.DrawLine(pen,x1-(barPaintWidth/2),y2,x1-(barPaintWidth/2),y3); graphics.DrawLine(pen,x1+(barPaintWidth/2),y2,x1+(barPaintWidth/2),y3); } } else if (showTriggers) { if ((TriggerBarLowNo>0) && (TriggerBarLowNo==index)) { int x1 = (((ChartControl.CanvasRight - ChartControl.BarMarginRight) - (barPaintWidth / 2)) - ((ChartControl.BarsPainted - 1) * ChartControl.BarSpace)) + (bars * ChartControl.BarSpace); int y1 = (bounds.Y + bounds.Height) - ((int) ((((high.Get(index)+(2*TickSize)) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); DrawArrow((barPaintWidth/5)*4, graphics,x1,y1,ScalpBarBrush,false); } if ((TriggerBarHighNo>0) && (TriggerBarHighNo==index)) { int x1 = (((ChartControl.CanvasRight - ChartControl.BarMarginRight) - (barPaintWidth / 2)) - ((ChartControl.BarsPainted - 1) * ChartControl.BarSpace)) + (bars * ChartControl.BarSpace); int y1 = (bounds.Y + bounds.Height) - ((int) ((((low.Get(index)-(2*TickSize)) - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height)); DrawArrow((barPaintWidth/5)*4, graphics,x1,y1,ScalpBarBrush,true); } } } catch (Exception exception) { caughtException = exception; } } bars--; } } private void DrawArrow(int arrowSize, Graphics graphics, int x, int y, SolidBrush brush, bool up) { Point[] points; int halfSize = (int) Math.Floor((double) (((double) arrowSize) / 2)); Point[] upPoints = new Point[] { new Point(0, 0), new Point(arrowSize, arrowSize), new Point(halfSize, arrowSize), new Point(halfSize, arrowSize * 2), new Point(-halfSize, arrowSize * 2), new Point(-halfSize, arrowSize), new Point(-arrowSize, arrowSize), new Point(0, 0) }; //Point[] dnPoints = new Point[] { new Point(-halfSize, -arrowSize * 2), new Point(halfSize, -arrowSize * 2), new Point(halfSize, -arrowSize), new Point(arrowSize, -arrowSize), new Point(0, 0), new Point(-arrowSize, -arrowSize), new Point(-halfSize, -arrowSize), new Point(-halfSize, -arrowSize * 2) }; //Point[] upPoints = new Point[] { new Point(0, -arrowSize), new Point(arrowSize, arrowSize), new Point(0, arrowSize/2), new Point(-arrowSize, arrowSize), new Point(0, -arrowSize) }; Point[] dnPoints = new Point[] { new Point(-halfSize, -arrowSize * 2), new Point(halfSize, -arrowSize * 2), new Point(halfSize, -arrowSize), new Point(arrowSize, -arrowSize), new Point(0, 0), new Point(-arrowSize, -arrowSize), new Point(-halfSize, -arrowSize), new Point(-halfSize, -arrowSize * 2) }; if (up) { points = upPoints; } else { points = dnPoints; } for (int i = 0; i < points.Length; i++) { points[i].Offset(x, y); } byte bRed = (byte)~(base.ChartControl.BackColor.R); byte bGreen = (byte)~(base.ChartControl.BackColor.G); byte bBlue = (byte)~(base.ChartControl.BackColor.B); graphics.FillPolygon(brush, points); graphics.DrawPolygon(new Pen(Color.FromArgb(bRed,bGreen,bBlue)), points); } #region Properties /// <summary> /// </summary> [browsable(false)] public string ScalpBarColorSerialize { get { return SerializableColor.ToString(this.ScalpBarColor); } set { this.ScalpBarColor = SerializableColor.FromString(value); } } [Description("Default Colour for Scalp Bar"), XmlIgnore, VisualizationOnly] [Category("Scalp Bar")] [NinjaTrader.Gui.Design.DisplayName("Scalp bar color")] public Color ScalpBarColor { get { return this.ScalpBarBrush.Color; } set { this.ScalpBarBrush = new SolidBrush(value); } } [Description("Highlights the current trigger bars by displaying an arrow above or below them.")] [Category("Scalp Bar")] [NinjaTrader.Gui.Design.DisplayName("Highlight current trigger bars")] public bool ScalperTriggers { get { return showTriggers; } set { showTriggers = value; } } #endregion } } #region NinjaScript generated code. Neither change nor remove. // This namespace holds all indicators and is required. Do not change it. namespace NinjaTrader.Indicator { public partial class Indicator : IndicatorBase { private Scalper[] cacheScalper = null; private static Scalper checkScalper = new Scalper(); /// <summary> /// Scalper /// </summary> /// <returns></returns> public Scalper Scalper() { return Scalper(Input); } /// <summary> /// Scalper /// </summary> /// <returns></returns> public Scalper Scalper(Data.IDataSeries input) { if (cacheScalper != null) for (int idx = 0; idx < cacheScalper.Length; idx++) if (cacheScalper[idx].EqualsInput(input)) return cacheScalper[idx]; Scalper indicator = new Scalper(); indicator.SetUp(); indicator.CalculateOnBarClose = CalculateOnBarClose; indicator.Input = input; Scalper[] tmp = new Scalper[cacheScalper == null ? 1 : cacheScalper.Length + 1]; if (cacheScalper != null) cacheScalper.CopyTo(tmp, 0); tmp[tmp.Length - 1] = indicator; cacheScalper = tmp; Indicators.Add(indicator); return indicator; } } } // This namespace holds all market analyzer column definitions and is required. Do not change it. namespace NinjaTrader.MarketAnalyzer { public partial class Column : ColumnBase { /// <summary> /// Scalper /// </summary> /// <returns></returns> [Gui.Design.WizardCondition("Indicator")] public Indicator.Scalper Scalper() { return _indicator.Scalper(Input); } /// <summary> /// Scalper /// </summary> /// <returns></returns> public Indicator.Scalper Scalper(Data.IDataSeries input) { return _indicator.Scalper(input); } } } // This namespace holds all strategies and is required. Do not change it. namespace NinjaTrader.Strategy { public partial class Strategy : StrategyBase { /// <summary> /// Scalper /// </summary> /// <returns></returns> [Gui.Design.WizardCondition("Indicator")] public Indicator.Scalper Scalper() { return _indicator.Scalper(Input); } /// <summary> /// Scalper /// </summary> /// <returns></returns> public Indicator.Scalper Scalper(Data.IDataSeries input) { if (InInitialize && input == null) throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method"); return _indicator.Scalper(input); } } } #endregion

Hi Mr. Paul, Various members have posted links to eld lately to a Market Profile indicator. I believe they are all based on the TS forum MP indicator TPO_Pro5b because they all look about the same and that is the one I showed above and the one BigEd is trying out. Here is the other recent link I believe by gnassh : http://www.traderslaboratory.com/forums/f6/mp-trading-with-market-profile-3135.html#post27703 I personally don't use MP, but I keep it around just to see what other traders may be looking at and acting upon. BigEd, you can try a @ES.D chart instead to avoid the after session activation of the MP indicator. I am not awared of too many MP traders using it for trading outside of RTH (regular trading hr) You can also check your numbers here: http://www.mypivots.com/forum/topic.asp?whichpage=0.7&TOPIC_ID=2531⫀ They are free and usually accurate. If your numbers come within a few ticks of what they got, I think that is pretty accurate for MP, considering not everybody is using the same data feed.

Welcome to the forum. Please link the URL to the MP indicator you are using from this forum; not sure which one you are referring to. If you are using the TPO_Pro5 from the TS forum, try a 15 min chart with about 20 trading days of data (see attached for @ES) and use compress setting of 4 so that the letters are not all squeezed together (also try a fix courier font on TS chart). The indicator does not depend on bid/ask or other transient data. If you using the MP indicator by Antonio (Ant), that is code protected and has expired a while ago (perhaps one year) and no longer display anything on your chart. There is no support on any of these indicators, it is just a matter of trial and error. Here are some notes from the TS forum on the TPO_Pro5 indicator

You mean $200 on GS?There is a bullish Wolfe Wave formation in GS, EPA target of around $230. The attached charts shows two bullish Ww in succession. The first Ww EPA target was never met, it's formation was probably too steep for the current market.

You can do simulated trading/charting automation with NT/OT combo, actual live trading is not free with NT. For actual trading, you'll still need a broker, some of whom will supply a crippled/minimally functional NT for free with their 'free' data in exchange for commission.

This is the guy you want Salomon Sredni Chief Executive Officer, President and Director, TradeStation Group Chief bean counter; seriously, they are mostly accountants.

You are correct in saying we don't know what is 'right'. We also don't know Jerry's Ensign setup parameters and lj2500 could have set it up incorrectly in his Ensign studies. I should have pointed out to LJ that the Ensign study for VWAP is here, although I have never used Ensign: http://ensign.editme.com/vwap In that URL, the VWAP looks 'correct' in the observation that the SD lines are expanding in a root mean square relationship to the VWAP line (much as a Bollinger bands being 2SD away from a MA of price). That is they are not a fixed width linear channels away from the VWAP. Here is the picture from Ensign:

As Darth and others may have pointed out, the Ensign VWAP looks wrong, perhaps you should ask Ensign for the code and/or a better explanation. I had previously looked at the code by Swisstrader that you posted above https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=66875 . The TS results looks right and is nearly identical to the dbtina VWAP code (OP here) if accounted for the start time (the change makes little difference and is perhaps faster). For what it is worth, the VWAP on Ninjatrader looks incorrect as well.

Thank you! It always pays to ask somebody who knows the program. :doh: This type of scaling (to symbol) is default in TS but MC defaults to 'screen', something most new users of MC probably don't know about. Attached please find the revised png with scaling to 'same as symbol'.

Thank you for your comments Blowfish. As a long time user of Multicharts, could you please comment on the following chart where the VWAP-SD indicator plots dramatically moved up and down vs the underlying bars as one scrolls along the x axis. Is this a bug in MC? Is there an easy fix? The same code in TS and MC also do not show the same results. Thanks.

The $INDU Dow is showing a possible Ww bull pattern as well.

Please see the attached PNG. The TS VWAP SD appears to match what you displayed if TS code is set to 0930 regular trading hours (EST). By default, both the Ensign and TS appeared to use the start of next day as basis for calculation.

Welcome to the forum. As you have noticed, VWAP is a moving average and it's calculation can differ greatly depending on when (exact time) you started counting the VWAP, which defined as: There is not a great deal of meaning for VWAP that spans multiple days and it is not a great trend predictor as you can see in the attached picture; I am not sure if many traders follow it other than that there is a correlation between daily VWAP and Market Profile's idea of POC (Point of control). The previous ELD attached in this thread will not do VWAP across different trading days. There is some code below from the TS forum that will, posted below. { plot a five-day VWAP to use on my charts } { Format -> Symbol... -> Settings tab -> For volume, use: Trade Vol } { Need more than 5 days of data not including bars to satisfy MaxBarsBack } inputs: Price( AvgPrice ), Color( Red ); variables: Trade_Vol( 0 ), VWAP_5Day( 0 ), TLID( -1 ), x( 0 ); arrays: VPSum[5]( 0 ), VSum[5]( 0 ); if Date <> Date[1] then { detect day changes } begin { Build the arrays of Summed Price and Volume } for x = 5 downto 1 begin VPSum[x] = VPSum[x-1] ; VSum[x] = VSum[x-1] ; end ; if VSum[5] > 0 then begin { Calculate the 5-day VWAP once values for the 5th day are obtained } VWAP_5Day = SummationArray( VPSum, 5 ) / SummationArray( VSum, 5 ) ; { Plot the end of each day starting with the 5th day } Plot1( VWAP_5Day, "VWAP_5Day", Color ) ; { Project last calculated VWAP_5Day forward with a Trendline } if TLID = -1 then begin TLID = TL_New( Date[1], Time[1], VWAP_5Day, Date, Time, VWAP_5Day ) ; TL_SetExtRight( TLID, true ) ; TL_SetColor( TLID, Color ) ; end else begin TL_SetEnd( TLID, Date, Time, VWAP_5Day ) ; TL_SetBegin( TLID, Date[1], Time[1], VWAP_5Day ) ; end ; end ; end ; if BarType >= 2 then { ie, not tick/minute data } Trade_Vol = Volume else { if tick/minute data } Trade_Vol = Ticks ; { Sum Price and Volume data } VPSum[0] = VPSum[0] + Trade_Vol * Price ; VSum[0] = VSum[0] + Trade_Vol ;

I think you ignore the CBOT and or TS at your own peril. Just look at the recent episode with the new $55/month CBOT fees at TS. They cut you off and even with the new feed, live or delayed, it is still unreliable. https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=72109The finalg looks like a good product, but it is still code protected and server side verified (if finalg's verification failed or is taken down by CBOT, you will have no function). Just a caveat emptor. If you have access to some of the published MP code and do some studies, you should have a reasonable fascimile of what other MP traders are seeing.

Similar to what bub saw in the ES. Three Wws in the attached png. The second one worked, will the current and third (numbered) bullish Ww work? After today, countertrend traders could be few and far between.

It is a matter of preference. Some traders believe their indicator or candlestick analysis has an edge in certain time frame/ tick/ volume bar charts such that they can see details better/faster than other traders. It all depends on the style of trading. Some trend traders for example would rather not see the noisy minute details of a tick chart used by a scalp trader and instead prefer a longer time span to see the longer trend.