Thank you for the compliment. I do enjoy programming much especially when it involves graphic display. I just need to focus on strategy development more. It's not an easy transition of the mindset. I have heard good things bout IQ feed, and that occasionally there could be a delay of several seconds when market is busy. But at least the information is accurate. I am hesitating to switch data provider as I have invested much effort in my current setup, and I really want to dive into strategy development, and not more bug hunting. But after today's experience with IB, I might not have much of a choice. http://www.elitetrader.com/vb/showthread.php?threadid=73516
Here is the real tick by tick Delta going into the close (cash session close) with a 5 minute chart......... http://www.ttrader.com/mycharts/display.php?p=40371&u=5pillars&a=5Pillars&id=1699 The total Delta at 14:20 CST was +14,524 contracts, and from that point on we had a Delta that was shifting to less positive - with a final transition to a negative delta by 14:45 CST. Your IB data is probably not going to ever give proper Delta computations unfortunately. ....and yes the Delta change you saw is something that can be used for a trade methodology.
One good thing about Inv R/T is that a simple hit on the space bar will backfill any data you might have missed from a brief lag on your charts (volume charts also). My data worked excellent all day....so far so good!
piggie, Nice thread. Wrt IB data feed, the attached chart, generated by my own charting software shows a market delta type chart over roughly the same period as that in 5Pillars post. It's obviously a bit different due to the nature of the feed. X axis is US EST. The lower histogram is a smoothed plot of the bar delta (using John Ehlers finite impulse response filter). It's obviously better to have the right data, but how significant the difference is, I am unable to say. The IB feed is still very usefull and I'm coming to the view that the bar delta, smoothed bar delta and possibly cumulative delta are more important than pretty charts along the MD style. PS. Sorry for the ragged looking fonts. It's due to the PNG encoder. They look better anti-aliased on the screen.
the bar delta and the cumulative can both be used in combination or separately for different types of trade methodologies. Scalping for instance, was it a high probability period from 14:15 to 14:20 CST to play long entries going for two to three ticks.....
I really like what I am seeing. At least I am conjuring up concrete trading strategies based on something I believe, price/volume relationships. Such as if cumulative delta cross over from positive to negative on > than average trading volume, short or bail near the high of the next 5 min bar; or if a substantial delta emerges enter near the high or low of the next 5 min bar...Of course I will need to incorporate MP and take into consideration the VA, POC, and initial balance vs opening range of the first trading hours in relationship to last several trading days, etc. There are so many things to test now. I really have benefited much from this forum and ET members who have PM and talked to me. Can't say enough to thank you guys. I estimate I still need another month or so to backtest test several strategies before I can trade, but I am starting to see the light. Harry
Other 'interesting' S/R levels intraday are the VWAP (calculated dynamically since the open) and the VWAP +/- (HOD - LOD) / 2 (also calculated dynamically since the open). VWAP is often different from POC.
Piggie - keep up the great work....it seems that you are a pretty sharp tack! Dcraig - I noticed today that the Inv R/T has VWAP for the charting also.
Here is an image of the vwap bands you described on ES in I/RT. Let me know if you want the chart definition and I'll be glad to share that as well.