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TradeStation Radarscreen - TradeVolume

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The only way to get real volume information, including up and down volume, in radar screen is to use the price series objects.




How accurate is the uptick/downtick data from TS?


I've seen references to it been less reliable than the MarketDelta data, but then such claims have come from vendors affiliated with the latter . . .


If TS uptick/downtick accurately represents trades executed at ask/bid, then it is pretty hard to imagine where the difference might lie between what can be calculated from that information, versus the MarketDelta products.



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Hello,How accurate is the uptick/downtick data from TS?

I've seen references to it been less reliable than the MarketDelta data, but then such claims have come from vendors affiliated with the latter . . .If TS uptick/downtick accurately represents trades executed at ask/bid, then it is pretty hard to imagine where the difference might lie between what can be calculated from that information, versus the MarketDelta products.BlueHorseshoe


It is not so much a question of accuracy as it is a question of method and a question of the efficacy for the particular application of each method.


Data vendors use several different methods to determine Up and Down Volume.


Most people believe that Up and Down is determined only by whether the trade was on the bid or on the asked. A more common, and some say a better, method is via Price "Up and Equal" for Up Volume and "Down and Equal" for Down Volume.


In my work I have found TS Up & Down volume calculations to be quite useful. Before I came to that conclusion I wrote code in a strategy using IntraBarPersist to measure true UpTick volume and true tick by tick Up and Equal.... volume. The results were plotted graphically via the El Collection Global Dictionary. Of note is that you cannot use calculations that measure/value each tick in indicators and must use strategies to get full value from IntraBarPersist..


On close examination of the dynamics of the formation of local extremes you will find that many if not most local extremes are formed by seemingly "opposite" volumes.


For instance in the ES many tops are formed by Up/Buying volume and not by selling volume as one would suppose. What happens is that in order to disguise size entries, big players will often establish a top when upward price momentum meets the players price, the player simply keeps replenishing the asked every time there is a trade.


This replenishment in the microsecond time frame is noticed by a huge increase in trade velocity and well as constant trade on the asked, over a very short time frame, that is obviously not buying and price remains at that asked rather than trading through it.


In our system development work we put heavy weight on indicators calculated from and around the 3 V's -


1) Volume broken down into our particular way of differentiating Buying from Selling at particular points in price. Don't forget that at its base the movement of price is about money flow - more buying more likely to go up.


2) Volatility of both price and our calculation of net trade which we simply call net new trade. If there is no volatility in BOTH price and net trade there is most probably not enough volatility to justify price speculation in that particular time frame.


Time frame volatility is why when we think of portfolio we do not necessarily think of development for a portfolio of symbols but rather we think of a portfolio of time frames so that in periods of lower volatility only the fastest bots trade and in periods of great trending all the different time frames trade.


3) Velocity - When trade occurs at very high velocity it is most likely the result of computer execution and that helps locate smart size trade as 2 lot traders do not have their orders computer executed in the sub second time frame.





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How can we calculate trade velocity ? Is there any indicator? can be buit it in Radar screen?

Please let me know.




Trade velocity can be very useful in locating the kind of trade that forms local intra-session extremes.


The idea is that trade that is executed by computer is faster than a set of random orders placed by human traders and that small/retail traders don't have the wherewithal for computed executed entries and exits.


One prime issue when using the velocity of trade as a trade decision support mechanism is that while arbitrageurs often use computer execution when deploying premium arbitrage strategies, at the same time they might be making large computer executed buys or sells in a derivative market(i.e., futures) - they are also making the opposite transaction in the physical markets..


That said, attached is a spike in buy trade velocity taken this morning at the open of ES which, as of this writing is also the low of the day.The chart is noted in PST and you can see the buy spike in trade velocity in the middle graph at the far left which is just at today's open in ES.


The direct answer to your question is that that we use several different algorithms to calculate the velocity of trade and which one we use is dependent on instrument, sensitivity and which trade type we are trying to identify.We, as of now, don't use this indicator in Radar Screen buy will add such to our indicator pack in the near future.






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