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Old 01-18-2009, 02:46 PM   #17

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Re: Trade Intensity

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Originally Posted by BlowFish »
Interesting stuff and quite similar to some research ideas I have been playing with.

One interesting visualisation I showed a while back is a 1 tick constant range chart with a volume histogram below, that shows quite clear spikes.

Good stuff keep it coming
Hi BlowFish

I am sorry if this sound like I am nitpicking on the posts here, but this is really not my intend. What is a 1 tick constant range chart? 1 tick chart I understand, but the "constant range" part confuses me a bit.

Constant range charts to me means that the bars are all the same range, but I don't understand how that will work on a 1 tick chart. Did you maybe mean just a 1 tick chart with volume histogram?
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Old 01-18-2009, 02:55 PM   #18
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Re: Trade Intensity

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Originally Posted by sevensa »
Hi BlowFish

I am sorry if this sound like I am nitpicking on the posts here, but this is really not my intend. What is a 1 tick constant range chart? 1 tick chart I understand, but the "constant range" part confuses me a bit.

Constant range charts to me means that the bars are all the same range, but I don't understand how that will work on a 1 tick chart. Did you maybe mean just a 1 tick chart with volume histogram?
It means price has moved from 859.25 to 859.50. With a one tick chart you could have several bars created while just sitting at 859.50. With a constant range chart of one tick, volume will keep increasing until price actually moves up or down a tick hence the ability for a "spike" to be formed at the previous price/bar.

Added: There are two different ways to draw constant range charts. A new bar could be created at the time of the one tick move up, or it could wait until trading has continued within the range (moves beyond your specified range). I personally prefer to wait until price moves beyond my specified range which creates less bars.

Last edited by Hlm; 01-18-2009 at 03:02 PM. Reason: Added information
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Old 01-18-2009, 03:03 PM   #19

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Re: Trade Intensity

also as far as trading ms..this is a really interesting podcast interview from an algo guy at Deutsche Bank on latency.
[media]http://www.algotradingpodcast.co m/MP3/ATP_LowLatency.mp3[/media]
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Old 01-18-2009, 03:08 PM   #20

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Re: Trade Intensity

The concept of 'trade intensity' is not new. There is no truth in saying that it is not discussed/used anywhere.

MarketDelta has implemented IOAMT's Trade speed ideas ( I am not affiliated with any of them) in TradeSpeed Indicator.

http://www.marketdelta.com/kb/article.aspx?id=10585

http.www.marketvolume.com has products/pending patents based on this idea of spikes in volume. Their SBV Indicator uses the idea of trade intensity/spikes in volume.

I request the thread starter to elaborate and comment if his ideas are different from the above.
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Old 01-18-2009, 03:10 PM   #21

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Re: Trade Intensity

Funnily quite similar to some research ideas I have been playing with, though it seems that you work has come to fruition

One interesting visualisation I showed a while back is a 1 tick wide constant range chart with a volume histogram below, that shows quite clear spikes.

Good stuff keep it coming
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Old 01-18-2009, 03:20 PM   #22

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Re: Trade Intensity

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Originally Posted by sevensa »
Hi BlowFish

I am sorry if this sound like I am nitpicking on the posts here, but this is really not my intend. What is a 1 tick constant range chart? 1 tick chart I understand, but the "constant range" part confuses me a bit.

Constant range charts to me means that the bars are all the same range, but I don't understand how that will work on a 1 tick chart. Did you maybe mean just a 1 tick chart with volume histogram?
Hi a constant range chart that is 1 tick of the instrument in width. So for ES it would be a .25 point range for each bar. Hope that makes it clear.

Oh btw HLM's suggestion (constant volume bars with time as a histogram) gives an interesting take on things. Something else that I have played with in the past. Kind of weird though as things are back to front, for example a tiny time histogram bar shows fast activity.
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Old 01-18-2009, 03:34 PM   #23

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Re: Trade Intensity

I would dare to say that the concept or idea is old at least hundred years. It is simply a high volume reversal, or a climax. A lot of volume in small amount of time in a small price range. I would also say that how chopped or not chopped are the orders of big guys are is not that relevant. No indicator is needed for detection of such an event. But if somebody wishes to react fast enough to participate at this very top or bottom, then some sort of computation and automization can be useful. Yet since the thread starter states that the way he does it is secret, this thread serves only as an example that something like that is maybe possible, at least with super-hyper-datafeed and processing capacity
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Old 01-18-2009, 03:59 PM   #24

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Re: Trade Intensity

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I would also say that how chopped or not chopped are the orders of big guys are is not that relevant.
I don't know...In the abstract it is an interesting question if a 500 lot trade moves the bid/ask as 500 1 lot trades does.
I can't totally put my finger on it but it seems a bit asburd to believe that 500 trades will act the same as 1 trade, no matter what the size.
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