Real time volume histogram

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

  1. nickali


    Ahh OK 5 you are talking about the delta, i figured so just wanted to confirm.

    My worry is not with the tool but the operator (me). I have found that it tends to drag you down into the minutiae. Its not a question of seeing the forest for the trees but actually watching the leaves!

    I guess I have a couple of options.

    Work on discipline and remember where I am from regular charts. Use the tool (MD) around S/R and not get hypnotised into 'tikkitis'. Or simply embrace it and work on a more 'scalp' orientated strategy (using a loose definition of scalp i.e. trading for a few ticks).

    Using MD solely and messing with a simulator (DAX & YM) I can hit about 80% hit rate for 4-10 ticks. To do this however I am relying on price 'coming back' to broken levels for a scratch. Losses occur when they don't and can be 10-15 ticks. Not sure if this is wise to be honest.

    Sorry I've hijacked your thread a bit Piggie maybe I should start new MarketDelta one? I wonder if any of the experienced MD users here might be prepared to chip in? As I said earlier I am a user of but one week. However I think my studies of price action, Wycoff Volume spread etc. has put me in good stead.

    #31     Jul 24, 2006
  2. n - you just can't go wrong developing a fundamental understanding of MD. When you can see day after day what the market does when the "delta" reaches different thresholds, then you have a defendable reasoning for entering trades (not because some squiggly line says to enter). In time if you mix your knowledge of the "delta" and MP price levels, then you really have some great zones to trade every day with a very high probability set up.

    If more traders tracked the running "delta" daily and understood its meaning, you would probably eliminate 80% of all bad entries (low probability entries). These are the trades when some stochastic gives a long signal from a quick price pop, but the "delta" at that time is still net negative 12,000 contracts. You think a LONG trade is wise there from that stochastic signal...LOL! :D NO! :p

    You get my point. :)
    #32     Jul 24, 2006
  3. Something of interest to those who are interested in "delta"......



    Registered: May 2006
    Posts: 306

    07-24-06 03:09 PM

    Quote from xmlschema:


    What do you use for charting and analisys?

    Funny you ask..........I just recently activated an Investor RT account with DTN.IQ feed (I have Esignal also) for this reason..........

    I am also waiting to get XStudy charting activated with a XTrader 7 account and I will use both services.

    Edit/Delete • Quote • Complain
    #33     Jul 24, 2006
  4. piggie



    You are asking good and relevant questions. Please go on, I am piggieback learning along the way:)

    #34     Jul 24, 2006
  5. #35     Jul 24, 2006
  6. piggie


    Inspired by what I saw, and can't resist playing with my data. I know I should be studying MP and MD. I guess programmers and traders really don't mix...:D

    If anyone notices any anomaly in the plot (IB datafeed), please give a holler.

    The attached is another one of my real time plots- one minute stick bar in yellow, 3 min and 5 min vwap (red and black), 3 min volume bar (green). This is the morning run up on 7-24-2006. Without the aide of the delta bars, I miss the run, of course :p
    #36     Jul 25, 2006
  7. Of note - just making sure you know that IB feed is not good for running a tape reading or "delta" tool.....they use "snapshots" of data and not the actually tick by tick.

    oh....forgot this video for you too...
    #37     Jul 25, 2006
  8. piggie



    It's really unfortunate that IB does not provide tick by tick data, but it's a good starting point for a beginner like myself. As I can bettter consolidate all my tools, I will start to use a 'real' datafeed. Any recommendations?

    I really like the market delta plots. Now I start to have a feel how to use it in my trading system. I am posting another delta plot from the morning of 7-25 for those who are interested and have not been exposed to 'market delta' before.

    From just two days of observation, a delta value of 5000 on a minuet bar in either direction, on an average volume trading day seems to be a significant level. I will have to start backtesting. I guess I still need another month or so before I can start trading, oh well.....

    The cyan dots are averaged trading volume of last 10 trading days for the corresponding 3 minute volume bar.
    #38     Jul 25, 2006
  9. You are doing some excellent work....I am very impressed. You might want to try the DTN.IQ feed for free for a few days to see what a big difference it will make (vs. IB feed).

    Yes, build up a fully backtested system that you feel very comfortable with before you trade real money. Once you have that done then trade the system for a few weeks simulated to get all your performance and execution tasks mastered (your qualifying runs before the real race)
    #39     Jul 25, 2006
  10. piggie


    5Pillars and other experienced traders,

    Attached is the cumulative delta plot against re-scaled price movement for today. The two lines were well correlated until about 3pm, when the price went through yesterday's high then today's. But the cumulative delta was going south during the run up.

    What's the correct interpretation for this divergence?

    The vertical lines are meant to be bars indicating volume traded above displayed size on the bid or ask. I often see that < 100 shares are being displayed on the inside bid/ask, but much more volume are being traded on either side. I was wondering if this could be a prelude to a price movement. But I would not trust today's IB datafeed. I will post again if I see something interesting regrading this aspect. What's your take on the hidden volume?

    Thank you.

    #40     Jul 25, 2006