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Volume Pace or Speed of Trades Indicator ?


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Volume Pace or Speed of Trades Indicator ?

  #21 (permalink)
 
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 xiaosi 
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I use a trade activity monitor, in Sierra it's called number if trades. I use it on a 5 second chart and refer to an average....might be similar to what you're looking for.

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  #22 (permalink)
 jbmiguel 
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Yes, exactly 'paps'! I'm trying to get help in re-coding a similar indicator from "UrmaBlume's" (Pat's past work) in TLab. I've reached out to a few developers he mentioned and others with no luck. I know some were able to reverse engineer the intensity indicator (so they said) but most or all have fallen off the radar in TLab.

Do you know anyone with specific programmer knowledge from that old body of work that could help develop a similar intensity indicator DLL/coding and some parts of the HUD display? Or at least point me in the right direction online? After Pat's passing his work went stale but it's very similar to my current volume analysis indicators although much, much more sophisticated.

After many months (almost 1 year now) of wasting time and money with similar indicators on the internet, I've gotten no where, you are correct they don't work like Pat's did. It requires a much deeper understanding of data analysis matched to the correct volume break-down formula (varies for each instrument) in order to reduce noise and re-construct historical data. That's where I'm stuck, any help will be appreciated :-)

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  #23 (permalink)
 
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 rahulgopi 
milpitas, ca, usa
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jbmiguel View Post
Yes, exactly 'paps'! I'm trying to get help in re-coding a similar indicator from "UrmaBlume's" (Pat's past work) in TLab. I've reached out to a few developers he mentioned and others with no luck. I know some were able to reverse engineer the intensity indicator (so they said) but most or all have fallen off the radar in TLab.

Do you know anyone with specific programmer knowledge from that old body of work that could help develop a similar intensity indicator DLL/coding and some parts of the HUD display? Or at least point me in the right direction online? After Pat's passing his work went stale but it's very similar to my current volume analysis indicators although much, much more sophisticated.

After many months (almost 1 year now) of wasting time and money with similar indicators on the internet, I've gotten no where, you are correct they don't work like Pat's did. It requires a much deeper understanding of data analysis matched to the correct volume break-down formula (varies for each instrument) in order to reduce noise and re-construct historical data. That's where I'm stuck, any help will be appreciated :-)

If we plot the timeandsales or QuotesProvider, using the trade timestamp and apply a filtering logic to group / classify the trades, we could potentially generate a chart below 1 second interval. it appears that the original developer had some intelligent algorithm to process the trade flow. reproducing it will require studying the charts. I extensively use volume spike for reading the charts, adding the intensity seem to complement it. Please note, I dont have access to the indicator, @paps seem to have great success with the tool.

Below chart shows trade intensity spike for spotting a reversal, I took the long, but my usual method of volume also identified it, along with support from 2 day VWAP and Premarket stopping volume etc. Despite NQ selling off in the morning, market internals were to the upside, TICK showed lack of selling in the market until around 10:30 AM PST. My point is, I use a combination of things to read the market. I am still playing around with this idea, will study the original thread in the coming days.






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  #24 (permalink)
 
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 JonnyBoy 
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jbmiguel View Post
Looking for a MultiCharts /Tradestation indicator that could measure the 'Pace' or Speed of of Ticks or Volume traded in real time and display these in a Histogram fashion that identifies between Up/Down volume as well. I'm currently using a great indicator from MBoxwave called MPace but it's not available for MultiCharts. Any guidance or programming help would be greatly appreciated...

There are some basic attempts and re-posts at this type of indicator (Cunparis, etc.) but they're very primitive and don't work well in MC's or TS. I'm really looking for a more sophisticated indicator that makes it easy to see these sudden bursts of volume and then discern whether they were 'Up' or 'Down' volume associated with the histogram bar (similar to the basic Vol. Avg. indicators) see pic attached. I did see similar types of Speed type indicators available for NinjaTrader but I don't have the coding expertise to convert these to MC's and none were in a histogram fashion.

I'm not a programmer please keep that in mind if you have any guidance, Thank you, M

The MPace indicator is NOT a speed or pace of tape indicator. All it does is measure the distance (in points) from the open to close of a bar and multiplies that value by the volume of the bar.

For example, on a 1000 volume data series if there was 1 point of distance from open to close, multiply this by the volume of the bar to get a value of 1000. That would be your MPace value.

Another example, (insert whatever data series you want here) if there was 3.5 points from open to close and the volume of the bar was 34,869 the calculation would be 3.5 x 34,869 = 122,041.5 (or rounded to 122k) - that is your MPace value.

It is so simple it is almost criminal. In other words, if you like it, pay for this to be coded and you'll have the indicator you like. It is literally a few hours work, or kindly ask somebody on here to replicate this code for you for free.

Just to note however it DOES NOT show the Velocity (speed) of the tape and DOES NOT allow you to see the speed at which the BIDS are being HIT and the speed at which the OFFERS are being lifted - because that would be a whole other type of indicator.

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  #25 (permalink)
 
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 paps 
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jbmiguel View Post
I've gotten no where, you are correct they don't work like Pat's did. It requires a much deeper understanding of data analysis matched to the correct volume break-down formula (varies for each instrument) in order to reduce noise and re-construct historical data. That's where I'm stuck, any help will be appreciated :-)

Hi @jbmiguel did u have Pat's stuff. Did you have the HUD"Heads Up Display" or did you also have the indicator pack.?
If so...how did you use the Spikes..did you correlate to his indicator pack?. The spikes w/o context may be misleading.
I typically use it with context of Big Limits in the market. Would also be interesting to see what you getting of the MCs if you have converted it to TS code like you mentioned.

I still do have access to it.....but i have access to a few more too. One specifically on Ninja8 which has been developed by a close friend...but i do not use Ninja8 currently as i have some issue with Ninja7 i want to get done with first. I intend to qualify my Ninja8 stuff or any other High Speed Alert stuff till the time i have the one am using currently. But I am a more data oriented means i have observed a few patterns which I can co-relate to a buy/sell in the mrkt.

No sorry i do not have any access to a developer who has been able to qualify this....& am in touch with some of the best quants on TS. They themselves have very unique stuff but when comes to a similar indicator i did not get a good response.

You also saw @rahulgopi what he showed.... he uses context and probably it helps him. He ofcourse is a great trader and this probably is up his ally if he has access to the indicator screenshot he shared.

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  #26 (permalink)
 jbmiguel 
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paps View Post
Hi @jbmiguel did u have Pat's stuff. Did you have the HUD"Heads Up Display" or did you also have the indicator pack.?
If so...how did you use the Spikes..did you correlate to his indicator pack?. The spikes w/o context may be misleading.
I typically use it with context of Big Limits in the market. Would also be interesting to see what you getting of the MCs if you have converted it to TS code like you mentioned.

I still do have access to it.....but i have access to a few more too. One specifically on Ninja8 which has been developed by a close friend...but i do not use Ninja8 currently as i have some issue with Ninja7 i want to get done with first. I intend to qualify my Ninja8 stuff or any other High Speed Alert stuff till the time i have the one am using currently. But I am a more data oriented means i have observed a few patterns which I can co-relate to a buy/sell in the mrkt.

No sorry i do not have any access to a developer who has been able to qualify this....& am in touch with some of the best quants on TS. They themselves have very unique stuff but when comes to a similar indicator i did not get a good response.

You also saw @rahulgopi what he showed.... he uses context and probably it helps him. He ofcourse is a great trader and this probably is up his ally if he has access to the indicator screenshot he shared.

Hello @paps, unfortunately I do not have any of Pat's indicators but would like to of had or have the opportunity to use them. Pat's trading, as he described it in the forums seems correlated to my own indicators and how I use them to add context to the market (Volume analysis Delta, Momentum, etc.).

I currently use an intensity indicator from MBox (not as sophisticated as Pat's) but it does measure Tape Speed accurately enough to confirm Market Extremes or Flushes (perhaps similar to what you defined as "Big Limits"). It's not available for MC's (my Charting software) and therefore I'm looking to develop a similar "Intensity or Tape Speed" indicator. Ideally, Pat's stuff sounds to be exactly what I would like to test and compare with mine.

If you have Pat's indicators and or a similar 'intensity" indicator, HUD, etc. can we PM to exchange some info? I'm travelling for 4 days but would appreciate more info and a follow up next week when I get back. Thanks

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  #27 (permalink)
 jbmiguel 
Weston Florida USA
 
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rahulgopi View Post
If we plot the timeandsales or QuotesProvider, using the trade timestamp and apply a filtering logic to group / classify the trades, we could potentially generate a chart below 1 second interval. it appears that the original developer had some intelligent algorithm to process the trade flow. reproducing it will require studying the charts. I extensively use volume spike for reading the charts, adding the intensity seem to complement it. Please note, I dont have access to the indicator, @paps seem to have great success with the tool.

Below chart shows trade intensity spike for spotting a reversal, I took the long, but my usual method of volume also identified it, along with support from 2 day VWAP and Premarket stopping volume etc. Despite NQ selling off in the morning, market internals were to the upside, TICK showed lack of selling in the market until around 10:30 AM PST. My point is, I use a combination of things to read the market. I am still playing around with this idea, will study the original thread in the coming days.






Your observations match and are similar to my trading method although we use different versions of similar indicators to add the same "context" to the Market and then look for a spot to lean on and make a trade. The intensity indicator is a good compliment to my Volume studies (very similar to how you interpret as well) and is usually one of the final the "triggers" for my trades to enter or exit. @JonnyBoy is correct about the MBox Pace indicator being more of a multiplier that captures volume spikes.

I'd like to join forces with your current work and continue building an intensity or speed of trade indicator with a more 'intelligent or adaptive' algorithm. I'm sure with @paps experience in testing different versions we could assemble a capable intensity tool capable of measuring volume trading intensity across different Markets. Will PM you to exchange more info next week, Thanks for your posts above...

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  #28 (permalink)
 
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 paps 
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hi there @jbmiguel these are all locked by Pat or otherwise friends since no one wishes to divulge IP. But will be happy to test or compare any charts offline.


jbmiguel View Post
Hello @paps, unfortunately I do not have any of Pat's indicators but would like to of had or have the opportunity to use them. Pat's trading, as he described it in the forums seems correlated to my own indicators and how I use them to add context to the market (Volume analysis Delta, Momentum, etc.).

I currently use an intensity indicator from MBox (not as sophisticated as Pat's) but it does measure Tape Speed accurately enough to confirm Market Extremes or Flushes (perhaps similar to what you defined as "Big Limits"). It's not available for MC's (my Charting software) and therefore I'm looking to develop a similar "Intensity or Tape Speed" indicator. Ideally, Pat's stuff sounds to be exactly what I would like to test and compare with mine.

If you have Pat's indicators and or a similar 'intensity" indicator, HUD, etc. can we PM to exchange some info? I'm travelling for 4 days but would appreciate more info and a follow up next week when I get back. Thanks


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  #29 (permalink)
 jbmiguel 
Weston Florida USA
 
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JonnyBoy View Post
The MPace indicator is NOT a speed or pace of tape indicator. All it does is measure the distance (in points) from the open to close of a bar and multiplies that value by the volume of the bar.

For example, on a 1000 volume data series if there was 1 point of distance from open to close, multiply this by the volume of the bar to get a value of 1000. That would be your MPace value.

Another example, (insert whatever data series you want here) if there was 3.5 points from open to close and the volume of the bar was 34,869 the calculation would be 3.5 x 34,869 = 122,041.5 (or rounded to 122k) - that is your MPace value.

It is so simple it is almost criminal. In other words, if you like it, pay for this to be coded and you'll have the indicator you like. It is literally a few hours work, or kindly ask somebody on here to replicate this code for you for free.

Just to note however it DOES NOT show the Velocity (speed) of the tape and DOES NOT allow you to see the speed at which the BIDS are being HIT and the speed at which the OFFERS are being lifted - because that would be a whole other type of indicator.

@JonnyBoy, thanks for your illustration above it's dead on! MPace was a starting point after reading Pat's work and searching endlessly for a similar intensity indicator that I could use on TS and hopefully MC's. As you stated it is 'criminal' but I needed to start somewhere.

However, finding a real "speed" indicator for TS or MC's has been a challenge. Perhaps my bigger challenge is telling a programmer HOW you to accomplish this seemingly simple statement of:

"an Indicator that can measure "Velocity (speed) at which the BIDS are being HIT and the speed at which the OFFERS are being lifted" and show these acceleration changes in a histogram vs. past accelerations.

What specific instructions should a programmer have or need to develop the idea of "speed" across the tape and further differentiate between Bids HIT and Offers LIFTED?

What are the limitations of capturing these 'speed' changes in Real-Time vs. Historical Data in MC's or TS? Is it possible to do both, Real & Historical? This is where I'm stuck! Any programming or coding help would be appreciated as this is not a popular "off the shelf" indicator for MultiCharts or TS...

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  #30 (permalink)
 
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 rahulgopi 
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Intensity highlights the volume. The levels were already marked on my chart via volume spikes but it is good to see the intensity for upping the probability little further. Chart examples from today. 2795.50 is the June high, interesting activity around this zone, good reason to risk few points to go long at open.

2 min chart


5 min chart

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