[UrmaBlume]

The ultra short term bursts of uber intense trade that often establish local intra-session extremes is never shown as resting orders it is auto-executed in a series of orders separated by only a few thousandths of a second.

The chart below shows a spike in trade intensity but while this high volume of trade was being executed it was never shown at any level as a resting order by market depth. This trade was auto-executed.

While commercial traders CAN successfully hide their method and whether the trade was an opening or closing transaction, they can't hide the fact of their transactions.

[Soultrader]

This is quite fascinating stuff UrmaBlume. Thanks for sharing.

What platform are you using to write these indicators? Seems like everyone is out to win the volume analysis race.. trying to dig deeper into analyzing what lies within a volume bar. However, I do like your approach of analyzing the number of transactions with time.... or is this something else? Thanks.

[UrmaBlume]

SoulTrader,

Thanks for the kind words. Not at all like the responses I got from one of your other, less informed, moderators.

You are right about volume analysis - it's all that really matters. After all it is volume that motivates price - Price doesn't motivate price and the passage of time does not motivate price, it is the occurrence of trade (buying and selling) that motivates price.

Knowing that it is not the passage of time but rather the occurrence of buying and selling that drives price makes one wonder why anybody would ever base their trade on indicators with price as the prime input (EMA, Bollinger, RSI, Candlesticks, Stochastic, CCI....) and to further compound the error, apply those indicators to time constant data vessels.

Three decades ago I was taught that the best indicators of future price don't have price as any part of their calculation.

As I have mentioned I run a small PRIVATE trading and technology company and the first thing I teach our new traders is that it is buying and selling that drives price. That none of our intra-session charts are time constant charts and almost none of our indicators have price as ANY part of their calculation.

[UrmaBlume]

Originally Posted by Soultrader »

This is quite fascinating stuff UrmaBlume. Thanks for sharing.
What platform are you using to write these indicators? Seems like everyone is out to win the volume analysis race.. trying to dig deeper into analyzing what lies within a volume bar. However, I do like your approach of analyzing the number of transactions with time.... or is this something else? Thanks.

We use Trade Station. I am the oldest contiuous user of products developed by Bill Cruz. I even bought his Temp S&P system almost 30 years ago before there was tradestation, SuperCharts or Omega Research.

TradeStations does have some issues. For us many are centered around the lack of granularity with the TS time stamp. For applications like our Market HUD we use dll's to export the data to applications we have written in C++. For finer granularity in the usage of time we access the windows kernel.

A couple of months ago we investigated the possiblity of changing to Ninja and ZenFire data. We were able to speak to management at both Ninja and ZenFire and found the ZenFire data stream to be great but that the way Ninja handled the data stream made the data not suitable for our purposes plus Ninja is very young software and needs a couple of more versions before it will be ready for real power users. The best we got out of the discussion was meeting with Mirus futures. Great attitude, great rates and super day margins. They even support member rates and the CME volume incentive plan that gets total round trips in the ES down to $1.80 round trip. While Ninja is not yet ready for our level of trade decision support processing we may have to get it just for executing trades at Mirus and keep Trade Station for the analysis part.

And thanks again for the kind words.

[Soultrader]

TRO did share his indicators with the forum. I suppose Urmablume's will remain a secret although the concepts I suppose can be programmed by anyone with coding skills.

I find value in Urma's posts, for example I am quite interested in exploring more on tick charts. Lets say by using a 100 tick chart, I can simply program to count how many bars were drawn in lets say a timespan of 1 minute... this would somewhat be similar to what Urmablume is sharing?

I was just brainstorming right now of an historgram like indicator... not sure how effective this could be but perhaps someone else can expand on it? Thanks.

[Hlm]

To get back somewhat on topic...

UrmaBlume, since your indicator/analysis relies greatly on speed I would highly suggest posting a short video showing several (since they only last a second or so) of these spikes thoughout the day. You could even stream your charts live for a day on ustream.com for free. It would also be helpful if you could post an intraday chart (full rth day) showing where these spikes occurred so an individual could get the bigger picture. These would be much more helpful to everyone. Thanks.

[bakrob99]

Originally Posted by Soultrader »

...I was just brainstorming right now of an historgram like indicator... not sure how effective this could be but perhaps someone else can expand on it? Thanks.

Hi James,
Have you created an indicator for that? If so can you share the ELD?

Thanks
bakrob99

[Soultrader]

Originally Posted by bakrob99 »

Hi James,
Have you created an indicator for that? If so can you share the ELD?

Thanks
bakrob99

Oh no, Im not a programmer and I currently dont use TS anymore. But I suppose it wouldnt be too hard to code up for someone with programming skills?

If I can code this up in CQG I will share the code. Thanks.