You would have to be blind, not to like the 1700T chart, But i would need to see it in different (time) intervals throughout the day before I switch from my old school method of using bars.
Proprietary, I'm afraid, but you can look at what I'm suggesting looking at with most platforms, as far as I know - certainly with SierraChart or NinjaTrader (or equivalents, I'm sure).
So what does time have to do with it? Program execution is time based. The news is times based. If you get a shitty fill its Time and Sales. Heavy volume/liquidity is based on times of the day. People are creatures of habit and we enter and exit our day, based on time. I'm sure i can think of more, oh yes" what time is it now?
Since Xela can't post her charts I'll do it for her.... 2K Constant Volume Bars/Candles on the NQ This chart shows two examples of price/volume consolidation - easily viewable by inside candles. Simultaneously the frequency of contracts traded was slowing down on the inside consolidating candle. Is this indecision of market participants before a breakout/down or reversal? Battling HFT Bots? Larger players holding price in order to accumulate a short position? I am not sure this typical pattern would have identified itself and been exploitable using a 1, 3 or 5 minute time based chart.
They, Is the green bars a pace of tape indicator? Also, you say that the frequency of contracts was slowing down but in you circled examples it looks like they are sped up. Please explain. Thanks! PS... still using ESignal? showing your age. :>
DaGabaGoo, That study in the lower part off the chart just calculates the seconds in each candle, so the larger the histogram the more time it took for 2000 contracts to trade. You got it right on my Esignal usage - my body is now 53 years old. I am definitely an 'if it works don't fix it' type of person with software and they have some breadth studies like 'Percent Above VWAP' that are built into a couple my systems.
Very interesting stuff. Thank you They and Xela for shedding some light on the subject. Are there any rules of thumb for bar size, such as a percentage of average daily volume or some such? Do you ever change your bar size based on market conditions or do you rely primarily on the speed of their formation to give you signals? I'm backtesting an intra-day momentum setup right now that may benefit from this type of chart, I've been using 5m candles up to this point.
@They The "VolumeSpeed" indicator is interesting to me... I'm guessing it's custom, not something out of the box? Since there is no "time", the trading day could be charted as a single bar or many hundreds of bars (depending on constant volume setting of course). So my question is what is the baseline being used for VolumeSpeed? Frankly, the omission of time, as in the case of constant volume charts, has always been a deal breaker for me. This volumespeed thing is stoking my interest in volume charts once again. BTW, using time-based charts, I use volume pace... Take a volume measurement every n seconds, and calculate a pro-rata bar close total volume. For the majority of bars, it is clear well before bar close if volume is increasing or decreasing. In my world, volume is a prerequisite for price volatility, in context. So yea, volume pace can be identified and exploited on time based charts. Thanks
kj5159, I can't speak for Xela but I run just one bar size on each market that I trade. I think a lot would depend one's automation capacity. Small volume bars can obviously go into the sub minute category which makes them next to impossible for mouse click or hot key trading. So personally I do not change the bar volume during the trading season. With all bar increments whether they are time, tick or volume based ultimately one needs to spend time identifying/memorizing behavior and ultimately testing what has been learned. Obviously as one gets use to the behavior of a specific bar volume noticing that there are a lessor or greater bars in a given day one can use that information. Hope this helps.