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Old Sep 16th, 2006, 07:55 AM   #1
Interesse
 
 
Join Date: Aug 2006
Posts: 14
Hi all,

with Tradestation and Tick-by-Tick-data,
is it possible to analyse the volume
at bid & ask?

For example, i want to have a volume
bar which is filled partly green
(volume at bid) and partly red
(volume at ask), percently distributed
as volume is on bid & ask.

Thanks.
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Old Sep 16th, 2006, 09:25 AM   #2
BlowFish
 
 
Join Date: Aug 2006
Location: UK
Posts: 218
Yes,

Check out tradestation forums there is pretty much everything you might need for volume@bid and volume@ask (delta) type analysis.

Cheers,
Nick
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Old Sep 16th, 2006, 09:33 AM   #3
leveragefx
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Join Date: Jun 2006
Location: Sarasota FL
Posts: 32
I personally feel its kind of pointless to analyze bid/ask volume itself, its far superior to watch ONLY what the biggest traders are doing. I use TopGun Software and they let you select what size traders to watch. There's even an option that lets you compare how much the big boys are buying/selling today on each bar compared to the avg over the last 20 days. They'll analzye 20 to 30 million past trades to calculate this avg and then plot it in an easy to use format.

For the S&P I'll watch traders over 99 lots. They tend to come in and buy at the lows and sell at the highs so you can position yourself for the UPCOMING move. Bid/Ask analysis without this option is not very useful in my opinion.

Chris
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Old Sep 16th, 2006, 10:11 AM   #4
5Pillars
 
 
Join Date: May 2006
Location: Austin, TX
Posts: 1,870
Yes, here was the 100 lot and above trades at the ES LOD area yesterday...........

http://www.charthub.com/images/2006/09/16/ESZ6_MD_3.png

....compared to all sized trades for the same time period...........

http://www.charthub.com/images/2006/09/16/ESZ6_MD_4.png


You can really see the action during or LOD 12:03 CST bar, and then how the shift of control created a trend change going forward..........

http://www.charthub.com/images/2006/09/16/ESZ6_MD_5.png
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Old Sep 16th, 2006, 01:47 PM   #5
leveragefx
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Join Date: Jun 2006
Location: Sarasota FL
Posts: 32
Quote:
Quote from 5Pillars:
Yes, here was the 100 lot and above trades at the ES LOD area yesterday...........
No offense to the tool you use but this is far superior. This chart shows both the 100 lot traders and how much they are buying/selling on each bar compared to the statistical average of past 20 days. On the bottom it shows how much the STOCKS that makeup the S&P are being bought or sold on each bar.

Here's why Market Delta is sometimes good but FAR from the holy grail as it can't do this. Notice the first bar of the day the big 100 lot traders bought about 263% more than normal while selling was 224% above normal. The CASH market had 378% buying but 974% selling! The institutions were dumping stocks on the open. It doesn't matter that the big lot traders were buying futures the market went down. The mutual funds and hedge funds DOMINATE the S&P! It's nice to know what traders in futures are doing, especially 100 lot traders but far more valuable to know what the mutual funds and institutions are doing.

This chart also shows the avg hourly high and low which is critical to trading the S&P, keltner channels and balance point line for today and continuous through yesterday. The green balance point line shows where most traders have positions from yesterday and today.

On the bottom I watch all the stocks that makeup the S&P and see how many are above or below their VWAPs. When 60% are above the market tends to trend up nicely, when 60% are below it will trend down. When between the white lines you can safely buy lower keltner or avg low or short upper keltner or avg high.

Again, in my humble opinion, 100X better than Market Delta because it shows not only how much buying and selling is going on in the futures but shows you STATISTICALLY how much/little. It does the same for stock buying/selling (best market sentiment tool I've ever traded with) and also shows you statistically safe buy and sell areas. And they have some buy/sell signals on the charts too that also tend to give me profitable trades. The white dot shows market has gone down too much and is likely to reverse, I start looking for buys when I see that, just wait for the buying in the stocks and futures to come in and buy, can't get easier than that. I tried Market Delta for probably 3 months and it required too much thought and analysis. I want to look at the charts and say wow the big futures traders and stock traders are all selling 200% more than normal and 70% of stocks that makeup the futures are below their vwaps, I want to short ever rally up to resistance in this case and instead of scalping 1 to 2 points maybe hold on for 3 to 6 point move.

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Old Sep 16th, 2006, 02:10 PM   #6
5Pillars
 
 
Join Date: May 2006
Location: Austin, TX
Posts: 1,870
Quote:
Quote from leveragefx:

[B]No offense to the tool you use but this is far superior.

Oh....no offense taken.....I was just in agreement that watching the 100 lot and above traders can have some benefits at times (and I had taken the time to include an example).


Sorry to the guys that are here with a TS thread....LOL!


So LFX....what do find best in your analysis TGS tools to trade the currencies with.....thanks!
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