hi edgehunter Sadly, you have tapped into an area of discontent with me, and that is my dissatisfaction with Neoticker handling this kind of nitpicky, detailed problem involving offsets in the output of NT internal routines. This is not the first time I have seen inaccurate bid-ask flagging from the the NT Tick Precise routines. TQ support and Lawrence have pretty much blown off my attempts to get them to seriously look into the issue. They write it off as a QCharts problem. So, the answer is: No, I am not going to get into another 20-email volley with TQ Support over this. I am going to give up believing in NT's Tick Precise output for bid-ask analysis and move to MarketDelta when the QCharts Continuum feed is replaced by the ESignal feed in early 2007. Sorry, off topic. Edgehunter, if you would like more background, feel free to PM me.
Edge, Thank you very much for this post. I coded up this so that I can overlay mean volume by time of day over ordinary volume bars on a chart. It's very revealing and makes volume bars far more understandable for me. For instance, while volume exceeds mean volume by TOD, it seems that there is a fair chance that the current trend will continue. While volume stays below mean volume by TOD expect chop. It seems that you are doing some analysis on the difference which no doubt leads to some interesting conclusions. Apologies if this is a little off topic, but here is an example of DAX. 10 min chart. IB feed.
I think its on topic since MarketDelta is all about market volume... Right, if outside paper (strong volume greater than normal over any ten minute period of time during the day) is coming in solid then a trend is 'Liquid' and more likely to continue and be forceful and the floor or smart money can't play 'Guppy Line' games... (Pick a S/R point and drive the market back and forth thru it creating stop runs)... Knowing the VolSum or VolDiff of the day is for every 10 minute period of time allows a better feeling if it will be a trending day, a normal day, a balanced day or a chop day and allows one to read MD & MP easier.. cj... HAVE STOP <img src=http://www.enflow.com/p.gif> WILL TRADE
Regarding the 10 min average vol. topic: I sent an email to Chad about this and his reply is pasted in. For those with Investor/RT, on the chart link in this email you can click on the floppy disk icon above the chart and save the file. Than import it as a chart definition in I/rt. I sure didn't expect this much when I emailed Chad about it but I guess I should have known better. He seems to continually go beyond the call. His reply: Let's say you're looking at a 10-min chart...setup on the RTH session (9:30 to 4:15) which has 41 bars per session...then you'd do: (VMA.41 + VMA.82 + VMA.123 + VMA.164 + VMA.205 + VMA.246 + VMA.287 + VMA.328 + VMA.369 + VMA.410) / 10 And that would give you the avg volume of each 10 min bar for prior 10 days. Actually...import this chart and take a look: http://www.charthub.com/images/2006/11/06/VolumeAnalysis.png the 3rd pane shows you the "per bar" percent diffrence between the bars volume and it's 10 day average....while the bottom pane looks at the cumulative volume for the day...and compares it to the previous 10 days average and returns a % difference. For instance, if 3rd pane shows a value of 211...it means that bars volume was 2.11 times greater than the average of that same bar during the prev 10 days. If pane 4 shows -15, that means the accumulated volume for the day, as of that bar, was 15% lower than the average as of that time of day over the prev 10 days. Chad
Hi Bolter, Just report back my shallow observations while studying delta persistence (don't know if it is valid), I think the delta of the small guys (say <5 on ES) can provide better data. My theory is it is not that the small guys are so smart but they are the first to feel the squeeze (stop out). You have mentioned that it does not pay to fade the small guys and the big guys are the party. I think to follow the small guys delta is actually fading the small guys because they are getting stopped out first during a move. Maybe all these aggressive bid/ask delta are really running stops. Am I crazy? Regards, William
martys makes a good point a better trader than me once said "markets don't move cause they want to; they move cause they have to" lots of small traders getting stopped out and especially getting liquidated for margin calls is the kind of fuel that REALLY makes for trend days. people scrambling over themselves to get out after they doubled down (or tripled down) expecting a reversal is what makes a big part of fueling trend days the little guys are usually the ones getting stopped on massive runs, and the institutions are just generally trying to buy weakness and selling strength. sure, the latter will sometimes pay up when they see a trend day developing (and/or get involved premarket, which is why i pay a lot of attention to premarket volume), but they have the financial backing that the little guy who is trading 5 ES contracts on a 10k account does not
If that is reconciled as an accurate way to do it... that's a painless way to get the VolSum Average for the last 10 days for each 10 minute bar... you could, i guess, divide by 20 to get the last 20 days... but 10 would be more recent... bravo... cj... :eek: HAVE STOP <img src=http://www.enflow.com/p.gif> WILL TRADE
xxxskier, Excellent post - thanks for that. Dalton has a new book out soon which I can't wait to get my hands on. bolter
martys, I don't know about smart, but they certainly have far less tolerance for risk than bigger and better capitalised traders. The other point to consider here is that the small guys can trade whenever they want. The larger guys don't have that luxury because they need to have sufficient liquidity to get their trade done with minimal slippage. In alot of markets this is a real issue - hence the populariy of MOO and MOC orders. Also never lose sight of the fact that larger traders typically have a longer term horizon. A party with a 1000 lots to buy is probably not looking for a few ticks on the trade. They will trade differently than you or I becuase they have different objectives. But it is very useful to know when and how they are trading because only they can really move the market. all the best, bolter