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UrmaBlume

Trade Intensity

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My motivation was to understand what the approach was all about, implementing the indicator (partly for the sake of doing so) made that easier to see for myself. I quite like looking at novel approaches that meet certain criteria (which this did despite relying on an indicator!) . I don't actively look for them and my primary motivation is curiosity rather than anything to do with my own trading.

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so I change the chart I have from 2m to 1s and this is what I see. Conclusion; you still need to interpret what you are seeing. It's of nowhere near what OP's indicator caliber but it helps showewhat, thanks.

1243360166_58_UploadImage.thumb.png.ead32bedadff6b2d9180ad25106274a4.png

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Absolutely....of course that is the nature of trading regardless of approach. Tools don't make the craftsman. My grandfather was a scratch golfer and he could go round 2 under just as happily with 5 clubs as a full bag. I was grateful for that when I cadied for him :)

 

Eidt: btw the OP recommends constant volume bars for reasons described earlier in the thread.

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Nice Honvly,

 

Where they soley based of intensity or did you have S/R levels or something? Are you looking at absolute values or relative, I notice some faint grid lines on the histogram and the trades all seemed +1000.

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Some trade intensity based trades taken today:

 

Nice trades and well done. I can see why you would take every trade except the last one listed to the right of your chart. Can you say why this was taken ?

 

 

Paul

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Nice Honvly,

 

Where they soley based of intensity or did you have S/R levels or something? Are you looking at absolute values or relative, I notice some faint grid lines on the histogram and the trades all seemed +1000.

 

I was looking at absolute values >1100 yesterday. The automated trades were based on intensity filtered by high values on the unnamed indicator below that.

 

The trade on the right edge was taken because the red intensity went above 1100.

Edited by honvly

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Thanks, pretty much as I guessed. I'd be interested if you see many failures as you are watching it real time. One of the greatest drawbacks (imho) of these sorts of chart are that they are real time only so you can't study historical charts. Maybe with NT 7.0.

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Honvly I wonder if you are prepared to share the code? I never quite put the finishing touches on my version and it looks like you have. Understand if not of course.

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I just think that is an awesome indicator. Thanks for sharing your screenshots honvly. Now if only I was smart enough to convert it to .eld.... ;)

 

Here are some shots from yesterday's trade that show an upgrade to the original - both of which run in Trade Station.

 

http://www.traderslaboratory.com/forums/f34/commercials-very-active-today-filtered-intensity-6064.html#post66410

Edited by UrmaBlume

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The link appears to be broken UB, I am getting a 404?

 

Heres the real one...

 

http://www.traderslaboratory.com/forums/f34/commercials-very-active-today-filtered-intensity-6064.html

 

UrmaBlume - I know they run in TS but I belive you said you had to create a new .dll to house all of the data, etc. right?

 

Is there anyway to get a proxy of this information in a more simple, if not less accurate way?

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Here's something that bothers me does tradestation plot Constant Volume bars correctly?

 

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

 

I had a feeling it was one of these apps that stuffed everything into one bar?

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Here's something that bothers me does tradestation plot Constant Volume bars correctly?

 

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

 

I had a feeling it was one of these apps that stuffed everything into one bar?

 

They add the last trade so that sometimes the constant volume bar is a little over, if it is an especially big transaction it will print multiple bars at the same time. This has no effect on intensity if you know the true elapsed time, the true volume and apply the proper time of day normalized filters. BTW these filters also must deal with the change in buying and selling volume designation that happens on these extremes - its not just volume/time - there is much more required for optimal performance of this indicator.

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Here's something that bothers me does tradestation plot Constant Volume bars correctly?

For example with CV 100 bars. If you have a bar already with 95 contracts in and an order for 150 contracts completes will tradestation a) complete the first bar b) plot a full 100 vol bar c) start plotting an incomplete bar with 45 contracts??

I had a feeling it was one of these apps that stuffed everything into one bar?

 

 

don't know about TradeStation, but MultiCharts is doing a pretty good job: it would take the left over and use it to start the next bar.

 

You can check to see if the software is handling the volume properly by adding the volume histogram to the volume bar chart. The volume is supposed to cap at the CVB resolution.

 

 

attachment.php?attachmentid=10989&stc=1&d=1243528809

CVB.gif.67864e2d2058342607b0c9510a7b6dea.gif

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Honvly I wonder if you are prepared to share the code? I never quite put the finishing touches on my version and it looks like you have. Understand if not of course.

 

The code isn't ready to be shared, as the indicator values still seem inaccurate when compared to UrmaBlume's original. There are still too many failures to reverse, good trades below the absolute threshold, etc.

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Fair enough. I have to say I didn't post code mainly out of respect to UB's work though sent code privately to a few people.

 

I am comfortable that ninja and zenfire are getting the data that is required accurately. I would bet you a penny to a pound that it is more accurate than the TS setup. I think maybe 'accuracy' is not your issue. I wonder if what sets the OP's charts apart are filtering and smoothing? The underlying principles I think are probably well understood by people and not what's at issue.

 

My early code (which was only a proof of concept in ninja) whilst ragged looking and not as 'nice' as the originals seams to reveal the same behaviour. There will also be visual differences due to how TS plots stuff. If I get 500 contracts with the same time stamp (this could be one 500 lot or 500 one lots) NT will display this as 5 or 6 bars. I keep 'ramping up' the intensity in this case which seems appropriate behaviour if the change in time is 0. The fact that UB's charts dont have many series of bars where ohlc are all the same suggests to me TS isn't plotting correctly because they occur in Ninja and Multicharts all day long with 100 contract bars. This maybe has the effect of emphasising those high intensities in TS. Sometimes flaws in implementation produce desirable artefacts. My method of carrying over intensities emphasises them too. (i posted some charts earlier in the thread where you can see this 'sawtooth' effect).

 

Hope that made some sense (lucidity goes down hill after midnight) and might give you some things to look at.

 

btw I have mentioned before but it bears repeating...I think if you get a decent low (or zero) lag smoother you might be pretty impressed with the results. You could try Hursts or one of Ehlers maybe. My hunch is that might be the 'secret sauce', mind you a dull old ema would probably do.

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Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

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Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

 

A couple of points:

 

First you are getting close, we describe this indicator as:

 

When taken in combination, the acceleration and deceleration of buying and selling volumes, total volume and the velocity/rate of change in the balance of trade reveal a certain dynamic that we find present at many, if not most, intra-session extremes. While these indications occur throughout the session, here are some shots of session extremes from 6/18 in ES.

 

Second there is a very strange dynamic that occurs on the extremes that throws your thoughts about Up/Dn into confusion. This dynamic is not present elsewhre throughout the sesssion and is concerned with auto executions.

 

Here is a shot of the session low and the session high from 6/18.

 

BTW - it makes no difference how TS or anybody else breaks up the volume bars as while the chart is presented on a 1k contract price bar chart the data for the indicator comes from elsewhere.

 

Also BTW RichardTodd - I used to live in Dalls (worked in Lincoln center at LBJ & Tollway) and would love to go back just to eat - The Blue Goose, Snuffers, The Riveria, The Mansion at Turtle Creek, Campesi's, and of course Sonny Bryan's.

 

618Lo.jpg

 

 

618Hi.jpg

Edited by UrmaBlume

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Sorry I'm late to this party, I'm just now looking at this thread. It makes me think: if my assumption is that a market player is 'pulsing' the market with orders to hide their considerable volume, then:

 

1) Intensity would be high (contracts/time)

2) total pulsed volume would be high (otherwise who cares?)

3) total pulsed volume would be largely directional (mostly upticks or mostly downticks)

 

(doesn't that seem sensible, or am I missing the point?)... so any algorithm I'd devise would combine the 3 factors.

 

so maybe... volume/time is intensity... and if I post-process the 'pulsy' trades, then: some variation of volume^2/time would highlight high volume 'pulses' over low volume ones... and if I change it to (volume*(upvol-downvol))/time it would be similar to volume^2/time in amplitude if the pulse is highly directional, and diminished if it is a mix of buys and sells.

 

I don't know, just thinking out loud. I may just try it, sometime.

 

 

(and yeah, it sucks that TS doesn't split trades for their volume bars like the rest of the world... it causes our users all kinds of "my chart doesn't look like your ninja chart" anxiety)

 

Richard,

I've started working on this as well (and was going to post about being 'late to the party' too!).

 

My first step was to measure n volume over time, currently using a static value for n. On some days this alone produces useful signals, more often far too many signals.

 

Step 2 (which I'm just starting) is to measure tick velocity, with some sort of size filter, and see how that corresponds to and interacts with the first method.

 

UrmaBlume refers to a strange dynamic at the extremes; it seems that those spikes are often marked by huge disparities between bid/ask hits, with the relation opposite to what one might expect. Many contracts are hitting the offer toward and at the high, but the offer is being replenished. Once the buy orders are exhausted, price starts to drift down, and gradually picks up speed...but I think there's more to it than this.

 

A good deal can actually be seen on a volume chart with a standard velocity histogram (1/(t2-t1)), but keeping the measure independent of the bars means provides more precision, and makes it independent of the particular chart used for display.

 

UrmaBlume, thanks for your post, and please feel free to correct or comment on mine!

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