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I'm probably veering off the original intent of this thread (Volume Pace or Speed of Trades Indicator) since I'm only looking for the rate of change in Price and using Range Bars as the vehicle. However, once created my thinking was to next come back in and add a few bells and whistles to improve on the baseline indicator. Just having trouble getting started.
Neither Volume Pace nor Speed of Trades necessarily indicate a price change, although very often they do provide a darned good head's up and seem to be connected at the hip to price changes. One would think any of the 3 "rates of change" indicators mentioned here would be relatively easy to create though I'm not much of a programmer. My hope was to find some existing indicator that tracked time in some form and tweak it so it would plot bar duration.
I understand where you are coming from. However ts does not capture or capable of capturing data historically.
Also u will not find a single indicator which is for sale which will give you this info accurately. This needs a precise calculation for every instrument. Hence the free Paris indicator will not work or any indicator listed on the web. If it works for es..it won't for zb zn cl etc. There r better threads on the web which talk about the inner workings of such an indict. However none are for sale or free for that matter. There ofcourse r similar threads on fio itself
@paps, it appears that TS 9.5 update 27 just may have added historic data support to TimeAndSales provider. I havnt played around with the API's yet. Either way I usually record and dump it down to a file and read it back into the chart.
All the ones I have seen worth their weight use an external DLL to compute the calculations outside of the coded language to overcome the limitations of NT and TS. My data-feed is DTN iQfeed which is unfiltered and should provide us the resolution needed to program such indicator. At this time (after endless hours of searching and spending a ton of money with different programmers re-converting the available "forum" codes/indicators to TS & MC's to then find out they didn't add up to what I'm looking for) I have retained a professional programmer to further develop this indicator which seemingly no one else gives it much weight. I'm at the 'Blue' pill, 'Red' pill? Red Pill...
OK, I get in now about TradeStation. The fractional second issue was only with historic data / market replay, but appears to not be a problem anymore with the new release.
My original idea was to sort of take the temperature of the market by monitoring Bar Speed (using Range Bars on a chart). That, however, is turning out to be more difficult than I imagined.
But assuming I could create that type of monitor, I next planned on adding a few bells and whistles to better see the big picture. Is this particular market primed for trading or best to leave alone for now? Markets change, what works great in January all of a sudden isn't so hot in February and March. Might need to move on to another instrument (market) that is primed for trading.
An over-simplified analogy would be driving a car. Check the speedometer and RPMs, if those look OK then glance at the oil pressure and water temperature. Is everything running just the way you like it for your trading style or are there red flag indications telling you to stay away?
I'm not sure the TS data is now "un-bundled", is that what the new release states? We couldn't use the TS feed prior because it was a hybrid. Although, for this particular study (if done only in real-time then it may be good enough. It depends on the level of sophistication you want out of the indicator and if you want it to work with historical data as well.
@paps , here is my take on it, with historic data support. It doesnt do much but plots the number of trades and trade volume for a given bar / tick / range etc. I had to write a dll for fast historic data population. Unfortunately most of this will require TS 9.5.
hi @rahulgopi, somehow get this coded for me on 9.1 or let me know the code....i can get it coded.....ping me.
I will compare it against trade intensity....as mentioned here Trade Intensity - Technical Analysis - Traders Laboratory which was the original and main thread of Trade Intensity. any and all other intensity indicators were written from here....
also send me screen captures of a few days...moving ahead......i have Intensity running...& can compare exacts....send me ES though
