Tradestation - Bid/Ask Volume Analysis

Discussion in 'Trading Software' started by Interesse, Sep 16, 2006.

  1. Hi all,

    with Tradestation and Tick-by-Tick-data,
    is it possible to analyse the volume
    at bid & ask?

    For example, i want to have a volume
    bar which is filled partly green
    (volume at bid) and partly red
    (volume at ask), percently distributed
    as volume is on bid & ask.

  2. Yes,

    Check out tradestation forums there is pretty much everything you might need for volume@bid and volume@ask (delta) type analysis.

  3. leveragefx

    leveragefx ET Sponsor

    I personally feel its kind of pointless to analyze bid/ask volume itself, its far superior to watch ONLY what the biggest traders are doing. I use TopGun Software and they let you select what size traders to watch. There's even an option that lets you compare how much the big boys are buying/selling today on each bar compared to the avg over the last 20 days. They'll analzye 20 to 30 million past trades to calculate this avg and then plot it in an easy to use format.

    For the S&P I'll watch traders over 99 lots. They tend to come in and buy at the lows and sell at the highs so you can position yourself for the UPCOMING move. Bid/Ask analysis without this option is not very useful in my opinion.

  4. leveragefx

    leveragefx ET Sponsor

    No offense to the tool you use but this is far superior. This chart shows both the 100 lot traders and how much they are buying/selling on each bar compared to the statistical average of past 20 days. On the bottom it shows how much the STOCKS that makeup the S&P are being bought or sold on each bar.

    Here's why Market Delta is sometimes good but FAR from the holy grail as it can't do this. Notice the first bar of the day the big 100 lot traders bought about 263% more than normal while selling was 224% above normal. The CASH market had 378% buying but 974% selling! The institutions were dumping stocks on the open. It doesn't matter that the big lot traders were buying futures the market went down. The mutual funds and hedge funds DOMINATE the S&P! It's nice to know what traders in futures are doing, especially 100 lot traders but far more valuable to know what the mutual funds and institutions are doing.

    This chart also shows the avg hourly high and low which is critical to trading the S&P, keltner channels and balance point line for today and continuous through yesterday. The green balance point line shows where most traders have positions from yesterday and today.

    On the bottom I watch all the stocks that makeup the S&P and see how many are above or below their VWAPs. When 60% are above the market tends to trend up nicely, when 60% are below it will trend down. When between the white lines you can safely buy lower keltner or avg low or short upper keltner or avg high.

    Again, in my humble opinion, 100X better than Market Delta because it shows not only how much buying and selling is going on in the futures but shows you STATISTICALLY how much/little. It does the same for stock buying/selling (best market sentiment tool I've ever traded with) and also shows you statistically safe buy and sell areas. And they have some buy/sell signals on the charts too that also tend to give me profitable trades. The white dot shows market has gone down too much and is likely to reverse, I start looking for buys when I see that, just wait for the buying in the stocks and futures to come in and buy, can't get easier than that. I tried Market Delta for probably 3 months and it required too much thought and analysis. I want to look at the charts and say wow the big futures traders and stock traders are all selling 200% more than normal and 70% of stocks that makeup the futures are below their vwaps, I want to short ever rally up to resistance in this case and instead of scalping 1 to 2 points maybe hold on for 3 to 6 point move.


  5. offense taken.....I was just in agreement that watching the 100 lot and above traders can have some benefits at times (and I had taken the time to include an example). :)

    Sorry to the guys that are here with a TS thread....LOL! :D

    So LFX....what do find best in your analysis TGS tools to trade the currencies with.....thanks!
  6. leveragefx

    leveragefx ET Sponsor

    I do primarily trade forex now. I use a simple method for determining trend, just a 50 period EMA which is very good for determining which direction to trade in. It also is similar to the 20 period MA on the 15 min charts so kills two birds...

    Then for actual entries I use a fast 35 tick chart that just shows FXCM, GAIN, HOTS, COES, GFT banks.

    Believe it or not I just use a keltner channel to buy at lower band if trend is up on 5 min chart and upper keltner to sell if trend down.

    I trade WITH the trend until the market moves too far. I use their statistical avg tool set to 20 days and 1440 mins. This shows the avg daily high and it finds about 15 to 20 trades per week for counter trend. I will take 6 to 10 pips on most trend trades, more if the velocity of the move is fast and try to catch 10 to 20 pips on counter trend trades. I use the tick charts to sort of tape read the markets so while these are my goals I will take what I feel is the most I can get. If its 1 pip, 3 pips or 6 pips and I feel its not going anymore I get OUT! I feel this is one of the reasons I'm about 80% winning. I also position size by probability of the trade. There are some trades they teach that are about 90% accurate but only 1 to 3 of these per day and often when I'm not trading. I'll do 5 or 10 full lots on these trades and almost all work. On trades I'm not as confident of I trade 2, 3 or 5 lots. This keeps my avg win about 2X+ what my avg loss is.

    Many traders in the paltalk room I'm in, all use this software, are accurate but the ones who are not making money don't exit their losers quickly and few position size the way I do. Remember to make money its nice to have a high win% but far more important in my opinion to have your avg win be 1.5 to 3X more than your avg loss. One trader I'm helping is about 68% winning but he losses 3X more on losses than he makes on his wins. Avg loss $150 and avg win $50. He's still losing money due to this even though he's right most of the time. Something for new traders to be aware of!! Most important advice I can give you.

    Here's the 35 tick chart I was referring to, you can select any banks in eSIgnal's 150 bank feed to use but I prefer the ones above as they don't tend to run stops and it gives crystal clear bars and volatility is very useful for finding reversals. I use exponential moving average for keltners instead of simple and 20 bars and 2.2 ATR in case you are curious.

  7. Looks good and your set-up makes sense.

    I have been backtesting/researching market delta bar "net" thresholds and daily cumulative thresholds for several currencies to find significant correlations (backtesting futures contracts of the currencies). I have found two good correlations for trade set-ups so far, and I will start forward testing them next week.

    The currencies are still fairly new to me but the opportunities almost seem endless....that is very appealing to me. I am always interested and curious to see how others trade the currencies....thanks for the example!
  8. leveragefx

    leveragefx ET Sponsor

    Sure no problem. I'm always looking for new and/or better ways to trade and make money. If you don't mind, share your ideas as well. The forex is such a huge market others knowing about how you trade isn't likely to make your systems not work.

    I left out two other components to my trading. The first is I use probability bands which are derived from currency options implied volatilitys. They find the 65, 80, 88 and 95% probable highs/lows each day. When the market is at these levels I'll short the upper keltner band on the highs and buy the lower 35 tick keltner at the lows. This works very well and is also about 80% winning. Most trades that I'm early or losers I'll scale in to most times get out at even when wrong. For example say I buy 1.2800 with 2 lot, I will buy 4 lot at 1.2790 and now my avg price is just a few pips away, if the market goes up now 5 or 10 pips I can get out +1 to +6 pips and I was initially early. Never EVER underestimate how far the currencies can go but if you're nimble this strategy works fantastic. Most of my losers turn into break evens or a few pip wins. This helps to rid me of the anxiety of buying in a down market, shorting in up market. The only time I got burned by this in last two weeks was in the CHF this week when it had one amazing upmove one day. I lost 10 pips in one trade and had to wait for it to double top until I felt safe to short again. I doubled my trade size at that point and got my loss back plus some. Position sizing is KEY to forex trading, even more so than stocks/futures.

  9. So the 35 tick set-up does not get "polluted" by the big 40 to 60 pip swings that can happen at times (versus say a 233 tick chart)?

    What do you use to track currency options for volatility measurements (what data)?
    #10     Sep 16, 2006