I know that this thread is restricted to the application of RT/MD which I do not use and so read on at your peril. These comments relate only to ES Firstly, if you have no experience in T & S then I imagine MD will seem like a giant mystery to you. What you do about this state of affairs is over to you. Secondly, tic size filters. Compare the number of unfiltered strikes in a given period to the number of strikes set to your filter size . ie 427 to 21 = 5% This means that your filter is tracking 5% of the action by strike. It will represent a great deal more by volume. Another approach ( and a very good one IMHO) ask yourself how many contracts you would trade WHEN you become a competent consistent trader in your Time Frame ie if you are a 3 minute trader can you imagine yourself trading 100 lots ie $1250.00 per tic. Then go back and repeat the first exercise using filter >99 Remember the zone of the day must recorded and used. Also, I would suggest that you choose to leave the really big players alone as their agenda can be somewhat different than yours. I would also leave the little guys alone and not dick around trying to fade them as they are unreliable. In fact there is only one man on this planet in this moment who I would fade as he has mastered the almost impossible art of being consistently incorrect ... or flat dead wrong all of the time. Now, given that this posting is illegal in this thread and I am up for impeachment, I might as well dribble on. Once you are happy with your filter, watch carefully where these strikes occur .... you will see them cluster. Do not concern yourself whether they are long or short, but simply where they are. They are bracketing s&r zones or what I call "moments of hesitation" Now if you want, you can add MP lines, pivot points, s&r lines and channels of ever sort imaginable to your chart. I am not a chartist and so I cannot comment. Next you need a strategy to enter and exit the market and there has been plenty written on ET by "experts" .. so knock yourself out. Then by applying this strategy and going back to the filtered clusters, the long and short strikes now begin to make sense. Some of those strikes against your strategy are called food, since they were limit stops. And those strikes in your direction are called the competition and you need to be 1 lousy point ahead of them or one moment in time ahead of them because then you will turn them from being competion into becoming your new new best best friend as they will push you across the line of hesitation ( s&r), straight through the minefield of stops lying in wait on the other side and into the clean sweet air of profit. aaaaaaaaaaahhhhhhhhhhhhhh I can smell it all now.... bring on 09.30 And then you run into the next line of hesitation where the stops are lying in wait for you and ....................guess what! You are probably thinking about banking profits at some stage. Anyway, call me old fashioned, but every trading plan on the planet must enter through the T & S gate, which is where you will find me lurking. Just remember the lion does not chase the nimble antelope all over the hot, dry duty savanna. No! He sends the wife down to the waterhole to wait. And so, if you want to hunt lion, you must think like a lion. Good luck.
ticktrade, If you put up a chart and try different values you'll soon find a value you like. Find one that creates a curve that is highly correlated with price, and with minimal divergences so that they are meaningful. The point is that if you choose the number you'll own it, and you will feel at liberty to change it whenever it suits. If I, or anybody else, gives you a magic number you won't own it. Good luck, bolter
a quick question..perhaps...!! Today we open in ES right at the Value area high...is there anything from Time and Sales or MD that would have told you to be a buyer..? Don't want to take over your thread but I'm curious if T/S said anything..thanks
pitbull, Whoa - talk about over-noodling it! Here's what I would suggest for a T&S newbie. Scroll back through a days T&S and get a feel for what the range of trade sizes are and in what proportion. Pick an initial filter value that will eliminate about half the trades. Pick a busy time of day - say the open - and watch T&S with your initial value. Increase it in reasonable increments until T&S slows down enough for you to be able to just read and comprehend it. There you go - there's your number. Tweak it as required. Set colours, alarms etc to get the desired effect. I used to sometimes have 2 T&S windows open - one for the big guys and 1 for the rest. But let's keep it simple for now. All the best, bolter
very interesting read. I do not have the funds to purchase eSignal so I guess I am stuck using IB to research MD. I have poked around TWS a little bit looking for anything resembling market delta, I am an API programmer so I have next to no experience with TWS. Can someone tell me how to activate the MD graph which iv seen a few people post on this thread? Also with concerns to the MD Chad write up. I am curious if a way to get around the IB 300ms snapshot limitation would be to reverse engineer the trades by viewing the changes to market depth real time. You might run into problems with people canceling trades and you assuming it went through but you might be able to use a combination of the snapshots and the market depth to get a really detailed view of the market. Also a question for people familiar with historical data off IB. Is it possible to get historical trade data for use in backtesting / learning an MD algorthim?
Another illegal post. Bolter is right. Set an audible up alarm and an audible down alarm, filtered of course and different sounds. Get used to hearing the speed of the market and the quiet times between s&r
pitbull, In net terms the open was only slighlty bullish. T&S is no panacea - it is not going to "tell you when to buy the open". It is just another tool, another piece of the puzzle. Albeit an important one. bolter
paulbechard, IB does not have MD charts, but they do have historical data that can capture for backtesting. As for the notion of reverse engineering synthetic tick data from IB snapshots and market depth sounds like alot of hard work to save $80pm or whatever a decent data feed will cost. Good luck with your endeavours. bolter
fearless, Provided you stay on topic you have every right to post. You've made some useful contributions. Thanks, bolter