Begin with the end in mind.... What do you want it to look like? Are you thinking you want to chart the Volume at a price(s)? Or the amount of time prices sat on a price(s)? Intraday or end of day? What market(s)? Good trading <*)))><
I put a filter on my time and sales window and I want to see exactly where these orders come in on a chart. For example: Trading the Dow eminis I have a filter on time and sales only showing me trades of 10 contracts or larger. I basically want every 10-lot or larger to be plotted on a chart by a simple dot or something small. It doesn't seem like it would be too complicated to do, I just can't find anyone who offers something like this. Thanks
You are a thinker, I'll give you that! In an ATTEMPT to ward off a ration of meaningless posts to your question, I'll qualify MY posts as "MY OPINION" nothing more. I believe that what you are attempting is admirable. Truth be known, I want it too. But we can't have it!!! Strike that. It's my belief your trying to bring twentieth century tape reading into the twenty first century. Is it possible? (yes) has it been done? (yes) can we buy it off the shelf? (no). And here's why, (HFT) high frequency trading. The following information came out of the May 2010 issue of futures magazine not thin air.. The CME Group reported in their 4th quarter earnings that 43% of trading (volume) on CBOT came from proprietary trading firms, primarily algorithmic., some estimate that number to be 61% of all US equities. The real "kick in the teeth" is this volume is generated by 2% of all traders. Rules for exchanges state that the exchange must route orders to other exchanges when that exchange is offering a better price. The exchange doesn't want their business to go elsewhere so, the exchange displays the price for 500 milliseconds BEFORE routing it elsewhere, which means that for a 20th of a second, certain traders (the 2% that can read and respond) have a monopoly on trading information. Monopoly ??? there's more. The KEY to HFT is SPEED. Exchanges provide on-site computer hosting called co-location. These firms can plug into these servers (you can too, for a fee) located in the same location as the exchange matching engine, ELIMINATING latency (lag). I don't think Jesse Livermore would have noticed a 50,000 share bid posted on a blackboard for a 1/20 of a second!!! Times change.. So unless we can program the data ourselves or sneek into a firm with a flashlight and download a copy and then hook a couple jumper wires on a server in the basement of the CBOT we're not going to get what you (and I) want.... : ( There is hope I'm willing to bet my trading account (reluctantly) that no HFT has ever taken place on probably "any" MINI contract. The best indicator we have to sort out time and price is the Market Profile and Liquidity Data Bank. In 1985 the powers to be thought this insight into the market was so unique (they) copyrighted it. Who's (they)?....you guessed it CBOT. Look into market profile, since the handle "market profile" is copyrighted some programs (to avoid paying a fee) call it Price Histogram or Volume Histogram... It is a dynamic (constantly adjusting) leading indicator. And in Perry Kaufman's 4th edition of New Trading Systems and Methods he writes "it's underlying simplicity compared with other methods of analysis should keep its standing as a tool worth studying". And studying you must do.. I peeked into the T&S on the CME site as I wrote this and I think with what volume I saw there MP will "show you the money". But remember, 20 (1 lots) is 2x, 1 (10 lot). It's a great indicator, I use it a trend filter. But we all know there's no holy grail. Good trading <*)))><
How exactly do you use MP to determine the trend? Ive been looking into it for a few months now and I am starting to like it, but I don't completely understand how to use it.
The (short) answer is: if (other) indicator(s) sniff out the beginnings of a trend and prices come out of the VA (and hold) take the position..................... Don't get caught (watching the paint dry!!!) Good trading <*)))><
I think I just lost my trading account....not really....On a previous post I wrote "I'll bet my trading account" that no HFT goes on in any "mini account"........ well.... today the talking heads are talking about a HFT in the mini S&P that (may have caused) yesterday's (blip).... Willie "the actor" Sutton said it best, "go where the money is" Good trading <*)))><
Check yours........ I sent you one last night..... there must be hours of laggggggggggggggggg Good trading <*)))><