[UrmaBlume]

Today's (04/27) action in ES has offered better trading opportunities than we have seen in that particular contract in some time.

In This Thread I discussed the practical applications of some of the predictive agents we use in our trading.

These agents receive inputs from time of day normalized percentage of normal commercial participation and bias as well as a host of bias inputs calculated as described in This Thread. This information is stored in global variables and processed by the agents working on that particular chart.

The agents then auto-post TradePoints or NoTrade recommendations. We define a TradePoint as a particular point in the Price/Time/Volume continuum where a specific action is recommended.

Here is a shot of some of today's action showing such a recommendation. These texts are updated every tick and are for the current bar. The smaller red dots are stops, the small blue dots are take profits for scalpers and the + is a recommended entry price.

[cunparis]

Hi Urma, I've been following your threads with great curiosity. I've done a lot of research into volume and written several indicators to help me analyze volume and use it in my trading. I have a trade intensity indicator but it's no where near as sophisticated as yours.

I'm really curious how you classify volume as "commercial". Currently I do this by looking at above average trade size. From reading your posts, if I understand correctly, a large trade size isn't the smart money you're tracking. If you could elaborate on how you classify commercial activity that would be very helpful.

Thanks

[boomerangas]

I've been following all the threads, started by UrmaBlume and i've developed trade intensity indicator. Personally i don't know is it 100% replica of original TI but it seems that UrmaBlume keeps this secret because he doesn't answered to any of my questions, just gave some hints. I like blowfish's idea and am sharing this idea. It would be interesting to hear UrmaBlume, but here is my opinion:
velocity of trade = price/time. Trade intensity = velocity of trade/time. Really my indicator measures with a 1/1000 sec precise how fast timestamps are moving and is it buying/selling tick. You could often observe, that commercial volume entered at specific levels ( pivots, trendline break and so on ), where all the retail traders are ripped. I observing this abnormal volume comparing this to the normal volume at this moment of the day and am calculating the total volume which have occured at these spikes. The total volume at the spike = acuumulated/distributed commercial volume. It seems that it works in some way for me, doesn't so good as for UrmaBlume but good enough too. Red spikes - buying volume, blues spikes - selling. Today accumulation have taken the place in three steps ( screenshots ). Just calculate volume on these spikes and you'll get commercial LONG volume. Would be interesting to see pictures from Urma.

[UrmaBlume]

Originally Posted by cunparis »

Hi Urma, I've been following your threads with great curiosity. I've done a lot of research into volume and written several indicators to help me analyze volume and use it in my trading. I have a trade intensity indicator but it's no where near as sophisticated as yours.

I'm really curious how you classify volume as "commercial". Currently I do this by looking at above average trade size. From reading your posts, if I understand correctly, a large trade size isn't the smart money you're tracking. If you could elaborate on how you classify commercial activity that would be very helpful.
Thanks

Certainly size can show you that the commercial is present, i.e., the 2 lot trader never trades a 100 lot.

The issue with the efficacy of this approach is that you need to differentiate between commercial spec trades and commercial permium aribtrage.

The commercial who trades for premium capture doesn't care about price, he only cares about the ROI offered by the current permium level.

The commercial spec trader cares nothing about premium.

My head of technology has had 3 offers from 3 different hedge funds in the last 6 mos to build technology to disguise just such entries.

cheers

UB

Size alone is useless for this work.

PS Does anybody know what's wrong withthe search engine. I can search usernames but not keywords.

[brownsfan019]

Originally Posted by boomerangas »

I've been following all the threads, started by UrmaBlume and i've developed trade intensity indicator. Personally i don't know is it 100% replica of original TI but it seems that UrmaBlume keeps this secret because he doesn't answered to any of my questions, just gave some hints. I like blowfish's idea and am sharing this idea. It would be interesting to hear UrmaBlume, but here is my opinion:
velocity of trade = price/time. Trade intensity = velocity of trade/time. Really my indicator measures with a 1/1000 sec precise how fast timestamps are moving and is it buying/selling tick. You could often observe, that commercial volume entered at specific levels ( pivots, trendline break and so on ), where all the retail traders are ripped. I observing this abnormal volume comparing this to the normal volume at this moment of the day and am calculating the total volume which have occured at these spikes. The total volume at the spike = acuumulated/distributed commercial volume. It seems that it works in some way for me, doesn't so good as for UrmaBlume but good enough too. Red spikes - buying volume, blues spikes - selling. Today accumulation have taken the place in three steps ( screenshots ). Just calculate volume on these spikes and you'll get commercial LONG volume. Would be interesting to see pictures from Urma.

Interesting screenshots boomerangas. Are you able/willing to share the code you use to construct these?

[boomerangas]

Smart man, smart trading soft, smart answers . Really, no answer what is commercial volume by your mean, but it's your choose you have provided enough of valuable info for us.
What's regarding the size of the trade i think it's useless because either large order is splitted and is shown as iceberg order. Example: 100 lot order is traded as 1-2-1-2-1-2-1-2
in matter of seconds. Either more often variance order is not shown at all - the price is driven to the "retail points" as i have mentioned above ( weekly trendline, 52 week high/low, swing high/low, fibonacci and so on ), this level is VIOLATED, stops were hit, and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example. Look, what happened: price was driven to the 1100 level on ES, this level WAS VIOLATED, stops WAS COLLECTED by a passive commercial, which have putted the large bid which was not shown to any trader. Now we are ready to rebound on a daily charts? Let's see... What's regarding inventory here are another examples. As on Daily basis distribution on ES have taken place at 1165-1180 level, anything above was just stops running. You could see this on MarketProfile graphs and just with analyzing NET cumulative delta in either bloomberg soft either in any other like MarketDelta. Then, price was driven to the <1140 level, stops were hit, liquidity removed, market flash crashed on the may 6 and all this inventory was unloaded at ~1060-1090 level. Someone wanted quick profits and not to wait for a weeks when price will come to this point because of risk of rising economies. As i think all the UrmaBlume examples of TI was shown at these "intraday reaction points", because if you are large operator you need to create buying power or selling power. Market just oscillating between these points and i think we must primary track this, and intensity indicator just helps here.
With my respect to UrmaBlume i will not share neither sell my indicator, we have put tremendous amount of work in it and i don't need money. Instead, i could exchange it to some fresh genious ideas in trading volume.

Originally Posted by UrmaBlume »

Certainly size can show you that the commercial is present, i.e., the 2 lot trader never trades a 100 lot.

The issue with the efficacy of this approach is that you need to differentiate between commercial spec trades and commercial permium aribtrage.

The commercial who trades for premium capture doesn't care about price, he only cares about the ROI offered by the current permium level.

The commercial spec trader cares nothing about premium.

My head of technology has had 3 offers from 3 different hedge funds in the last 6 mos to build technology to disguise just such entries.

cheers

UB

Size alone is useless for this work.

PS Does anybody know what's wrong withthe search engine. I can search usernames but not keywords.

[cunparis]

Originally Posted by boomerangas »

Smart man, smart trading soft, smart answers . Really, no answer what is commercial volume by your mean, but it's your choose you have provided enough of valuable info for us.

I don't need answers, just some hints. I've spent a year investigating about volume, prototyping, etc. so I find it fascinating.

What's regarding the size of the trade i think it's useless because either large order is splitted and is shown as iceberg order. Example: 100 lot order is traded as 1-2-1-2-1-2-1-2

The question is does the pro split into 1-2 lots or 10-20? That makes a difference.

in matter of seconds. Either more often variance order is not shown at all - the price is driven to the "retail points" as i have mentioned above ( weekly trendline, 52 week high/low, swing high/low, fibonacci and so on ), this level is VIOLATED, stops were hit, and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example. Look, what happened: price was driven to the 1100 level on ES, this level WAS VIOLATED, stops WAS COLLECTED by a passive commercial, which have putted the large bid which was not shown to any trader. Now we

This low yesterday is a good example. My paintbar colors blue & magenta for above avg trade size and yellow for below average. Here's what the bottom looked like:



Up until now I had thought that small trade size = amateurs. I often see yellow bars at the high or low of a move. I thought it was amateurs caught on the wrong side. But now I think it could also be the smart traders who split their orders into small lots. Often the yellow bar will come after the low, that could be the smart traders buying without driving price up and without showing a large order on the book.

This idea of detecting splitting has opened up a whole new set of doors for me.

Here is an example of my "pace of tape" indicator which measures the intensity of ticks but doesn't (yet) use volume. Anyone interested can find a short video about it and download it for Ninjatrader & Multicharts from my blog.



It's not comparable to urma's but it has been a great learning experience for me.

[BlowFish]

Originally Posted by boomerangas »

....... and commercials unloads inventory as a passive buyers/sellers while stops are hitting their bids as on the yesterdays example.......

This is something that is really quite important. Most of the approaches that start with the premise that trade direction can be determined by looking at the last price with respect to best bid and ask neglect this phenomena. An advance can be stopped by aggressive buyers running out of steam or by passive sellers standing firm.