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cunparis
Forum:
Trading Reviews and Vendors
December 5th, 2009, 10:57 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Are these just visual or does it change the bar...
Are these just visual or does it change the bar formations compared to normal range bars? Are you just adding an extra tick to make it touch the previous close? I'm curious how that works. I...
Forum:
Trading Reviews and Vendors
December 5th, 2009, 03:23 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Thanks Richard, I enjoyed the exchanges and I...
Thanks Richard, I enjoyed the exchanges and I learned something about the way CME renders its tick data.
Forum:
Trading Reviews and Vendors
December 5th, 2009, 02:05 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Thank you for your explanation. This is the...
Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:
...
Forum:
Trading Reviews and Vendors
December 5th, 2009, 01:51 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Yes I was participating in that thread. I used...
Yes I was participating in that thread. I used some of the code to write a volume splitter for Tradestation and also adapted my volume indicators to use only large trade sizes. I found what you...
Forum:
Trading Reviews and Vendors
December 5th, 2009, 01:20 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Can you post some a couple days worth of charts...
Can you post some a couple days worth of charts with your volume splitter indicator? Then we can see if you cherry picked an example or it if really does predict turning points.
Blz - volume...
Forum:
Trading Reviews and Vendors
December 5th, 2009, 01:18 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Hi Richard, Can you explain how the data was...
Hi Richard,
Can you explain how the data was cooked before this change and how it's more raw now? I have the opposite opinion. I have the impression that orders were not bundled before and now...
Forum:
Trading Reviews and Vendors
December 5th, 2009, 01:14 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
I do not believe that is correct. Your...
I do not believe that is correct.
Your example would increase the trade size from 50 to 500. What I have shown is that the avg order size has decreased by roughly 50% (maybe 2.5x).
So what...
Forum:
Trading Reviews and Vendors
December 4th, 2009, 03:39 PM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
I think he's slightly biased, he's selling the...
I think he's slightly biased, he's selling the volume splitter. :)
If CME unbundles a 1000 share order into ten 50 share orders, how is that going to make a volume splitter work better?
Forum:
Trading Reviews and Vendors
December 4th, 2009, 03:24 PM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
Pull up a chart of the average trade size. ...
Pull up a chart of the average trade size. You'll see it got cut in half. One week it was 11 shares/trade and the next week it was 5.
Technically what happened is that they unbundled large...
Forum:
Trading Reviews and Vendors
December 4th, 2009, 03:13 PM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
As of October 2, CME does bundle trades together....
As of October 2, CME does bundle trades together. What roonius says is true. It is not possible to know if it was one trader or several. All we can know is x number of shares were traded at a...
Forum:
Trading Reviews and Vendors
October 3rd, 2009, 10:46 AM
Replies:
59
EOT Automated System
Views:
23,725
Posted By
cunparis
We have. I have one. Do I use it? No. Why? ...
We have. I have one. Do I use it? No. Why? Doesn't work consistently.
For one they're often wrong. Second, they can split orders so they don't appear to be a big trader. They have different...
Showing results 1 to 11 of 11
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