I'd like to share something I've been working on. I'm using trade intensity to detect buying/selling exhaustion which often leads to reversals. The reversal can be a pause, a small pullback, or a full reversal. So this isn't something one can use mechanically but rather as an input into a discretionary trading method.

I measure trade intensity by the amount of trades occuring in a given time. This is equivalent to watching the time & sales for periods when the trades start scrolling really fast. I find that with this indicator I no longer have to watch time & sales.

I'd like to get some feedback on this idea and improve it. So far I have it available for Ninjatrader & Multicharts and you can look at the source code and program it for other platforms. If you do please send me a copy so that I can make it available on my blog and make it available to everyone else.

I'm attaching a chart showing a bit of how I use it. I have also created a blog page and a video which explains it in more detail.

http://www.tradewiththeflow.com/201...tape-indicator/

Thanks for looking, I hope you find it useful. And good trading to everyone!

[Tams]

Originally Posted by LARRY2117 »

Hi guys,

I have found an MC version of the Pace of tape indicators.
Unfortunately, code is not working for TS, unknow words for "time_s"
i have tried to fix it without success, any help on it will be appreciate it

See text and links below:
...Larry

forget it...

TIME_S is an EasyLanguage extension created by MultiCharts'

tradestation does not do sub-minute analysis.
You have to get the DLL posted here in one of the posts.

[drlicks]

Wow you guys are amazing for trying to decode this indicator and make it work for TS. I have been wanting to find an indicator like this for some time but am a complete beginner when it comes to programming. I simply use time and sales normally, but this would make life so much easier and more efficient. Anyway, Tams are you saying that if one downloads the DLL file in this thread, that it's possible to get this to work in tradestation? If so, what excactly would I need to do after I download the indicator? Also, any idea how this code might work for Investor RT/Linnsoft. Thanks!!!

[Tams]

Originally Posted by drlicks »

... If so, what excactly would I need to do after I download the indicator? ...

the exact thing you need to do is to read the instructions.

[drlicks]

yikes guess i screwwwwed up spzelling exactly. my bad. thanks for the fast response

[cunparis]

Originally Posted by drlicks »

Wow you guys are amazing for trying to decode this indicator and make it work for TS. I have been wanting to find an indicator like this for some time but am a complete beginner when it comes to programming. I simply use time and sales normally, but this would make life so much easier and more efficient. Anyway, Tams are you saying that if one downloads the DLL file in this thread, that it's possible to get this to work in tradestation? If so, what excactly would I need to do after I download the indicator? Also, any idea how this code might work for Investor RT/Linnsoft. Thanks!!!

I may work on a tradestation version since i use TS for my charting. Right now I have my PoT chart on ninja out of necessity.

For IRT it's not possible without coding it in C/C++ via the SDK. I need some kind of example project for Visual Studio in order to do it and so far I haven't found an example like that, just the C code which is pretty ugly.

[LS_Chad]

For anyone using Investor/RT or MarketDelta, you can import this chart. It uses the VB indicator to sum the ticks of last 12 bars on a 5-second chart...so it essentially gives you the trade pace (tick count) of each minute with on a 5-second moving window.

Images | ChartHub.com

[swisstrader]

Originally Posted by cunparis »

I don't believe it will work in TS, or at least I don't believe it will be accurate, because TS only has 1 second resolution on the bars.

Thanks for the MC binary file.

Sorry, TS from flintstone times has MINUTE timestamps for EL code commands.
Try to code TL's on tick charts ... what a blame for TS.

-swisstrader

[FulcrumTrader]

Both TS and MultiCharts have not yet done the proper work to be capable of Cumulative Delta BID/ASK differential work which needs the lower time frame resolution. We will see if these companies can at some point get it done.

For robust pace of tape or trade intensity capabilities, you really need to dig into the trades per minute analysis as you measure at the sub second levels. The bursts of order flow you are looking to identify jump to trades per minute levels that are well above typical intraday rates of trade (well over 4 times the normal multiday average trade rate). Obviously a 40,000 contracts per minute rate of trade in the ES is never maintained for a full 60 seconds (per minute measurement).....but that rate of trade burst may last for 1 to 3 seconds (in single or multiple waves).

This is actually not that hard to build for contracts per minute rates of trade, but all the signals you get is where the real work is involved (the filtering of all the various signals). I found one very robust filtering mechanism for the ES, TF, YM signals that I am getting ready to deploy, and I have found a separate filtering mechanism for most all other futures contracts (CL, DAX, ZB, TY, etc).

Cunparis you are doing some great work and I think you will figure out some good methods to advancing what you have built so far.