Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

UrmaBlume

Trade Intensity

Recommended Posts

As an aside some while back I wrote code to measure trade intensity. The (pretty simple) routine to do this could easily be used to re-aggregate large orders onto the time and sales. I don't really know Ninja that well, most of the aggro is finding out the mechanism to achieve something. How to display data on TS is precisely that sort of aggro. Too busy to take a look at that now but might if there is sufficient interest.

Share this post


Link to post
Share on other sites

Blowfish,

 

If you could get a trade intensity indicator and a rebundling indicator programmed for Ninja, I think you would be wildly popular (if they were any good of course ;) )! Maybe some members with a c# knowhow could get together to help you out on the project...

Share this post


Link to post
Share on other sites
Blowfish,

 

If you could get a trade intensity indicator and a rebundling indicator programmed for Ninja, I think you would be wildly popular (if they were any good of course ;) )! Maybe some members with a c# knowhow could get together to help you out on the project...

 

I have prototyped bundling trades and to be honest I don't think it's that useful. The problem is one has to make a lot of assumptions that are often incorrect. Just because two trades occur at the same time doesn't mean it was the same trader who made them. That sort of thing. I'm curious to know how others have handled this. The programming is not hard but it seems we don't have enough information to work with.

Share this post


Link to post
Share on other sites

I don't know cunparis. I have seen applications which do this in the past, but changes may now make this very difficult. I think it has just got to be an educated guess based on micro timestamp readings right? So if you have a really good data feed, the guess is more likely to be correct or closer to being correct.

Share this post


Link to post
Share on other sites

You will have to make assumptions that's true enough. If you get 300 1 lot trades all at exactly the same time (as reported by the API) it seems a reasonable to re bundle them. (with zen/ninjs I was surprised to find this happen quite a lot) .

 

Actually you could argue we are not really assuming anything....it is just easier to digest this on the tape as 300@xxx. Actually it is pretty much impossible to digest it all unless you do aggregate it. Essentially since the changes at CME it is impossible to read the tape (time and sales) without as prints (on some instruments) will scroll faster than the eye can see (let alone the brain process.

 

Negotiator, exactly you have no other real possibility other than setting a 'delta time' threshold. I'm not really inclined to program it at the moment (I do have urges to program now and then!). It really is pretty trivial though (not quite so sure about the displaying things in a scrolling grid). Having said that Ninjas sample code for OnMarketData displayed on a grid I think.

Share this post


Link to post
Share on other sites
All these indicator doesn't well on 100 tick charts?

 

 

Bomberone1,

 

The indicaors in our Indicator Pack are designed to work with volume charts as described in a TL Post Here or by downloading the Indicator Pack Manual HERE.

 

The Velocity/Intensity indicator works best on volume bars that are around .0004 of the average daily volume of the target instrument. For ES we find good results using 1,000 bar chart.

 

Today's session high (so far) was posted at 1008 PST in ES @ 1355.50. The HUGE spike in velocity shown in the chart below and the negative divergence between price and indicator V94 led to a 15 point drop in ES.

 

The chart below shows the session high today and how it was well indicated by these indicators. Some of the indicators in the pack indicate continuation and some such as shown in this chart indicate reversal.

 

TPS00005.jpg

Edited by UrmaBlume

Share this post


Link to post
Share on other sites

jojojo, if your hat is off in sarcastic appreciation, stop reading unless you're interested in an alternative pov.

 

UrmaBlume is in my top ten all time best of multiple objective measures. He publishes original research extending what already exists. He's disclosed what has existed but has not been previously disclosed. He walks the path he talks. He is a Saint by comparision to the claims of others I've observed.

 

Oh - Now the cat is out - clever marketing , chapeau

Share this post


Link to post
Share on other sites
We developed this indicator and all of our traders use it every day, in fact we have 2 different versions of it and they use both.

 

The HUGE CAVEAT with this indicator is that it can give the signal of a reversal when it is really a signal of continuation.

 

The good news is that with the proper filters based on order flow and the balance of trade it becomes easy to tell which is which. Without such filters or other corroboration its use can be very problematic.

 

cheers

 

UB

First off thanks UB for the thread! I spent the time to code up what I believe to be a crude NT version. I can now say with the utmost confidence that when I see intensity accelerate and then decelerate the market will either reverse or continue! :-)

 

Any chance you'd toss us a bone or pointer re order flow and/or balance of trade filtering?

NQ_9_4_2012-c.thumb.png.90aaf92b21262a2141a00266bde86442.png

NQ_9_4_2012-ru.thumb.png.92cf774b84479a3812a0f7f7cfc638ff.png

NQ_9_4_2012-rd.thumb.png.34d473975a760a1ecb8f3bcc2327d377.png

Share this post


Link to post
Share on other sites
First off thanks UB for the thread! I spent the time to code up what I believe to be a crude NT version. I can now say with the utmost confidence that when I see intensity accelerate and then decelerate the market will either reverse or continue! :-)

 

Any chance you'd toss us a bone or pointer re order flow and/or balance of trade filtering?

 

AZMike,

 

Thanks for the kind words.

 

As to our work with order flow and the balance of trade, there is more coming. By the end of next month TradePoint Software will bring out new software that will include an updated version of our Indicator Pack and an Update to the HUD. This will include more information about how to use Intensity to spot runs on stops and buy/sell programs.

 

To demo the efficacy of this software we will start a free room whose main purpose will be to demo and support the software.

 

To demo the software we will show real-time, real-money trade by bots who use inputs from the indicators in the indicator pack as their main source of trade decision support information.

 

To start, I will run the room and be open to questions about the software and trading in general. Participants will be encouraged to join the discussion and be given access to either phone in, Skype in or VOIP in. From those participants I will be looking to hire someone to take over the room to allow me more time for my work with the development of automated systems.

 

Besides offering a demonstration and support for my software, my goal with this room is to provide more useful trading support and information for free to traders of any level than is provided by any of the paid rooms.

 

As always I am open to any questions or comments by anyone. Contact info including phone is on our site.

 

cheers

 

UrmaBlume

Edited by UrmaBlume

Share this post


Link to post
Share on other sites

I just read this entire thread and saw I had posted in it a few years ago.

 

I tried to make something like this in SierraChart but it seems SC is limited by its smallest unit of time being 1 second. So with tick or volume charts, I can check to see if the time it took to create the bar was less than one second, which is basically 0 seconds, because SC cannot work with values less than 1 second but faster than zero seconds.

 

So I was able to using a tick chart of any size and measure the time between bars. Naturally the smaller size tick charts, the more accurate this would be. However, since it is limited to 1 second at the smallest, using too small of a tick chart size results in too many signals, and using too big of a tick chart size results in too few signals.

 

ES 500 tick chart:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=185

 

ES 2000 volume:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=186

 

ES 250 tick chart:

http://www.sierrachart.com/Download.php?Folder=SupportBoard&download=187

 

You can see there are many false signals on that last one.

 

I'm sure this isn't really close to UrmaBlume's but I also don't think you can get any closer with SC since 1 second is as fast as they can get.

Edited by metalhead

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date: 11th July 2025.   Demand For Gold Rises As Trump Announces Tariffs!   Gold prices rose significantly throughout the week as investors took advantage of the 2.50% lower entry level. Investors also return to the safe-haven asset as the US trade policy continues to escalate. As a result, investors are taking a more dovish tone. The ‘risk-off’ appetite is also something which can be seen within the stock market. The NASDAQ on Thursday took a 0.90% dive within only 30 minutes.   Trade Tensions Escalate President Trump has been teasing with new tariffs throughout the week. However, the tariffs were confirmed on Thursday. A 35% tariff on Canadian imports starting August 1st, along with 50% tariffs on copper and goods from Brazil. Some experts are advising that Brazil has been specifically targeted due to its association with the BRICS.   However, the President has not directly associated the tariffs with BRICS yet. According to President Trump, Brazil is targeting US technology companies and carrying out a ‘witch hunt’against former Brazilian President Jair Bolsonaro, a close ally who is currently facing prosecution for allegedly attempting to overturn the 2022 Brazilian election.   Although Brazil is one of the largest and fastest-growing economies in the Americas, it is not the main concern for investors. Investors are more concerned about Tariffs on Canada. The White House said it will impose a 35% tariff on Canadian imports, effective August 1st, raised from the earlier 25% rate. This covers most goods, with exceptions under USMCA and exemptions for Canadian companies producing within the US.   It is also vital for investors to note that Canada is among the US;’s top 3 trading partners. The increase was justified by Trump citing issues like the trade deficit, Canada’s handling of fentanyl trafficking, and perceived unfair trade practices.   The President is also threatening new measures against the EU. These moves caused US and European stock futures to fall nearly 1%, while the Dollar rose and commodity prices saw small gains. However, the main benefactor was Silver and Gold, which are the two best-performing metals of the day.   How Will The Fed Impact Gold? The FOMC indicated that the number of members warming up to the idea of interest rate cuts is increasing. If the Fed takes a dovish tone, the price of Gold may further rise. In the meantime, the President pushing for a 3% rate cut sparked talk of a more dovish Fed nominee next year and raised worries about future inflation.   Meanwhile, jobless claims dropped for the fourth straight week, coming in better than expected and supporting the view that the labour market remains strong after last week’s solid payroll report. Markets still expect two rate cuts this year, but rate futures show most investors see no change at the next Fed meeting. Gold is expected to finish the week mostly flat.       Gold 15-Minute Chart     If the price of Gold increases above $3,337.50, buy signals are likely to materialise again. However, the price is currently retracing, meaning traders are likely to wait for regained momentum before entering further buy trades. According to HSBC, they expect an average price of $3,215 in 2025 (up from $3,015) and $3,125 in 2026, with projections showing a volatile range between $3,100 and $3,600   Key Takeaway Points: Gold Rises on Safe-Haven Demand. Gold gained as investors reacted to rising trade tensions and market volatility. Canada Tariffs Spark Concern. A 35% tariff on Canadian imports drew attention due to Canada’s key trade role. Fed Dovish Shift Supports Gold. Growing expectations of rate cuts and Trump’s push for a 3% cut boosted the gold outlook. Gold Eyes Breakout Above $3,337.5. Price is consolidating; a move above $3,337.50 could trigger new buy signals. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Back in the early 2000s, Netflix mailed DVDs to subscribers.   It wasn’t sexy—but it was smart. No late fees. No driving to Blockbuster.   People subscribed because they were lazy. Investors bought the stock because they realized everyone else is lazy too.   Those who saw the future in that red envelope? They could’ve caught a 10,000%+ move.   Another story…   Back in the mid-2000s, Amazon launched Prime.   It wasn’t flashy—but it was fast.   Free two-day shipping. No minimums. No hassle.   People subscribed because they were impatient. Investors bought the stock because they realized everyone hates waiting.   Those who saw the future in that speedy little yellow button? They could’ve caught another 10,000%+ move.   Finally…   Back in 2011, Bitcoin was trading under $10.   It wasn’t regulated—but it worked.   No bank. No middleman. Just wallet to wallet.   People used it to send money. Investors bought it because they saw the potential.   Those who saw something glimmering in that strange orange coin? They could’ve caught a 100,000%+ move.   The people who made those calls weren’t fortune tellers. They just noticed something simple before others did.   A better way. A quiet shift. A small edge. An asymmetric bet.   The red envelope fixed late fees. The yellow button fixed waiting. The orange coin gave billions a choice.   Of course, these types of gains are rare. And they happen only once in a blue moon. That’s exactly why it’s important to notice when the conditions start to look familiar.   Not after the move. Not once it's on CNBC. But in the quiet build-up— before the surface breaks.   Enter the Blue Button Please read more here: https://altucherconfidential.com/posts/netflix-amazon-bitcoin-blue  Profits from free accurate cryptos signals: https://www.predictmag.com/ 
    • What These Attacks Look Like There are several ways you could get hacked. And the threats compound by the day.   Here’s a quick rundown:   Phishing: Fake emails from your “bank.” Click the link, give your password—game over.   Ransomware: Malware that locks your files and demands crypto. Pay up, or it’s gone.   DDoS: Overwhelm a website with traffic until it crashes. Like 10,000 bots blocking the door. Often used by nations.   Man-in-the-Middle: Hackers intercept your messages on public WiFi and read or change them.   Social Engineering: Hackers pose as IT or drop infected USB drives labeled “Payroll.”   You don’t need to be “important” to be a target.   You just need to be online.   What You Can Do (Without Buying a Bunker) You don’t have to be tech-savvy.   You just need to stop being low-hanging fruit.   Here’s how:   Use a YubiKey (physical passkey device) or Authenticator app – Ditch text message 2FA. SIM swaps are real. Hackers often have people on the inside at telecom companies.   Use a password manager (with Yubikey) – One unique password per account. Stop using your dog’s name.   Update your devices – Those annoying updates patch real security holes. Use them.   Back up your files – If ransomware hits, you don’t want your important documents held hostage.   Avoid public WiFi for sensitive stuff – Or use a VPN.   Think before you click – Emails that feel “urgent” are often fake. Go to the websites manually for confirmation.   Consider Starlink in case the internet goes down – I think it’s time for me to make the leap. Don’t Panic. Prepare. (Then Invest.)   I spent an hour in that basement bar reading about cyberattacks—and watching real-world systems fall apart like dominos.   The internet going down used to be an inconvenience. Now, it’s a warning.   Cyberwar isn’t coming. It’s here.   And the next time your internet goes out, it might not just be your router.   Don’t panic. Prepare.   And maybe keep a backup plan in your back pocket. Like a local basement bar with good bourbon—and working WiFi.   As usual, we’re on the lookout for more opportunities in cybersecurity. Stay tuned.   Author: Chris Campbell (AltucherConfidential) Profits from free accurate cryptos signals: https://www.predictmag.com/   
    • DUMBSHELL:  re the automation of corruption ---  200,000 "Science Papers" in academic journal database PubMed may have been AI-generated with errors, hallucinations and false sourcing 
    • Does any crypto exchanges get banned in your country? How's about other as Bybit, Kraken, MEXC, OKX?
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.