[UrmaBlume]

We have been working on our indicators of the intensity of trade and have developed a couple of new filters.

Today the commercials were more active than normal. We found 13 trades based on intense commercial activity - 11 were profitable here are charts of the 3 best of the day (Times are PST). Hint for filters - size and threshold.

[BlowFish]

Interesting charts UB you would have taken a couple of ticks heat on the last one haha

I wonder what you mean by 'threshold' in this context. Minimum size?

I guess you have seen the volume splitter thread? Some of these concepts are applicable in numerous applications.

Finally I notice that there is always a lot more blue than red in your histograms which means that I might not have figured that Without completely giving the game away (though you have been quite generous so far) does the blue/red on the filtered chart represent the same as on the unfiltered ones? I seem to remember they always had more blue too.

[UrmaBlume]

Originally Posted by BlowFish »

Interesting charts UB you would have taken a couple of ticks heat on the last one haha

I wonder what you mean by 'threshold' in this context. Minimum size?

I guess you have seen the volume splitter thread? Some of these concepts are applicable in numerous applications.

Finally I notice that there is always a lot more blue than red in your histograms which means that I might not have figured that Without completely giving the game away (though you have been quite generous so far) does the blue/red on the filtered chart represent the same as on the unfiltered ones? I seem to remember they always had more blue too.

BlowFish,

Thanks for the kind words.

Yesterday certrainly was a great day for those that use this type of indicator. Ours finds 6 -12 such trades per day session in the ES.

As to the color you will notice blue bars at the tops and red at the bottoms. This demonstrates rare instances when what is shown as selling volume is really buying by the commercial and vice versa.

These bottoms (reverse for tops) are not made by traders suddenly taking the asked they are made when downward momentum runs into commercial buying that is bigger than the market at that moment in time and price. This size is executed by automated order placement and the size is almost never shown on market depth.

We also read this on our HUD as CPM (contracts per minute) which is measured as of every transaction and with time granulated to milliseconds. During a normal day session in the emini if CPM is < 3k price is not going to go very far and begins to have more drive above 6k.

cheers

[BlowFish]

Thanks. When I dabbled with this before I noticed that when the market pauses (or even just slows) that the intensity at that time drops to zero. This is as you would expect if no trades cross the tape for a few seconds the intensity is zero at that moment in time. I presume you are setting a minimum threshold for the intensity itself? Did I ever ask if you smoothed? I think perhaps I did but can't recall an answer, that might be intentional of course

I have a hunch smoothing and filtering are pretty important to get the best from this stuff.

As a complete aside I wonder if you notice when these conditions tend to occur?

[UrmaBlume]

Originally Posted by BlowFish »

Thanks. When I dabbled with this before I noticed that when the market pauses (or even just slows) that the intensity at that time drops to zero. This is as you would expect if no trades cross the tape for a few seconds the intensity is zero at that moment in time. I presume you are setting a minimum threshold for the intensity itself? Did I ever ask if you smoothed? I think perhaps I did but can't recall an answer, that might be intentional of course

I have a hunch smoothing and filtering are pretty important to get the best from this stuff.

As a complete aside I wonder if you notice when these conditions tend to occur?

BlowFish,

If "when" refers to time of day, the answer is anytime that the price and momentum models these guys use trigger - and that can be anytime.

They also occur with some regularity during the night session but the thresholds and other settings are entirely different and are adjusted according to time of day normalized volume measurements. These measurements are seen in Blue on our HUD.

I couldn't be more delighted that the brightest among you, like Blowfish and the others that are actually doing some work in this area, are finding value in our work.

cheers

[BlowFish]

One might guess that when the intensity is a couple of standard deviations from the mean (of a suitable sample) that someone is up to something.

[UrmaBlume]

Originally Posted by BlowFish »

One might guess that when the intensity is a couple of standard deviations from the mean (of a suitable sample) that someone is up to something.

Right on Mr. BlowFish. The commercials are the only traders with size & technology strong enough to do this kind of trade and it is this very small percentage of traders who make almost all the money. This is our way of looking over their shoulders as they act. One entity I know does 20,000 ES round turns per week.

[honvly]

UrmaBlume,

Thanks for the theory and the screenshots. I compared it to screenshots of my own for that day, and it is clearly apparent that I have much work left to do in order to achieve the numerical accuracy that you have.