[AgeKay]

BlowFish and honvly, thanks for posting, very cool. What feed did you use in that case with NinjaTrader?

BlowFish, what calculation did you use for your indicator? Something similar to my interpretation?

honvly, what do you with the 3-7 ms differences with regards to the formula I posted?

[AgeKay]

Originally Posted by UrmaBlume »

What we do aside - measure the time for a block of a constant size and extrapolate to cpm. We take this a step further so that our work not only reveals intensity but also the degree of trader commitment.

UrmaBlume, thanks for chiming in.

Do these program trades always chop up their orders in constant sizes? Seems rather dumb to me if they want to disguise their intentions.

What do you mean by trader commitment?

[deanz]

Here is a chart I posted earlier with one difference, the blue verticals are at 1 minute intervals, but this time I added the light coloured verticals every 1 second, anyone notice the Intensity..... :-)


185 trades in 1 second, contracts = 1342

now also don't dismiss the 1 second before the intense second.

52 trades in 1 second, contracts = 985

so I see 2 ways to inject volume in a very short time without it being obvious in higher timeframes, lots of smaller trades, or a few large trades. It's almost like the large spikes are a test.... of liquidly?

You can see a similar thing happening if you use a 1 Volume chart and plot vertical line every second.

I found this timeline indicator and changed it to display vertical lines every second instead of minutes like it was designed to do, unfortunately it is hugely CPU intensive now and pretty much unusable on my average home laptop. If anyone knows how to make it more CPU friendly, someone asked if there was another way of drawing a vertical line in this post:
http://www.ninjatrader-support2.com/...=vertical+line
and here is the link to the indicator the moderator said to take look at how to do it.
http://www.ninjatrader-support2.com/...pp=15&keyid=86

I want to thank UrmaBlume for helping me to see this, and I would edit an earlier post if I it was possible, my apologizes UrmaBlume.

Dean.

[honvly]

Originally Posted by AgeKay »

BlowFish and honvly, thanks for posting, very cool. What feed did you use in that case with NinjaTrader?

BlowFish, what calculation did you use for your indicator? Something similar to my interpretation?

honvly, what do you with the 3-7 ms differences with regards to the formula I posted?

I am using Zen-Fire.

Right now I am just dividing the contract size by the 3-7 ms differences and averaging this value across all ticks in a bar. However, I believe that the 3-7 ms differences are artifacts of NinjaTrader's bar processing speed. To improve the accuracy, I am going to try to increase the millisecond differences by filtering out trades less than 10 contracts and splitting bid/ask volume.

[deanz]

honvly I would be cautious of using plain old bid/ask, as UrmaBlume has said in this post:

Originally Posted by UrmaBlume »

Most Data Vendors designate trade on the ask as UpVolume and trade on the bid as DnVolume. We have found flaws in that approach and use something close but, still different.

We calculate buy and sell imbalances over several volume/time frames and then further pre-process this data into inputs to both linear and non-linear analysis.

[darthtrader3.0beta]

Originally Posted by deanz »

If anyone knows how to make it more CPU friendly, someone asked if there was another way of drawing a vertical line in this

From what I've seen to do anything usefull with drawing in ninja that is complex it seems you have to override plot(). I might be way off but I think what happens when you don't do this is ninja paints all the bar data with plot then paints over that with whatever you have in onbarupdate..I get the feeling that if you do your drawing within plot, its all painted on one pass.
I'm still struggling with figuring out how to do much when it comes to the X cordinate though.
Maybe we can get a ninja coding sub forum on here?

[AgeKay]

Originally Posted by deanz »

185 trades in 1 second, contracts = 1342

now also don't dismiss the 1 second before the intense second.

52 trades in 1 second, contracts = 985

Had all of these trades the same size?

[BlowFish]

Originally Posted by AgeKay »

BlowFish and honvly, thanks for posting, very cool. What feed did you use in that case with NinjaTrader?

BlowFish, what calculation did you use for your indicator? Something similar to my interpretation?

honvly, what do you with the 3-7 ms differences with regards to the formula I posted?

Ninjatrader with Zenfire. Felt like a challenge and I find coding Ninja challenging It uses the .Net frameworks DateTime construct which will returun ticks (100 nano seconds resolution). Obviously far greater than is actually available in the real world!

I pretty much used your interpretation AK because when I thought about it, it seems like the right way to do it.

I am still wondering about smoothing to which end I have tried adding average intensity per bar.