Trade Intensity

[mead 10]

Tooker apparently mimicked the programming in another program platform, however the platform in his screen capture isn't familiar to me and I wanted to know what he was using.

 

Tooker used MarketDelta, specifically the volume breakdown indicator to mimick the programming.

[ZOSO 10]

Tooker used MarketDelta, specifically the volume breakdown indicator to mimick the programming.

 

That's interesting. If it consistently functions in the same fashion as Urma's, that's good enough for me. I could care less about the guts of this thing or how its created. I'm a trader, not a programmer.

 

After all, it's just one additional tool to get more edge.

[sdoma 10]

As for slicing and dicing hiding activity, the very fact that most peoples tools don't have the granularity to see the slices or they haven't set them up to doesn't that have the effect of 'unslicing' the salami in their eyes?

 

No, for a few reasons. A lot of programs, some widely available, can filter for trades of a certain size and above - e.g., 200+ cars. Not too many traders can swing that kind of stick. So, say you're a big commercial trader and need to buy 2000 cars in x-y price range. If you bid 2000, other big traders are going to game you. If you lift 2000, you will sweep the book, maybe not get the execution you want, and might get gamed anyway, depending. There's a whole level to the game the big guys play with each other that we just aren't involved with - those big traders are hiding from other big traders, they couldn't care less if you or I ride their coattails.

 

However, an algo can allow you to shove that size through diced up into random pieces - say, a 4 lot trade, 3, 8, and so on. So you wouldn't tip your hand with a huge bid or lift, and it wouldn't be so obvious as 2000 one lot trades done over a minute of time. It's like the biblical proverb of shoving the rope through the eye of the needle. (Camel is a mistranslation)

 

In the cash stocks, they use those algos as well, and additionally will go to dark pools to do really large block trades.

[diablo272 10]

By coincidence, I was reading about what sdoma is talking about just yesterday. Specifically, I came across something called Guerrilla from Credit Suisse, but I can't really find any information about other than the fact that its purpose is to hide activity. Does anyone have any information on programs like this? I'm guessing it isn't just as simple as splitting the order into random increments as sdoma mentioned above, because it seems like that would be relatively easy to do.

[brownsfan019 17]

It would seem that hiding orders is an important part of the game if you are trading size. Here's what OEC offers: icebergs

 

And that's what is tucked into a retail platform. I can just imagine what algo's the big boys are using.

 

Anyways, if you can detect those hidden large orders, that should provide an edge to your trading. I'm not nearly as programming gifted as some of you here, so I wish those that chase this down luck and best wishes. It would be nice to see someone crack the 'code' and give it to the forum, but I won't hold my breath.

[MtnDog 10]

Tooker used MarketDelta, specifically the volume breakdown indicator to mimick the programming.

 

As far as I know, MarketDelta functions down to the second resolution. The Volume Breakdown Indicator has settings for Vol per sec, delta per sec, etc. This gets you close, but not exactly down to ms precision as UB describes.

 

The VB indicator does have something called "trade intensity" which will register a 100 (max) value if the ticks come in one on top of the other. Market Delta recommends this ind. to be used on 1-tick charts for best results.

[mead 10]

Thanks for the additional info MtnDog regarding MarketDelta. I've been watching the spikes on the VB indicator, using tick momentum for total trades/ticks on a 1000 volume chart. Today, for example, there were spikes at 5:30 and 7:00 pacific time. My overall impression is that this is just not that close to Urmablume's indicator - unfortunately.

[truehawk 10]

The hidden orders do not bother me much. But I find the big trades that show up on a one minute chart that are calculated to run the dome highly indicative of direction.

 

They show up on the one minute chart as normal activity plus 1000, 5000, or 15000 contracts and 1500 contract buys HAVE showed up in the middle of the night driving up the price for months.

 

But

 

This morning there was the dogi in ESZ9 8:30 AM Eastern that started at 1061, went down to 1058.

Check it out. Someone decided it was time for the market to go down and dumped 15,000 contracts on the market in a second. Someone else bought them back up. This one was like being caught in a crossfire. But made it look like the big boys were going to srugg off any bad news and support stocks as has become usual.

Then today, they hit it with a series of sell orders totaling 5 to 10K in a minute whenever it showed signs of breaking back up outside of the channel. A message that the market is being taken down about as subtle as a Mack truck.

[davewolfs 10]

That's pretty much what I'm working on - wish I'd started maintaining my own database ages ago.

 

I am wondering about the utility of feeding it back into NT, though, as opposed to just using NT for time charts, and hard-coding the volume charts I'd want from the API data.

 

Named Pipes and WCF NT 7 will support .NET 3.5.

[diablo272 10]

It would seem that hiding orders is an important part of the game if you are trading size. Here's what OEC offers: icebergs

 

And that's what is tucked into a retail platform. I can just imagine what algo's the big boys are using.

 

Anyways, if you can detect those hidden large orders, that should provide an edge to your trading. I'm not nearly as programming gifted as some of you here, so I wish those that chase this down luck and best wishes. It would be nice to see someone crack the 'code' and give it to the forum, but I won't hold my breath.

 

Interesting BF, I didn't know OEC had that functionality, thanks for the info. I find all these tools that bigger traders have fascinating, especially since there seems to be so little information about them online.

[jcash 10]

i was curious if anyone has applied their trade intensity measurements to an index future and a cash equivalent like an ETF or basket of stocks to identify spikes that aren't pure position speculation?

[MtnDog 10]

I wonder if there is any use in monitoring the Premium on the same chart as a way of filtering the Intensity readings that are due to arbitrage. A lot of the premium feeds from data providers are kind of slow though. High TICK levels might be another thing to look at. It might be helpful to know the context in which a spike in intensity occurs.

[cls71 10]

Thanks for this amazing thread.

 

I am going to expose my point of view to focus the intensity trade. Maybe can be helpful for somebody.

 

I developed a NinjaTrader indicator to measure the intrabar pressure, some months ago. It looks like MD.

I added a summary at the bottom to measure the volatility of the volume and the volatility of the pressure.

Volume Volatility (w) = Bar's Volume / Time

Pressure Volatility (d) = Bar's pressure / Time

Bar's Pressure = Bar's Bid Volume - Bar's Ask Volume

 

At that moment, I didn't know about intensity trade.

 

When I finished reading this thread, I thought how I could implement this issue in my indicator.

So, I developed a custom bar type to display equisize bars, ie, all bars have the same size expresed in ticks (prints).

Hence, the shorter the time that has consumed the bar, the greater the intensity.

 

You can see in the attachment how took place an "ask intensity trade" at 17:30.

The price rose to 1,060.00 at 18:10. At this moment took place other intensity trade incident. It was an "ask intensity trade" also, however the price fell down.

 

Regards

[andypap 10]

The markets turn for only one reason - a change in the balance/imbalance in the order flow.

 

 

what is this a new religion?

 

what about value

why is volume not expressing it self in amazon sending it to 3 gadzillion dollars

 

post the time and day stamp of those charts displaying intense volume activity and most likely (i dont want to be arrogant) i will explain to you why price has changed direction there..

 

volume only represents the perception of value beween market participants and value is inevidably corelated with price.

 

what do you do first when you by a house or a car? do you take a look at the price tag or do you ask how many where sold the last hour.

 

as for technical analysis dying because of computers..

check those pics and tell me what you think...

can you code a system that does that...

since you obviously cant then you are prone to start thinking entering the room from the back door

 

 

regards

 

 

Liquidity Rebate Orders

 

Some of these same “algo” (short for algorithm) institutional traders also receive payment for posting orders, further encouraging huge trading volumes and market volatility. The broker dealer doesn’t even have to make money on the trade itself, and if the order is filled, the broker dealer receives a rebate. These rebates are driving up the price that other institutional investors pay. Many other predatory practices are described in more detail in this Themis Trading White Paper. Bank of America/Merrill Lynch needs to recoup its losses so they just rolled out new options order algorithms as mentioned in Wall Street and Technology.

 

 

 

Flash Orders

 

Flash orders are orders that are sent briefly to a limited group of traders prior to displaying them to the public. The high speed computers described above take advantage of this millisecond period and allow their members to trade ahead of those orders and at better prices. NASDAQ and BATS (another equity market in addition to the NYSE and NASDAQ) argue that they’re trying to improve the orders. Even if the orders aren’t improved, they claim that they’re already reviewed by so many dark pools that there really isn’t an advantage to sending flash orders. So, if there isn’t an advantage, then why are they sending them? Flash orders aren’t regulated by the Securities and Exchange Commission (SEC), but according to The Washington Post, New York Senator Chuck Schumer wants to introduce legislation to prohibit their use if the SEC doesn’t take action soon. Some flash orders are sent to Dark Pools, another threat against individual investors.

[Goalgetter 10]

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

 

 

Quite right - whether 1 tick or more.

Plus a decent indicator and you have the same results.

After all you only trade 1 item - the ES - and not a bunch of underlyings or equities.

[moon 10]

Hi UB,

As you are doing high frequency trading, I wonder - how do you deal spillage?

Are you watching the spread before taking a position? / Using Limit orders / Always have orders pending on the DOM (just in case you'll want to enter) / Other?...

 

thanks,

 

moon

[UrmaBlume 10]

Hi UB,

As you are doing high frequency trading, I wonder - how do you deal spillage?

Are you watching the spread before taking a position? / Using Limit orders / Always have orders pending on the DOM (just in case you'll want to enter) / Other?...thanks,moon

 

Moon,

 

The short answer is a bit of all of the above.

 

We call the frequency done by both our bots and our point and click traders to be "higher" frequency trading as opposed to the uber high frequency trading done by some.

 

Our point and click traders usually adjust their entry orders to the time/volume/frequency they are trading. In the faster time frames where the whole trade might just be a couple of ticks they generally use Limit orders. Where a tick is not as important as getting onboard as in the slower/higher volume bars charts they are free to use either limit or Market if Touched entries.

 

At all times in all time frames they have the benefit of auto-posted text that eigher recommends "No Trade" or posts precise TradePoints for the current bar as shown in the graph below. These TradePoints are updated every tick for each of the 7 time frames we track for each market.

 

cheers

 

[metalhead 10]

Just read this entire thread.

 

Has anyone adopted this indicator into their trading?

 

Has anyone coded it for SierraChart?

[metalhead 10]

No replies cuz everyone is too busy making money with this indicator!

[BlowFish 10]

Odd logic, I would be more inclined to conclude the opposite.

 

Having said that the principle seems sound (to me) and it is a pretty straightforward an indicator to write (though I can't comment on Sierra).

[BlowFish 10]

The markets turn for only one reason - a change in the balance/imbalance in the order flow.

The premise of the indicator is the intensity of the order flow often rises at these turning points. Of course all turns are not accompanied by increased intensity and all increases in intensity do not result in turns.....that is the nature of the beast though

 

post the time and day stamp of those charts displaying intense volume activity and most likely (i dont want to be arrogant) i will explain to you why price has changed direction there..

Not arrogant at all I am pretty sure you could find any one of four score and ten reasons. Of course the art is to identify it as it is happening.

[justtrade01 10]

The premise of the indicator is the intensity of the order flow often rises at these turning points. Of course all turns are not accompanied by increased intensity and all increases in intensity do not result in turns.....that is the nature of the beast though

 

 

Not arrogant at all I am pretty sure you could find any one of four score and ten reasons. Of course the art is to identify it as it is happening.

 

Exactly that is the point. To identify it as it is happening.

[cunparis 10]

The premise of the indicator is the intensity of the order flow often rises at these turning points. Of course all turns are not accompanied by increased intensity and all increases in intensity do not result in turns.....that is the nature of the beast though

 

So far my observation is that the turning point is due more to exhaustion than it is traders fading the move. For a short, I see exhaustion by sellers and then price reverses. This seems to be more reliable than looking for an increase in intensity by longs. But I'm still investigating this.

[cunparis 10]

Just read this entire thread.

 

Has anyone adopted this indicator into their trading?

 

Has anyone coded it for SierraChart?

 

I have my version available on my blog for Ninja & Multicharts. I'm sure someone can port it to SierraChart. I'm hoping to get some collaboration from other developers.

 

Mine isn't done the same way as Urma's however I do get similar signals. My problem is I get too many signals.

 

Pace of Tape Indicator Trade With The Flow

[become 10]

So far my observation is that the turning point is due more to exhaustion than it is traders fading the move. For a short, I see exhaustion by sellers and then price reverses. This seems to be more reliable than looking for an increase in intensity by longs. But I'm still investigating this.

 

The bid is refreshed, absorbing the sellers without allowing price to move significantly lower.

 

Surges in buying intensity at the bottom of a move do occur, but are much rarer. They probably represent increased urgency, rather than just taking advantage of a 'normal' imbalance.

 

The indicator is more precise, but if you're looking for it you can basically read the same information from standard price-volume-velocity studies.