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Ninja Trader Custom Order Book - 1LDom - Source Code
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Ninja Trader Custom Order Book - 1LDom - Source Code

  #281 (permalink)
 Vendor: the1lottrader.com 
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Hi @futuretrader

I think it will be unreliable if you are looking to use one of the data series in relation to another, like what was the volume in relation to the bid but I think unless I was mistaken that @Trafford was just interested in seeing the totals of bid types and ask types. Which in that case I'm not sure it would be a problem so long as the series is date stamped correctly.

If you want to use them in relation like volume in relation to the bid or volume in relation to the ask at a specific point in time then yes it is another kettle of fish.

1Lot

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  #282 (permalink)
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1LotTrader View Post
Hi @futuretrader

I think it will be unreliable if you are looking to use one of the data series in relation to another, like what was the volume in relation to the bid but I think unless I was mistaken that @Trafford was just interested in seeing the totals of bid types and ask types. Which in that case I'm not sure it would be a problem so long as the series is date stamped correctly.

If you want to use them in relation like volume in relation to the bid or volume in relation to the ask at a specific point in time then yes it is another kettle of fish.

1Lot


@1LotTrader

You are correct I was purely referring to totals of bid and ask for each of the columns that you currently use to populate with total volume. As I cannot code I will have to wait until you have some spare time. Many thanks in advance.

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  #283 (permalink)
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Trading New Orders&Order Book&Steidlmayer


Hi all

I joined this forum priamarily because i saw on the 1Lot trader blog that further discussion about the book are on this forum. I read every page of this thread up to thread 21 and it was a time consuming but certainly very good reading with value. Firstly, i want to publicly thank to 1Lot trader for order book because its great job, it certainly provides huge value and it is a proof of his generosity towards humanity - for real.

Now i want to kinda shortly introduce myself - dont worry, no essays
Well, i am 24 years old, currently studying at University, working on my bachelor thesis and so on. Besides, i am into trading from 2007. So i had my first account when i was 19 and i was very naive from the beginning and what is the worst - i chose spot forex which is in my opinion the worst thing to trade because there is no centralised exchange so you have no volume information and spot forex platforms like FXCM are nothing in comparison with futures "things". So at first i made 300% but the crisis started and i gave half of account to pros. Then i had a pause because i was psychologically damaged but i put together new funds and started again spot forex because i simply had no valuable information about trading and trading on the other exchanges in general. So in 2010 - 2011 i traded live almost full year but again i blew account and again i was psychologically damaged

I realized i simply need new approach, methodology, inspiration, attitude, i knew that somehing is just wrong Anyway at least i got to the better information about markets and trading so i chose futures trading this time, i have NT platform with GF, i have funds there but i have been practising just on sim for almost 10 months. I learnt about volume and i started to trade volume spikes but i saw quicky that market conditions are changing and what worked for 2-3 weeks simply did not work in the futures conditions. Then i started to learn some info about Level II analysis and i was pretty attracted to this "thing"

I read some interview with Paul Rotter when he said that you need watch the order book for very long time in order to succeed. So i opened standard L2 in NT but it simply did not make any sense to me and i knew that there is information missing - i was half blinded. So i tried to google order book and i found 1Lot Traders blog and i asked him how to incorporate order book into my NT because i liked it from the first sight because i saw that it is much advanced in comparison to standard thing in NT.

So i try to learn this thing and cumulative volume profile for current day is good for make "view" on the market for current day. I saw this presentation from Mr. Steidlmayer, its 2 hours long and i would quite like to see your feedback on it, its about volume, trading order flow, nre orders and he claims that there are no supports/ressistances in the market and buying into area of heavy volume is trading the past :

I cannot post links because i did not make 5 posts but its available via CME page and its called Volume: The Key to Understanding Today's Market - its from the 2011/summer - i am sure you will find it there.

Its very valuable thing - i think everyone who will see this - it binds you to THINK about trading - really think. I think watching this for 2 hours will be time worth investing for you all. Please write here your feedback on the forum in this thread and share your thoughts how it could be incorporated into Order Book trading.

Thanks.

Also, pleas, can anyone tell me how you interpret/use the previous 3 columns for entries/exits ? I am still bit confused but i have an idea to use it with conjunction of Steidlmayers idea to trade new orders, in other way, e.g. to buy into rally where new volume comes in - i mean not just cumulative volume as the last column, i mean those previous 3 columns. Or also it can be used as rejection.

Anyway, watch the presentation first and then we can discuss.

Matej/Matthew/Matt

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  #284 (permalink)
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Correction

Guys, sorry its not from Summer 2011 but from Summer 2012 but i tried to copy Volume: The Key to Understanding Today's Market into search module on the CME webpage and it directly showed me the list - the first result is the presentation :

Steidlmayer Expands on Interactions Between Volume and Price

J. Peter Steidlmayer has been a Chicago Board of Trade member for over 40 years. He developed a mainstay of market analysis, Market Profile, and has been a thought leader in how markets behave. Steidlmayer expands on his presentation from last year (2011) and presents his insights regarding how volume interacts with price. He discusses:

Topics include:

Trading as an important tool to deal with todays “low return” financial environment
Market functionality – past and present
How the commonly held concept of futures trading as a “zero-sum” situation may not be entirely correct
What he believes should be the proper approach to trading todays markets

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  #285 (permalink)
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pretty well everyone interested in MP has seen this

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  #286 (permalink)
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shortski dont get me wrong but i dont know whether you did see it but it is definetely NOT about market profile, alright ? Steidlmayer clearly stated that MP is outdated. Its about volume, price, trading new orders and orientate to the future, not to the past.

I post it here as a valuable content with conjunction with trading with order book with regard to sharing the feedback on the presentation and ideas how to be better trader.

Pleas stick to the framework. Thanks

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  #287 (permalink)
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Adiratus View Post
Guys, sorry its not from Summer 2011 but from Summer 2012 but i tried to copy Volume: The Key to Understanding Today's Market into search module on the CME webpage and it directly showed me the list - the first result is the presentation :

Steidlmayer Expands on Interactions Between Volume and Price

J. Peter Steidlmayer has been a Chicago Board of Trade member for over 40 years. He developed a mainstay of market analysis, Market Profile, and has been a thought leader in how markets behave. Steidlmayer expands on his presentation from last year (2011) and presents his insights regarding how volume interacts with price. He discusses:

Topics include:

Trading as an important tool to deal with todays “low return” financial environment
Market functionality – past and present
How the commonly held concept of futures trading as a “zero-sum” situation may not be entirely correct
What he believes should be the proper approach to trading todays markets

Adiratus you are on the right track, best grounding for the order book is a background in market auction theory and Steidlmayer was one of the big pioneers.

Try not to get caught up in too much theory though. I have been there myself, trying to work out the market is pretty much a waste of time. Reason being that it is ever changing, ever evolving. Todays big money is tomorrows big losers. The market cannot be any other way, if it was then it would cease to exist.

My advice is get the basic grounding and then learn to work on yourself and your ability to evolve with the market. This really is fairly simple theoretically and doesn't take a genius to understand but can be much more troublesome to implement.

So here it is, rules are simple:

1. Take small calculated risks
2. Look for big rewards and press your advantage whenever possible.
3. Record your actions
4. Review your actions
5. Learn from your mistakes.
6. Rinse and repeat over and over and over.

The tools you choose to implement your plan are actually not all that important so long as they suit and give you confidence to implement your plan. That is why my number one thing I say before everything else. Keep it simple! well maybe No. 2, No. 1 is manage your risk

For me the order book is a beautifully clean and simple tool, which explains my preference - it aligns with my own personal principles. Not really that I believe there is any particular magic too the book itself or the theory behind or whatever.

The answer is in your ability to consistently carry out steps 1 to 6 on a daily basis.

1Lot

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  #288 (permalink)
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@Adiratus

yes, I am aware that Steidlmayer talks about volume at different levels. I was merely referring to the look and the strategy that is presented in the video being Market Profile like so that traders of that bent would have viewed it already as it is quite old. I don't need to be chastised via

"Pleas stick to the framework"

Thanks for your input though.

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  #289 (permalink)
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Adiratus View Post
shortski dont get me wrong but i dont know whether you did see it but it is definetely NOT about market profile, alright ? Steidlmayer clearly stated that MP is outdated. Its about volume, price, trading new orders and orientate to the future, not to the past.

I post it here as a valuable content with conjunction with trading with order book with regard to sharing the feedback on the presentation and ideas how to be better trader.

Pleas stick to the framework. Thanks

Was discussed already in the main Volume Profile and Footprint thread:
https://futures.io/elite-circle/20727-volume-profile-footprint-discussion.html

There is also a thread with someone working to implement his new volume strips setup.

Mike

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  #290 (permalink)
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@ 1LotTrader

Appreciate your post

However, there is one problem which i see from your 6 points you mentioned. I have no problem with other points. I consistently make trading journal about every trade and i also make print screens, i analyze my mistakes.

However, the word "mistake" is a problem here. Because how can i know for sure that it was my mistake that trade was a loosing one ? And when i watched the Steidlmayers presentation i liked what he said :"You need to take a chance, dont try to be perfect, there is no good price, there is just good situation on which you can make the trade."

My intention is NOT to "blabber" intelectually about the thing. My point is : Are you always on 100% sure whether you made a mistake? Can you tell with perfect confidence that you KNOW what was your mistake ?

Honestly, i think this is impossible. I saw many times when i analyzed the bad trade, what did i make wrong and i simply could not tell what. In todays environment, with algo/HFT trading/flash crashes when market is much more vertical than before, i think its much more difficult to analyze mistakes than before, because the most volume is at top of the range and on the bottom of the range, thus MP is outdated per se. He put it pretty well i think that there is a lot of danger in the markets now and there will be increasing amount of flash crashes because big money cannot hold their position for a long time.

And that is perhaps my psychological problem that i am perfectionist in life, i simply want to have things "in order" and in trading it is impossible. E.g. i made a scientific research for my bachelor thesis and it is primary research which had not been done before by anyone in my country. I just setup up the plan, act accordingly and in linear fashion i was able to gather information, i can made statistics and so on...I simply KNOW how to do it and i do it.

And trading - thats simply beyond this because its constantly changing environment, you cannot be scientific about it per se and think in linear fashion. Therefore i am still practising just on SIM because i see that currently i still did not solve my psychological issues that i cannot be "perfect" in trading and i cannot "understand" all the time what is going on.

What is remedy on this ? Perhaps just practise and practise and practise and do not expect a lot...

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