Midas (VWAP) Custom Period - NinjaTrader Programming | futures io social day trading
futures io futures trading


Midas (VWAP) Custom Period
Updated: Views / Replies:17,240 / 47
Created: by hegh Attachments:17

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 17  
 
Thread Tools Search this Thread
 

Midas (VWAP) Custom Period

  #1 (permalink)
Elite Member
paris
 
Futures Experience: None
Platform: NinjaTrader
 
Posts: 60 since Oct 2009
Thanks: 1 given, 53 received

Midas (VWAP) Custom Period

hi,

Midas (VWAP) is normally applied over a period of several days or day tickets.
Or, on a very short period of 30 Mn and 60 Mn.
In all cases, each time we reset the vaiables and you begin to calculate the value continuously.

In this version, we chose a period of calculation, the latter value is added at the end of the Plot which gives it a continuous does not depend on a break.

The first images below a 12 Period, UT 5 Mn, gives us the progression of Midas in the last hour.

On the second image, a period 168, UT 5 Mn (session 14 hours, 12 * 5 = 168), we can see that Midas Custom Period and daily VWAP have the same value at the end of the day.

I hope it will serve you.

Have fun.

Adrien

Attached Thumbnails
Midas (VWAP) Custom Period-fesx-06-11-5-min-09_06_2011bis.jpg   Midas (VWAP) Custom Period-fesx-06-11-5-min-09_06_2011.jpg  
Attached Files
Register to download File Type: zip iMidasCP.zip (2.4 KB, 216 views)
Reply With Quote
The following 5 users say Thank You to hegh for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,599 received
Forum Reputation: Legendary



hegh View Post
hi,

Midas (VWAP) is normally applied over a period of several days or day tickets.
Or, on a very short period of 30 Mn and 60 Mn.
In all cases, each time we reset the vaiables and you begin to calculate the value continuously.

In this version, we chose a period of calculation, the latter value is added at the end of the Plot which gives it a continuous does not depend on a break.

The first images below a 12 Period, UT 5 Mn, gives us the progression of Midas in the last hour.

On the second image, a period 168, UT 5 Mn (session 14 hours, 12 * 5 = 168), we can see that Midas Custom Period and daily VWAP have the same value at the end of the day.

I hope it will serve you.

Have fun.

Adrien

@hegh

Generally MIDAS refers to an anchored volume weighted moving average (VWAP), where as your indicator is a simple volume weighted moving average.

The VWMA is a NinjaTrader default indicator. If I use it with a period of 168, I get exactly the same picture as yours.

But this is not MIDAS.

It is still one of my projects, to attach the VWAP to the swing points of a zig zag and use it for establishing support and resistance. For FOREX you would need to replace the VWAP with a TWAP, as there is no volume information.

Attached Thumbnails
Midas (VWAP) Custom Period-no-midas.jpg  
Reply With Quote
The following 4 users say Thank You to Fat Tails for this post:
 
  #4 (permalink)
Elite Member
Cucamonga, CA
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Optimus & Rithmic
Favorite Futures: TF
 
kalalex's Avatar
 
Posts: 197 since Mar 2011
Thanks: 223 given, 126 received


Fat Tails View Post
@hegh

It is still one of my projects, to attach the VWAP to the swing points of a zig zag and use it for establishing support and resistance. For FOREX you would need to replace the VWAP with a TWAP, as there is no volume information.

FT, this is a little old thread but just FYI.

https://futures.io/elite-circle/2807-need-help-finishing-indicator.html

Reply With Quote
 
  #5 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

MIDAS Zig Zag indicator.

I did a few quick hacks on the indicator from Gold Standard's thread to make it work in NT7.

(The DrawText and DrawLine signatures had to be updated from the NT6.5 syntax.)

Because the labels have a white background, you might want to put this indicator on a chart with a white background.

There are too many labels, so I added a parameter to turn them on and off. If they are turned off, the indicator looks fine on a dark background. You can also set the color of the zigzag lines to transparent.

There is a lot more that can be done with this. It's a diamond in the rough.

Attached Thumbnails
Midas (VWAP) Custom Period-ym-03-12-150-tick-1_5_2012.jpg   Midas (VWAP) Custom Period-ym-03-12-151-tick-1_5_2012.jpg  
Attached Files
Register to download File Type: cs MIDAS_SwingVolumeSR (1).cs (23.8 KB, 143 views)

Last edited by Zondor; January 6th, 2012 at 04:00 AM.
Reply With Quote
 
  #6 (permalink)
Market Wizard
Las Vegas, NV
 
Futures Experience: Advanced
Platform: Abacus, Slide Rule, HP-65, Metastock, TOS, NT
Favorite Futures: Futures
 
aligator's Avatar
 
Posts: 3,424 since Aug 2010
Thanks: 1,053 given, 5,822 received
Forum Reputation: Legendary


Zondor View Post
I did a few quick hacks on the indicator from Gold Standard's thread to make it work in NT7.

(The DrawText and DrawLine signatures had to be updated from the NT6.5 syntax.)

Because the labels have a white background, you might want to put this indicator on a chart with a white background.

There are too many labels, so I added a parameter to turn them on and off. If they are turned off, the indicator looks fine on a dark background. You can also set the color of the zigzag lines to transparent.

There is a lot more that can be done with this. It's a diamond in the rough.

Thanks @Zondor,

Looks like a fun indicator. Can someone please explain what it means and how it is used.

Reply With Quote
 
  #7 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

I'm glad you asked


Quoting 
Coles and Hawkins, MIDAS Technical Analysis
Anyone who trades using technical analysis would do well to read MIDAS Technical Analysis: A VWAP Approach to Trading and Investing in Today’s Markets (Bloomberg/Wiley, 2011) by Andrew Coles and David G. Hawkins. It’s not that the MIDAS method, pioneered by Paul Levine in 1995, is the holy grail. I recommend the book because the authors have done such a thorough job of explaining and, after extensive research, expanding on the notion of volume-weighted support and resistance curves. In the process they touch on a wide range of technical approaches to the market, some of which I suspect will be unfamiliar to the majority of readers.


Reading the Markets: Coles and Hawkins, MIDAS Technical Analysis


MIDAS Market Analysis

Reply With Quote
 
  #8 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

Midas Swing Indicator update

I fixed a serialization error and did some runtime optimization. It's still a resource hog.

There are some excellent Midas indicators at Midas Explorer on a monthly subscription plan. I just bought one and will give it a shot.

Attached Files
Register to download File Type: cs MIDAS_SwingVolumeSR (1).cs (24.3 KB, 166 views)
Reply With Quote
The following 4 users say Thank You to Zondor for this post:
 
  #9 (permalink)
Elite Member
Auckland
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: Zen-Fire
Favorite Futures: CL and ES
 
Posts: 710 since Apr 2010
Thanks: 3,720 given, 661 received


Zondor View Post
I fixed a serialization error and did some runtime optimization. It's still a resource hog.

There are some excellent Midas indicators at Midas Explorer on a monthly subscription plan. I just bought one and will give it a shot.

Zondor

Much appreciated.

plus it is very affordable too.

would you be able to give us your opinion after you have installed and used the indicator.
MIDAS Extensions - Midas Explorer for NinjaTrader

Thanking you
Sharmas

Reply With Quote
 
  #10 (permalink)
Elite Member
Cucamonga, CA
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Optimus & Rithmic
Favorite Futures: TF
 
kalalex's Avatar
 
Posts: 197 since Mar 2011
Thanks: 223 given, 126 received


@Zondor

It's very nice of you to step in and provide us w/ this indicator for NT7.

I was going to post an indicator request but since I have your attention here and you are THE Authority from futures.io (formerly BMT) on volume study I'll just ask about it here.

I just took an interest on tape reading and wonder if there's any indicator that could spot such instances when market orders get absorbed by resting limit orders. I think they call it iceberg.

I've noticed these situations a few times. The most recent one was at the top of ES on Tuesday.
I can't remember exact price but it was ****.00 at ask and ****.75 at bid.
I wanted to sell at ****.00 and never got filled for at least 2 minutes while there were plenty of orders going through at ****.00 at ask.
Then it was the top of the day.

If we have such an indicator it help see if key S/R will hold and reverse.

And if I go a step further from here and if we can monitor the activity of cancelled or pulled limit orders after the hold or breakout of such S/R we can go in with the flow with more conviction??

For the case of top of the day above if we see the increase of cancelled or pulled BUY limit orders when price's going down
it's more conviction I guess.

I've seen some tape or DOM where they show pulled/cancelled resting orders but I don't know how they calculate but I'm sure YOU know.

You think I'm doing the price/volume analysis right and if so do-able?

Reply With Quote

Reply



futures io > > > > > Midas (VWAP) Custom Period

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
pivotindicator for a time period tulasi MetaQuotes MetaTrader MQL Programming 5 October 13th, 2015 02:36 AM
Cooling off period for trades krakken NinjaTrader Programming 4 August 16th, 2011 04:45 PM
Breakout after Congestion period emini_Holy_Grail Traders Hideout 3 May 9th, 2011 09:38 PM
RSI value for a previous period arjfca EasyLanguage Programming 4 November 9th, 2010 02:29 PM
Creating your own dynamic bar period caprica NinjaTrader Programming 1 July 28th, 2009 02:43 PM


All times are GMT -4. The time now is 01:23 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.15 seconds with 20 queries on phoenix via your IP 54.145.16.43