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UrmaBlume

Trade Intensity

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Stick the salami back together again :) That's why you get that sawtooth effect on the chart's I posted when you get a whole bunch of activity that spans several bars but with the same time stamp.

 

Have you tried setting the time span to the latency of zen-fire in that case instead? What I mean is, if the smallest time difference of zen-fire trades is 10ms between every trade, then you should set the time difference to 10ms if you get 0 since the time difference must have been lower than this threshold/latency. This would be a good approximation until you get a feed with no latency.

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My latency is pretty low (I'm considering upgrading the 20meg to 50meg fibre :)) Zenfire is streets ahead of TS which I believe UB uses (at least for some stuff). In fact I believe Zenfire & TT are as good real time feeds as you will get regardless of who you are (retail or pro). The only way to get any faster is to put your PC right next to the exchange. Jitter is more of an issues as someone else mentioned.

 

There are flurries of ticks arriving with 0 ms between them, this is good I believe! Anyway the logic I use is something like

 

if (Delta == 0.0) Intensity = Intensity + ThisTickVolume; else

Intensity = ThisTickVolume/Delta;

 

works good but strictly speaking I should reset the intensity if it is a new bar and delta is zero. (Constant volume bars you can have several bars with the same time stamp if your charting package constructs them properly).

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My latency is pretty low (I'm considering upgrading the 20meg to 50meg fibre :)) Zenfire is streets ahead of TS which I believe UB uses (at least for some stuff). In fact I believe Zenfire & TT are as good real time feeds as you will get regardless of who you are (retail or pro). The only way to get any faster is to put your PC right next to the exchange. Jitter is more of an issues as someone else mentioned.

 

I did not mean the latency of your internet connection. The latency of your internet connection only determines when you get the data, not when the individual actually trades occurred. Maybe I used the wrong word. I think the problem lies with the data provider. What I mean is: If the feed provider cannot process the data it receives from the exchange fast enough or uses outdated technology (bad programming or slow hardware), then for them the trades will in fact occur at the same time so they distribute the trades with the same time stamp. What you really want is time of the trade at the exchange but the feed provider might not request this from the exchange to save on bandwidth and then set the time themselves. Or it's NinjaTrader that replaces it with the local time of your computer. Or you might even be responsible yourself since you said you use 'DateTime.Now.Ticks' which will use the time of your computer, not the time when the trades actually occurred.

 

Does NinjaTrader provide a way to access the time of the trade at the exchange? If so, you should try using that.

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Nope (not that I know of) that other method (Time[0].Ticks) returns the bar start time which of course is constant through the whole bar. If it was end time it could be used.

 

One could always use a 1 tick chart which I have done in the past in TS to retain full control.

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I dunno but I think you might have an issue I get several clear flurries with a time difference of zero and a more varied spread of values. Are you using DateTime.Now.Ticks? ..........Time[0].Ticks does not work.

 

Here's some sample output (FTSE).

 

I am using the TimeSpan class's TotalMilliseconds method with the difference in DateTime.Now and changed my volume capture code from OnBarUpdate to OnMarketData. This has changed the 3-7ms differences to 0-1ms. However my current formula does not accurately capture the first trade in a flurry, since it has a large time difference from the previous trade, and it also does not capture the 0ms trades, since I am dividing by duration in my formula. I need to write more code to take care of these cases.

 

Here's some sample output. difference(ms)---trade size

241----23
0----103
1---29
0---10
63----29
710.0516----10
5310.1485---10
0---32
37---13
1----97
4677.2----267
1---14
0---13

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I am using new logic to reduce the impact of time. For trades that arrive in less than e = 2.71828183 ms since the last trade, I use the tick volume itself as the intensity. For trades that take more than e = 2.71828183 ms, I divide the tick volume by the natural logarithm of the duration in ms and use this value as the intensity. However, I am still not sure whether I should average the intensities over each tick in the bar or simply add them up.

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I am using new logic to reduce the impact of time. For trades that arrive in less than e = 2.71828183 ms since the last trade, I use the tick volume itself as the intensity.

 

I think this is a mistake since you treat trades that come very quickly like a trade that came after exactly 1 minute (if your time unit of intensity is per minute).

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I think this is a mistake since you treat trades that come very quickly like a trade that came after exactly 1 minute (if your time unit of intensity is per minute).

 

My time unit is the millisecond. For example, if a trade arrives in 100ms from the last trade, I will take the volume and divide it by ln(100) = 4.6. That way, trades that arrive slowly do not contribute as much to the intensity, but at the same time they are not completely discarded.

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I thought I'd post a FTSE chart. FTSE can be a bit thin ....seems to be today. Heres a chart showing trade intensity, tick intensity, and time per constant volume bar. There are a couple of things that I think it might need...some sort of smoothing, and some way of rescaling the low value of the bar (red dot at the bottom is minimum intensity for that CV bar , histogram is maximum and magenta line average) .This (low value) is orders of magnitude smaller so essentially flat lines a wee bit above zero.

5aa70eac13d7c_Z03-0929_01_2009(20Volume).thumb.jpg.5e6091725be7fe0927b5cabdcb831197.jpg

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Tick intensity is just ticks per constant volume bar ....max min and average. Basically you are not factoring in the volume. Oh it is 1/delta. Where delta is the time since the last tick.

 

Time histogram is interesting a small bar is analogous to a volume surge i.e the constant volume bar completed quickly (so small time histogram). Incidentally I have a maximum threshold on that and it is a bit to aggresive so a lot of the long histogram bars (long time for the constant volume bar to complete) are being truncated.

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I do not know much about programming but I would like to have a go at making a Ninja Indicator that adds up either the ticks or volume that occurs in 1 second, and if it is greater that the previous Max Count then plot it to the indicator. I will NOT use this on a 1 tick or 1 volume chart.

 

My question is should I make a 1 second loop and if so how do I do that ?

 

 

Dean.

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I do not know much about programming but I would like to have a go at making a Ninja Indicator that adds up either the ticks or volume that occurs in 1 second, and if it is greater that the previous Max Count then plot it to the indicator. I will NOT use this on a 1 tick or 1 volume chart.

 

My question is should I make a 1 second loop and if so how do I do that ?

 

Dean.

 

Some contribute to these threads and others are just takers. You have never been thanked once for anything. Besides I wouldn't want to arouse your "suspensions" as you mentioned in another post.

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Some contribute to these threads and others are just takers. You have never been thanked once for anything. Besides I wouldn't want to arouse your "suspensions" as you mentioned in another post.

 

Please move all of your stuff to the Automated Trading Forum.

We don't need any "Proprietary" , " not for sale in a million years" kind of indicators in the Technical Analysis Forum

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Please move all of your stuff to the Automated Trading Forum.

We don't need any "Proprietary" , " not for sale in a million years" kind of indicators in the Technical Analysis Forum

 

Why? None of this is about automated trading and many different ways to calculate these indicators have been discussed here.

 

Except for you and one other strong anti-intellectual my posts have received a very warm reception from your most astute and prolific posters.

 

What have you got against new material that is well received by your members?

 

Why don't you see if you can find the integrity to put up a poll about my posts? If most want them gone, I assure you they will not appear again and if most want them to stay - what would be the problem?

 

I can't help but wonder what it is that is really bothering you. Your most astute posters have found value in what I have posted and my posts have received as many views and thanks as any recent posts. I would think that would be attractive to a site whose revenue is dependent on its content attractiing members.

 

Wait until I have done something before you convict me on your limited life's experience with the markets and those who trade them. You don't know anything about me and my bet is you have never once traded a 100 lot of S&Ps or the equivalent.

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I do not know much about programming but I would like to have a go at making a Ninja Indicator that adds up either the ticks or volume that occurs in 1 second, and if it is greater that the previous Max Count then plot it to the indicator. I will NOT use this on a 1 tick or 1 volume chart.

 

My question is should I make a 1 second loop and if so how do I do that ?

 

 

Dean.

 

No need for programming. Use the built-in TickCounter indicator on a 1 second chart.

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What have you got against new material that is well received by your members?

 

Why don't you see if you can find the integrity to put up a poll about my posts? If most want them gone, I assure you they will not appear again and if most want them to stay - what would be the problem?

 

I can't help but wonder what it is that is really bothering you. Your most astute posters have found value in what I have posted and my posts have received as many views and thanks as any recent posts. I would think that would be attractive to a site whose revenue is dependent on its content attractiing members.

 

.

 

No offense. But you really started to sound like TRO (The Rumple One)

He also like to razzle and dazzle people with his unique charts. :rofl:

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No need for programming. Use the built-in TickCounter indicator on a 1 second chart.

 

Thanks for the thought, unfortunately tick counter only works on tick based intervals, or so it says when I loaded it.

 

I got this reply from a NT moderator so I will work through that:

 

 

if(DateTime.Now.Second != the_last_second)

{

if(tick_max < tick_count)

{

tick_max = tick_count;

}

 

tick_count = 0;

the_last_second = DateTime.Now.Second;

}

 

tick_count++;

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No offense. But you really started to sound like TRO (The Rumple One)

He also like to razzle and dazzle people with his unique charts. :rofl:

 

Oh yes...... now that you mention it, now there is a chap with..... issues.

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Oh yes...... now that you mention it, now there is a chap with..... issues.

 

I don't get why it seems that traders at our level have such a problem with doing things differently...With such a high rate of failure at the retail level to me doing things differently just makes sense.

Alot of this though depends on the way it is presented. If someone came on here and started a thread that they find all their trading opportunities according to this formula

3422cc705bde2398c0b1de1e91827c12.png

Alot of people would probly believe it to be total nonsense, a fraud, overly complex...even though its just an exponential moving average that everyone already uses.

If you want to get your head around the point of these threads...picture that you just started trading but don't even know what a chart looks like. You do understand though that you have tick data coming in for almost every trade for the instrument your trading. Whats the best way to summarize that data and extract the most useful information from that data without getting hung up on information that simply does not matter?

If you knew nothing about charting you certainly would not take 4 data points over a minute period, have the computer draw an OHLC bar and believe your capturing all the useful information in the data..Thats just a relic because you could do that by hand with graph paper.

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I don't get why it seems that traders at our level have such a problem with doing things differently...

 

Hey I totally agree, "different" is what I look into with most interest. Just as long as no one gets stung by the vendor ;)

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Urma, it is my observation that you are dealing with the abstract and theoretical and not the reality of Time/Price. In other words, since your system is "sealed", your posting charts really serves no purpose other than stimulating some kind of theoretical discussion. I guess that is fine, but it does seem a lot like a vendor setup, if I am wrong sorry, but only time will on this.

One more thing, your comment about size was, in my opinion, unprofessional. Unless myself, you or anyone else here posts an audited, certified statement showing a Yard or more a week, we should refrain from this kind of foolishness.

 

The Ever Sincere VIPER

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Urma, it is my observation that you are dealing with the abstract and theoretical and not the reality of Time/Price. In other words, since your system is "sealed", your posting charts really serves no purpose other than stimulating some kind of theoretical discussion. I guess that is fine, but it does seem a lot like a vendor setup, if I am wrong sorry, but only time will on this.

One more thing, your comment about size was, in my opinion, unprofessional. Unless myself, you or anyone else here posts an audited, certified statement showing a Yard or more a week, we should refrain from this kind of foolishness.

 

The Ever Sincere VIPER

 

Your observation must be through some kind of blinders:

 

None of this is abstract as almost every thread I have started contains enough information to reverse engineer the work. Especially this thread. Nothing is sealed. Take a real read, if you can handle it.

 

I have made no mention of any system anywhere on this forum and none of my posts contain the slightest mention of any system.

 

If you don't get the purpose of my posts leave them alone, others like them just fine. As to what I sound like to you, how much do you think I care?

 

My comment about size was more about the difference between retail trade and commercial trade. And from reading everybody's posts, including yours, it is pretty easy to divvy the posters up into - commercial traders/private traders/wannabe traders without seeing any statements.

 

My guess is that it is something like in poker where the guys that offer the least to the community and are the most critical are the lower level of the private trader/wannabe spectrum. Not that size matters all that much, it is the pretension I dislike. My experience is that guys that give themselves names like Trade Viper usually have the same kind of results as guys that call themselves Poker Stud.

 

As to unprofessional - I am sure that my 30 years of experience in various corporate and private firms isn't the same as whatever experience you have had. From reading the posts of u nay sayers I also bet my trading day is pretty much different too. And again, how much do you think someone like me cares about what someone like you has to say?

 

I get nothing out of these posts except some very useful conversation with the few on this board that seem to be operating on plane similar to mine and, oh yea, a lot of grief from guys like you.

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