Good work BillP You are giving this matter serious thought and not just casually regurgitating what someone else said in a book or on a website no matter how well intentioned the offering is. Frugi ( page 12) is getting closer to the mark. I find that all I concern myself with is what volume is doing and its impact upon price in its raw form. Somebody did mention that if vol does not move the bid/ask then there is no trading. While I suppose that this could hold technically true and in fact does for short bursts of time, remember V=pressure and so something is going to happen sooner or later. Other people warble along with several indicators which apparently show the author buy and sell points when they perform certain tricks. Remember that these indicators are derivatives of what we are talking about Vol upon Price. Some are 1st derivative and some beyond. Some are called lagging and some called leading and some are even confirming. I have even heard Vol referred to as a leading indicator. Gosh that must make it feel good. It´s mother must be so proud. If you are a Trader who trades beyond making a living then you will know that Vol is YOU once you have been filled. In the matter of terminology. I trade 3 instruments only and so I use market terminology out of simplicity and clear communication. If a software package used the terminology in a different manner and I was trading that software as an instrument, then that terminology would belong to the market and I would use it. Otherwise I dont. The Delta has a place and a time. However it is what lies under the delta to create it in the first place that is the real issue and in order to understand this then you must first understand the market auction process. The author of this thread has the right idea. He calls himself "Newbie" to constantly remind himself that he is just a humble student of the markets and is here to learn no matter how successful his trading has become. This is the key to success IMHO. This thread has some good traction but IMHO it is warbling on about illrelevant issues and fictional trading. Now, if you combine your intellectual firepower into the underlying issues that drive the delta you will be in danger of stella progress. Remember, almost nobody becomes a 100+ lot ES trader and that includes YOU. So, once you recover from the brutality of this FACT, then you can get on with the serious business of joining this elite little band. If you have to leave your egos and insecurities on the doorstep of failure in order to step through, then so be it. If you are happy with the progress that you are currently making, then that is OK as well. Just so long as you know where I am coming from with regard to trading. "There is 100+ lot trading and then there is nothing" And it is all in the mental approach!
Since this is a "Market Delta Strategies" thread, I was going to see if anyone else has a delta based strategy they are actually trading to SHOW here.
Not quite a strategy, but a suggestion that along with pivots and previous session MP levels, the dynamically calculated current session's VWAP and upper and lower value areas are also potential S/R, and worth a look. Chart of today's DAX (50 IB 'ticks'). Horizontal lines are pivots, MP levels etc. Blue 'wiggly' lines are upper and lower VA. Black is VWAP. If you are interested, refer to ACV thread for explanation of the order book plots on this chart. I think this is particularly applicable to DAX and ESTX50.
dcraig - that looks great..........I saw a few other divergence trades on your chart The LONG set-up near the low of that chart looked real good!
Yes, it did. It's just performed a very similiar trick off the new LOD. I decided to have a bit of a look at TSI, so I coded it up. It does seem to be a decent momentum indicator. The posted chart looks like it's full of indicators - but it actually isn't. Only TSI and the pivots are a derivative of price. MP is a derivative of price and volume (and time - sort of). What I am trying to arrive at is to generate a view of the market on a single chart that encompases: 1. Support and resistance levels. 2. Momentum (for want of a better term ) 3. Order flow - delta 4. Order book. and of course volume, though it's not explicity on this chart. It seems to me that these are the key elements in trading SIFs - in fact that's pretty much all the information that is available.
I think you are on to an exceptional set-up....it makes sense what you are saying here and trying to do with your chart. You have a great idea for placing the order book indications on the chart too!
My ultimate goal would be to try to get all this together into a fully automated system, though I have no illusions about degree of difficulty. I doubt that it's going to happen any time soon. The automation would be the really easy bit. I have a background in data comms/telecom software development. Degree of difficulty in producing robust automation - about 1. Degree of difficulty in producing a truely robust high quality trading system/strategy for SIFs that can be automated - about 99.
Thanks fearless9 for your contributions. Please continue to contribute. I do like newbie's idea, that's why I was pming him before he mentioned to open up a thread on this. Frugi's thoughts--yep see it too, just like what xxxskier mentioned. I admit I'm still working on trying to come up with a workable solution. I downloaded the T&S to Excel and am looking at it currently. Any advise is very welcome. Thanks.
That looks like an excellent custom implementation. JFreecharts? How is that holding up for realtime data feeds? Probably OT.
Yes, it does use JFreeChart - with a quite a few modifications including redraw last bar on each tick (not whole chart) which is essential for real time performance. I also fiddled with quite a lot of other performance related stuff. Wrote a couple of new renderers for eg market delta. New Axis subclass etc etc. IMHO JFreeChart is pretty good and highly customisable - IB TWS charts really don't do it justice. Performance is more than adequate with IB data feed. Typically < 20% CPU utilization with 15-20 charts open on Athlon 2800 XP (Socket A). Should fairly scream on dual core CPU. I can even run digital TV (DTB) on one of the screens at the same time. Running on Linux. I have signed up to OpenTick data feed and half implemented an adapter for it. I really hope they get their act together. Last time I tried it was too unreliable to be of much use for anything.