Scalping_My Way with ACV

Discussion in 'Strategy Development' started by VSTscalper, Apr 27, 2006.

  1. The attached Word document with Charts and Comments....attempts to explain how I use the ACV or Accumulated Volume of the Depth of Market. The ACV is on the Dome of the trading platform that I use. Most trading platforms don't have this available....just check to see if yours has it.

    I see a lot of talk in the ET forum about Scalping. I have been using this for several years now....on two different trading programs. When I am home....I have my charts and this Dome to trade on....and use it for Scalping....and possible earlier and safer Entries in Trends or Exits from Trends. When I travel....I take my laptop....I usually go to a Starbucks....and trade from the Dome....without looking at charts....just the ACV. You need to be careful doing this....but it can be done relatively safely.

    Hope this helps someone.

    SpeedScalper
     
  2. I want to show how I use Time and Sales....with ACV. I have the T&S for the 4 major e-mini's....YM....ES....ER....NQ. You can see the T&S at the bottom of my screen.

    For the most part....I don't care about the Contract Size....although I will glance at the ES size when the Prices start moving. Contract size is important....so I do consider it. What I really want to see is....all 4 markets move together....meaning....all go Green or Red....together. And....if I see that....odds are it is a Market move....not just an ES or ER or YM or NQ move. And....Market moves are always better....more likely to see a Trend.

    Now....if you have a ACV Dome for each market....the ES....ER....YM....NQ....and you see them all start to build up on the Buy side or Sell side....and then Glance at the T&S....to see if the Color....indicates the same....then the odds are good....we could have a Trend develop. In both instances....we just want to be able to do a Visual....on the ACV and T&S. We do not want to have to analyze the hell out of everything....because....you can miss good trades or Enter or Exit a trade too late.

    So....in the Yellow box....at the start of the Down Trend....if you see the ACV and T&S indicating the same thing....you can enjoy the ride down. This is all based on Price Action. If you have an Indicator....these two things will help confirm the Indicator. ACV and T&S....a Visual look....is really powerful. The important thing here is....do not over analyze what you see....again....just my opinion.

    Parts of the picture is cut off....saved as a GIF....also tried a PNG....but did the same thing.

    VSTscalper
     
  3. Hi VST,
    thanks for substantial infos,
    so far quite logical and I will have a look into it, I´m curious what your datafeed is...I´m using IB, the booktrader has a cummulated BID/ASK Volume, but i see no way to get it into tradestation, cause the only data available from tws i could collect is the nearest BID/ASK volume...

    greetings, Michael
     
  4. fader

    fader

    interesting points - here is what i am guessing: the order book has to be balanced on average, i.e. the total bids = the total offers, most of the time - it is the inherent property and purpose of the market, to balance supply and demand - therefore, if you see, for example, that the total of the bids at the few levels closest to the market is greater than the offers, it is likely that this imbalance is "corrected" at higher levels in the offers, i.e. the combined offers at higher levels exceed the bids and/or the offers at lower levels - also, on average, there is equal volume hitting the order book in both directions - therefore, the market/price, as it is often said, must follow the path of least resistance, i.e. in this example where the immediate offers are less in total, it will tend to go up until it hits bigger offers and or until the bid side shrinks and balance is restored...
     
  5. cashonly

    cashonly Bright Trading, LLC

    What is the VST indicator on your TS charts?
     
  6. cashonly,

    It is funny to see you asking. Don Bright and I have been PM'ing back an forth....but I think I finally wore him out....haha. I really think he thinks I am full of bull s***....but the initials in my name are BS....and I am originally from Montana....so I may just be full of bull s***.

    Anyway....I have programmed all my Indicators....which are totally different than any other Indicators out there. There are actually two Indicators....overlapped....in the first post. I think you are probably talking about the one with the "dots"....which is something I call the VST Pressure Gage. It tells me what is actually happening...."within" the Candle or Bar. It is really simple in appearance....but it was a lot of work programming. Took awhile to get it right. I have looked at damn near every indicator over the years....and I find most to be BS. There are a few that I like....so what I did....was take some of the best features of those indicators....and combine them into something that would give me a more accurate picture of what was really going on with Prices. It is not perfect....but it is damn good.

    Bill
    (in beautiful Seattle)
    VSTscalper
     
  7. Rather than make a trivial comment like "that's neat" or "cool", I'd thought I would lay out a few items that are in similar vein to what you have realized. Our perspectives are a tad different and this may only be due to terminology and perhaps what we believe to be important and more importantly, when we believe these items to be important.

    I, for one, have also come to really like the DOM. I had known it's intricacies for a long time and have recently acquired a good portion of it's efficacy as a tool for exacting when to take action. Whereas you see the DOM as a list of BUYERS and SELLERS, I see the DOM as a list of SHORTS and LONGS since if I want to buy a LONG with a MARKET ORDER, I have to check the ASK inventory list to see how much is available at the current queues of price and liquidity since the ASK is the only place from which I can acquire a LONG. In other words, to go long, I have to go to the ASK side to buy a LONG and to go short, I have to go to the BID side to buy a short. As a result, the DOM, for me, is an inventory list of what's available where liquidity is equivalent to the size available at the associated price level.

    This, in a way, provides a number of very very nice things to know. One, being the correct side to be on, and the second being the exact level at which slippage will begin. Both items above are known immediately when you look at the DOM. Since you have looked at the DOM for a long time, you will perhaps understand alot of what I said, and or at least, consider how I view things. This is not a right/wrong type of post as most trollers in this forum do. It's a take a look at the structures in the neighborhood type of thing.

    Naturally, the question always becomes why or how can an immediate direction be resolved. This is not rocket science however, alot of people fail to put a boundry around what is "immediate" and what is the "context" for that which is immediate. What you have done is interesting at the very least.

    My ABSOLUTE for the DOM is that one side of the inventory list ALWAYS runs out first. The point at which this happens, there is a brand new inside inventory list so to speak of. Although it is always there, data providers have not realized this fact and all it's potential, otherwise, they would have already provided a more appropriate DOM layout. What is so potent about this action is that any and all volatility is entirely composed of this ALWAYS CONTINUING event.

    Rather than drudge on, as most consider me to do, I will note some specifics for you to consider since you will notably understand how to program this and then find a way to add this knowledge and understanding to your toolbox. Find a way to plot the BID and ASK prices for every single tick using an appropriately sized windows of say 100-150 ticks. Then plot each tick's corresponding BIDSIZE and ASKSIZE along side each tick mark. As you scroll along the chart, note the diminishing levels of the BIDSIZE and ASKSIZE and then note specifically how this relates to the BID/ASK price. Plot BIDSIZE/ASKSIZE in this mannyer also takes care of all the fake size. They stick out like night and day.... Furthurmore, it's tougher for them because the fake stuff just winds up screwing themself.

    Kind Regards,
    MAK
     
  8. MAK,

    Excellent post. The last part of your post....BIDSIZE and ASKSIZE....this is what I do. It may not be what you are talking about. This picture is UpTicks - DownTicks....but I can also set it up for UpVolume - DownVolume....and the Candle next to the numbers. The Tick Calculation....will tell me Positive = Green and Negative = Red. The Yellow number tells me....how many Ticks....left on this Candle....then it resets itself to whatever Tick chart I am using....which in this case is a 55 Tick chart....and starts the countdown on the New Candle. I use this in conjunction with the ACV on the Dome.

    VSTscalper
     
  9. MAK,

    Here is a chart....with the UpVolume - DownVolume....for the last Candle....still the same Tick chart....just the Volume per Tick....instead of UpTicks minus DownTicks. Of course....a Tick is a Transaction....and the Transaction can have any size Volume (Contracts) per Tick or Transaction.

    VSTscalper
     
  10. :cool:

    This is all very interesting stuff and does a very nice job of tapping that which the market makes available. I will try to create an animated .GIF of the action so as to better display the details I am talking about. One of the particular items that is a work in progress for me is plotting the derivative of the DOM changes. As you can probably imagine, knowing how fast the DOM is being depleted with respect to either side is a killer indicator of sorts since it would effectively put fake bids, cancelled orders, and actual transactions on an even keel. GLOBEX screwed a number of items when they decided to aggregate groups of transactions into a single transaction, so nowadays a GLOBEX tick can often be more than a single transaction. In any event, I will try to get an animated .GIF posted to point out specifically that which I deal with. After awhile, it starts to set in how large and vast the potential is for participating in the markets CONTINUALLY and ALL the time. Fortunately, alot of applications provide us the ability to program that which is important. Most are usually just to lazy to figure out what is what, and then JUST DO what is required, when it is required.

    Kind Regards,
    MAK
     
    #10     Apr 30, 2006