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New Idea : Time and Sales Cumulative
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Created: by omrangassan Attachments:1

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New Idea : Time and Sales Cumulative

  #11 (permalink)
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Now, coming back to your questions:


omrangassan View Post
1- does the Cumulative Delta Bars draws its bars for each askvol-bidvol candle or it adds/subtract the new candle value for the previous candle value ?

2nd option. 1st option is simply called "delta".


omrangassan View Post
2- does this ask vol/bid vol represented volume of contracts entered on market orders or limit orders waiting to be activated at each bar ?

It represents the volume traded as market orders (which is the same as the volume traded as filled limit orders, of course in the opposite direction), adding BUY and subtracting SELL.

No link with limit orders "waiting" (unfilled), which are represented by AskSize/BidSize (for the first level) and by the DOM (for all available levels).

Nicolas


Last edited by Nicolas11; August 18th, 2012 at 12:17 PM.
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  #12 (permalink)
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omrangassan View Post
attached in my last post , is T&S window picture : does the Ask Volume and the Bid Volume used for the calculation of Cumulative Delta Bars represend the contract numbers in ( volume = # 1 ) or it represent bidsize / asksize ( numbers 2 + 3 ) ?

First option. Added if green, subtracted if red.


omrangassan View Post
what am thinking is that i want to use volume ( # 1 ) : if it is green raw ( ask trade ) we add this volume , if it red raw ( bid trade ) we subtract this volume , we can draw this oscilator in many timeframes ( 10 sec , 30 sec .. etc etc ).

What you describe is exactly cumulative delta.

Nicolas

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  #13 (permalink)
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Nicolas11 View Post
First option. Added if green, subtracted if red.



What you describe is exactly cumulative delta.

Nicolas

Thats Great Nicolas.

Thanx for you : you give me the answer I wish to get , best for you.

mmm .. what I was think about is the same Cummulative Delta.

Nicolas : It seems that you really understand the microstructure if markets .. How many years you\v been in markets ? what market you trade ? do you trade prfitability ?

best regards

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  #14 (permalink)
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omrangassan View Post
mmm .. what I was think about is the same Cummulative Delta.

So... it was not a new idea. But it was a good idea!


omrangassan View Post
Nicolas : It seems that you really understand the microstructure if markets .. How many years you\v been in markets ? what market you trade ? do you trade prfitability ?

Thanks for this compliment, but it is a bit embarrassing when you also have received answers from real specialists as @DionysusToast. (To put things clear: I'm aware that he is a vendor. I know nothing about his products except having a look on his Web site. I do not even have NinjaTrader.)

I have been researching/trading full time for 10 months.
My journey is described in my journal.
To put it short, my path has been: automation --> indicators --> price action --> supply/demand -> ...
Recently, I have decided to change my trading completely, and switch from a "bar-to-bar" approach to "only trade at pre-defined levels of interest".
I was looking for "triggers" to enter a trade at a pre-defined level.
It is how I discovered delta, footprint, tape reading, DOM reading, market-making, micro-structure, etc.
I entered into this world only a few days ago. It is really a revelation for me.
I do not trade yet from this basis. I am now in a learning phase.
But I am pretty sure that it will be the core of my trading when I will resume.
Probable instruments among: DAX, 6E, CL, ES, YM, TF, GC, SI (not all at the same time - I will choose later)

Best wishes for your trading,

Nicolas

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  #15 (permalink)
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Nicolas11 View Post
So... it was not a new idea. But it was a good idea!

Well - if you have ideas like this independently, don't stop thinking because the next one might be a breakthrough!

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  #16 (permalink)
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DionysusToast View Post
Well - if you have ideas like this independently, don't stop thinking because the next one might be a breakthrough!

Thanx Peter ;

I have now got that DionysusToast himself Peter ( jigsawtrading ) .. as I have sent him an email before 3 days.

Thanx Peter for your website which was my first place to read about such subject .. great.


thanx Nicolas for your help.


Honestly : I'm using Sentiment in my Analysis and I trade only ES where I find myself to start FEEL the ES in my Unconscious.

Anyhow : May we take our discussion here a step further ..

Do T&S help us to trade the bigger timeframes ( like 1 hr , 2hr , 4 hr ) as I feel that trading mini timeframes ( 1 min , 5 min ) is nervousy and I feel that it doesn't make sense to trade mini timeframes ?

I'm not sure if am right , but that what i feel about trading mini timeframes ( or : let me say that it does not suit my mentality ).

let us discuss each one ability to use T&S data for catching nice moves ( and lets make specialy for ES ).

I'll appreciate all comments.

regards

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