Real time volume histogram

Discussion in 'Index Futures' started by piggie, Jul 19, 2006.

  1. piggie


    I am in the process of learning how to day-trade the ES. I am using Matlab with IB's datafeed to look at the data in different ways in real time.

    The very first tool I designed is the real time histogram plots of the traded volume, updates every 5 seconds, at different time frames, < 1, 1, 3, 5 and 15 minutes, and the entire day.

    Red is the trade on the ask, and blue on the bid. The yellow number on each panel is the ratio of the red to blue. This is the plot for 7-19-2006 at around 4pm.

    The plots might look cool, but I have not been able to extract useful short-term trading information from them. I humbly welcome any ideas and comments. Thank you.

  2. Interesting graphs. Some ideas include:

    1) stack the graphs so that the price ranges line up on all of them. That makes it more obvious if the price action is rising, falling, retracing, etc. If needed, you might re-scale and clip the graphs to show a "reasonable" width of prices. Aligning the histogram price slots makes it easier to judge the situation across time

    2) Annotate the graph with the opening price for that graph's time window and current price. This provides some additional insight into how the price is moving.

    3) Next to your stack of graphs, you could add a tall thin graph of other indicators plotted to coincide with the duration of the histogram windows.

    4) The red = ask, blue = bid is nice, but it's hard to visualize the imbalance. You could leave the bars solid color and create a red or blue subbar at the bottom of each bar that represents the red-minus-blue imbalance. Thus, if the volume was predominately at the ask, the bar would have a red subbar. If the volume was predominately at the bid, the bar would have a blue subbar.
  3. piggie



    Thank you for the useful comments. Stacking up the 0 to 5 min plots will help visualizing the movement of the price, as the X-axis of the charts have the same limits now. The distribution of the volume of the 5 minute window is indicated by the red line, and the 15 minute window, the yellow line on the 'All Day' plot.

    I also like your idea of using a subbar to indicate the imbalance of traded bid/ask volume. You are right that it is hard to visualize the imbalance now, that's why I have the ratio printed in yellow on each chart:)

    I am working on other indicators in addition to the volume distribution/histogram plots, such as 3 and 5 minute moving vwap. I realized the histograms alone is not enough to generate trading signals. I was hoping to see some cues from these plots which might have some predictive values or basis for placing buy/sell positions. So far I have not seen anything consistent yet. And there are many aspects that I don't know how to interpret.

    Take the 'All Day' distribution for example, there is very little trading volume around 1253, and there is this 50k peak around 1262.5. What do they signify? Support and resistance level? There is so much to learn:)

  4. piggie



    That's a very interesting idea, but definitely worth a try. It might take me a week or so to code, but I think I can do it. Thank you.
  5. ===============
    I havent been able to find much of a use for 3 minute chart either with ES;
    and simply dont use it.
    Do find a 5 minute, & longer quite useful,and as you say''cool'';
    IB updates it every 1 second, which may useful like your 5 second update.

    Its personal, do some times close out a position less than 5 minutes; still dont miss a 3 minute chart.
    Daily charts help with trend for sure.

  6. Why don't you cross-correlate prior intraday data concurrently and look for statistical anomolies. Just a hint:)

    You're on the right track.

  7. piggie


    I think there is a correlation that I noticed. The gap at 1252 today (7-21-2006 10am), corresponds to yesterdays' low. How to trade this finding is another story...

  8. that would entail a study of Market Profile. :)
  9. :D
    #10     Jul 21, 2006