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Volume Pace or Speed of Trades Indicator ?


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Volume Pace or Speed of Trades Indicator ?

  #31 (permalink)
 
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 JonnyBoy 
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jbmiguel View Post
@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...

True, there is not much out there that gives you exactly what you want. The reason is more likely to do with it being such a subjective topic. What you may see as lots of supply coming into the market to rotate prices lower, is another traders absorption level waiting for more demand to rotate prices higher.

And let’s say you did have all of this information on screen in the form of a histogram, would it actually help your trading or do you just think it will help your trading?

For example, I had an idea for an indicator based on the simple principles of tracking trade speed per minute/bar.

I applied a simple threshold level that was adjustable depending on the market depth. For example the threshold level shown on the attached chart is set at 4,000 contracts. This was roughly the total number of LMT orders across 10 DOM levels. Depending on the data series and instrument, this threshold level needs updating as does the scale of the indicator. The idea was to account for “surplus” orders above this level which would be assumed as MKT orders.

As I said, this was only an idea and of course it doesn’t reflect actual market structure, intent or participation because if I knew that beforehand I would be on a yacht in the Pacific.

Any spike above this level should only be considered as a “…am I interested…” level. It isn’t for picking out market turns necessarily, more of an indication that something is above the norm. Whatever norm is.

A simple example of where it could be considered useful is at breakout high/lows. Lots of volume comes in very quickly, but it doesn’t mean you instantly buy or sell, the market could reverse in a heartbeat. No, it just means something has changed and more participants got involved.

In truth, I don’t use this indicator. It was just an idea I had when I used to trade with tick charts (it works better on tick charts but it takes a lot of normalizing the scale). I dusted it off only a couple of weeks ago, hoping I would be able to use it. I haven’t found any sweet spot yet and feel it is more of a distraction. I will persevere to try and make it more useful - if only to share.


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  #32 (permalink)
 
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 paps 
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This is a KEY element as pointed by @rahulgopi. Volume and Intensity...when taken in context. There are numerous threads on the web including many referenced here. Most or all are scalping or show scalp techniques. Hardly ever or none show how to take out a >$1 move CL or 100NQ example.

All this means is w/o context one would remain grapping at other stuff and a hit/miss scenario. But context changes everything.....since Volume is a Very Very Integral part of trading.



rahulgopi View Post
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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  #33 (permalink)
 
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 rahulgopi 
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@paps , I have been running Trade Pace for CL last few days. Still watching, havnt traded CL yet. I will study this for few weeks to see if I can find some reliable pattern to trade.


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  #34 (permalink)
 jbmiguel 
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rahulgopi View Post
@paps , I have been running Trade Pace for CL last few days. Still watching, havnt traded CL yet. I will study this for few weeks to see if I can find some reliable pattern to trade.


@rahulgopi I don't currently trade CL but do you follow or have a way to track the Commercial/Smart Money activity that's trading CL intraday?

This would perhaps confirm the TradePace Indicator. My next project is to track this activity beyond Cum-Delta...

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  #35 (permalink)
 
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 rahulgopi 
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jbmiguel View Post
@rahulgopi I don't currently trade CL but do you follow or have a way to track the Commercial/Smart Money activity that's trading CL intraday?

This would perhaps confirm the TradePace Indicator. My next project is to track this activity beyond Cum-Delta...

I dont have a means to track that as of now.

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  #36 (permalink)
 Fugitive69 
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I've been looking closely at volume on a tick by tick basis. On my computer with my data feed I've discovered some interesting anomalies I did not expect.

First - the chart explanation. This is a Renko Chart set to 1 Tick. As I hover my mouse over each block I can see a data display of UpVol, DnVol, and Total Volume. It's just a matter of going right down the line, hovering over one block at a time.

Next, I looked for an area on the chart that I was absolutely sure the market was moving very fast with pretty high volume. So first I added a volume histogram below the chart. Oddly enough, some bars showed little or no volume at all even though I already knew the volume was fairly high while the market was moving fast.

So instead of a histogram, I setup the yellow dots you see on the chart such that a dot only prints when Total Volume = zero. As you can obviously see, there are plenty of no volume bars.

Knowing that there really was volume where the yellow dots print, I attribute the anomaly to my computer combined with my data feed. It's just the way each tick prints for me. However, it does provide a different perspective on the matter. The greater the number of yellow dots the greater the "speed" of the market.

This is especially true when you see two yellow dots on two consecutive bars. Immediately following the two consecutive yellow dots is the bar where all the volume "catches up" and prints from the previous no volume bars.

1st Yellow Dot = zero volume
2nd Yellow Dot = zero volume
Bar After the 2 Yellow Dots = volume was 1238

---------------

Later, I came back to test bar times and added blue dots such that a dot would only print when Time = Zero.
(I setup my time so that it did not include milliseconds.)

The conclusion is that for my computer and my data feed I could combine my Zero Time dots and my Zero Volume dots in some fashion to indicate some sort of Volume Speedometer. It's a bit ironic that I would need to look for Zeroes in both Time and Volume to red flag a screaming market. Ironic or not, it is interesting - sort of the opposite of what I expected.


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  #37 (permalink)
 
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 rahulgopi 
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@paps , here is my first CL trade for exactly $1 . This is purely based on Volume spike and Trade Intensity. I have been watching CL for a week before putting one trade today.


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  #38 (permalink)
 
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 wldman 
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the reasoning behind this effort. While there were a number of ways to get this insight in the past, the best thing I could come up with was to look at the time it took to complete a bar of some number of ticks. Also, the time and sales could be filtered for size and possibly have some type of auditory alert placed on it.

One example, if there was a beep for every X number of ticks, the trader could recognize what is normal and what is notable. Is the alert noise closer/tighter in frequency, meaning the market is fast.

Best of luck on this. I think it has value.

Dan

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  #39 (permalink)
 
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 rahulgopi 
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wldman View Post
the reasoning behind this effort. While there were a number of ways to get this insight in the past, the best thing I could come up with was to look at the time it took to complete a bar of some number of ticks. Also, the time and sales could be filtered for size and possibly have some type of auditory alert placed on it.

One example, if there was a beep for every X number of ticks, the trader could recognize what is normal and what is notable. Is the alert noise closer/tighter in frequency, meaning the market is fast.

Best of luck on this. I think it has value.

Dan

I use volume to read the price action, effort and result. Trade Intensity is merely used to highlight the volume that are significant. Yesterday the price action in CL was evident as all the significant bars prior to the drop were selling, professionals in the know.


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  #40 (permalink)
 
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 paps 
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U r the master..RG

I took it for exact 81cents after slippage n commission. I took one also today lod 31c.

Grt job bud...who am I kidding....ur good anyways

rahulgopi View Post
@paps , here is my first CL trade for exactly $1 . This is purely based on Volume spike and Trade Intensity. I have been watching CL for a week before putting one trade today.



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