Volume Breakdown and Bid/Ask Difference studies - Sierra Chart Programming | futures io social day trading
futures io futures trading


Volume Breakdown and Bid/Ask Difference studies
Updated: Views / Replies:31,345 / 82
Created: by lolu Attachments:15

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 Ė 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 donít 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
 15  
 
Thread Tools Search this Thread
 

Volume Breakdown and Bid/Ask Difference studies

  #61 (permalink)
Elite Member
CA
 
Futures Experience: Master
Platform: Marketdelta and Ninja
Broker/Data: Velocity
Favorite Futures: NQ
 
Posts: 670 since Apr 2010
Thanks: 64 given, 521 received

thanks fulcrum.... i don't work for dtn. im just trying to help. if you don't want to use them, thats fine.

Freedom trade, i disagree with you. if you've seen the comparisons ive done with dtn and zenfire, you wouldn't say that. i've seen zen drop a couple of thousand cars worth of volume sometimes on the ym(thats alot for that contract).... that'll def impact your trading decision.
Good luck

Reply With Quote
 
  #62 (permalink)
Elite Member
CA
 
Futures Experience: Master
Platform: Marketdelta and Ninja
Broker/Data: Velocity
Favorite Futures: NQ
 
Posts: 670 since Apr 2010
Thanks: 64 given, 521 received

chrislb.... i said that bc i know people that are paper trading right now, and they don't want to pay for anything, which is understandable.. but its mainly bc they have very little capital.. less than 15k.. in which in my opinion, is not big enough to trade futures. i never said anyone that uses anything besides dtn for delta is dumb, i said its not accurate. im trying to help them so they don't lose money. I don't have time to argue with anyone , i don't know you or was giving you my opinion. I see people like gomi doing all this work, and i use his indicators.. im trying to pay it forward.


But for the last time zen doesn't give proper bid ask data. if you don't care about bid ask, then zen is fine..


Last edited by Michael.H; May 18th, 2010 at 03:11 PM.
Reply With Quote
 
  #63 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,220 received


FWIW, I think it's important to remember that in order to make money trading you don't need anything but dumb luck. Anyone can press a button on a computer and find themselves in a winning trade, even in a BIG winning trade.

The complexity comes from trying to do this on a consistent basis.

If you aren't a chef but decide to invite some friends and family over for a nice dinner, you may find that you've prepared an excellent meal and are the envy of your guests. Then you decide to do it again, only to find next time the meal sucks and should be fed to the dogs (if they'll even take it).

What changed?

I think another way to look at this is that you want to use the best ingredients possible when you are making this meal. If you have poor ingredients, you will be hampered by what you can accomplish. Then, your only going to be considered a master chef after having prepared the meal, and others like it, thousands of times. It's about consistency and experience.

What does this mean?

I think it means you can very easily make money with Zen Fire. I think you can make money with a 10-minute delayed trial feed. The question is can you do it consistently? That can only be answered by you. Perhaps you don't need bid/ask data, or don't even care about dropped volume. If in the chefs kitchen there is the choice between two tomato's, it isn't really important to decide which tomato is selected if tomato isn't going to be used in the meal.

Zen Fire can be perfectly acceptable and in fact a fantastic feed for many many traders. It has its advantages over even IQFeed (reduced latency, and better integration with NT). But if you need the tomato in your meal (the bid/ask volume), then your better off with IQFeed. If you need the tomato but can't afford to buy it, then the meal you prepare isn't going to taste the same, and all the money you spent on the other ingredients may be viewed as a "waste" because the meal didn't turn out very good because a key ingredient was missing.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #64 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,220 received

Also let me add, here is a capture of IQFeed vs. Zen Fire. This measures how many updates have been received from each feed. Both are for the same instrument, and both were started at the exact same time. You can see the SUBSTANTIAL difference in these raw numbers.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #65 (permalink)
Elite Member
Indianapolis, IN USA
 
Futures Experience: Advanced
Platform: Ninjatrader TOS Custom
Broker/Data: Several
Favorite Futures: ES CL ZB
 
Posts: 370 since Dec 2009
Thanks: 218 given, 369 received

Hi Michael,
We disagree then. And good luck to you as well.



Michael.H View Post
thanks fulcrum.... i don't work for dtn. im just trying to help. if you don't want to use them, thats fine.

Freedom trade, i disagree with you. if you've seen the comparisons ive done with dtn and zenfire, you wouldn't say that. i've seen zen drop a couple of thousand cars worth of volume sometimes on the ym(thats alot for that contract).... that'll def impact your trading decision.
Good luck


Reply With Quote
 
  #66 (permalink)
Elite Member
London
 
Futures Experience: None
Platform: MC & Ninja mainly
 
Posts: 130 since Jan 2010
Thanks: 3 given, 47 received

Might be worth pointing out a couple of random things.

If you are doing any sort of cumulative work then a fairly complete feed is pretty much mandatory. This is where Fulcrum is coming from. If you are simply looking at delta shifts around S/R you might get away with 'less'.

Unless you need to process changes in best bid best ask that occurred in between trade prints (tracking pulled limit orders for example) you don't need a full tick stream for the order book provided it is accurate when a trade arrives. Coalescing order book ticks is acceptable for some applications.

Zen uses UDP as a transmission protocol which does not have sequencing or re transmission. People will get better (or worse) results depending on their infrastructure.

Reply With Quote
 
  #67 (permalink)
Just starting out...
New York, NY
 
Futures Experience: Advanced
Platform: Sierra Charts
Broker/Data: IB/Barcharts
Favorite Futures: ES
 
Posts: 11 since Mar 2010
Thanks: 0 given, 2 received

Be happy to help


chrislb View Post
smak,
maybe you could post a 6EMO.scid file from DTN feed as zip for just a couple of days. Intraday data storage time unit should be set to 1 tick. Thanks for your help. This would show me, how far off TT-fix is compared to DTN.
Thanks for your help.
chris

when I get a chance Chris. I can send you the files, these markets are crazy and there's tons of opps right now. I have to agree with Fulcrum et al., that the best use of time is in practicing skills, not comparing feeds. If you know you have the best ingredients then you can get on with things, and it's hard enough getting your skills down pat, if that's even ever possible! But I'll help you as you like when I have some time if you still wish it. Cheers.

Reply With Quote
 
  #68 (permalink)
Trading for Fun
Germany
 
Futures Experience: Intermediate
Platform: SierraChart
Broker/Data: Velocity/TT
Favorite Futures: 6E,6B,YM
 
Posts: 54 since Jul 2009
Thanks: 6 given, 30 received

So, just to get things straight for me:

You are saying, that all retail traders using T&S in any form (tape reading, bid x ask studys, etc.) without using DTN or some high end data feed, are basing there trading on false assumptions ? And is DTN compared to the feed the bots are using accurate to a high degree ?
I used DTN for more then a year with MD and Investor/RT and I am not convinced that DTN is accurate enough to compete on this with the pros. I switched from MD to RT, because if bid x ask date is not 100% correct, volume at price is more important.
So I would like to see a comparison of bid x ask data from DTN to the most reliable feed, what ever feed this is.

It is getting off topic, so maybe this should be moved to another thread

Reply With Quote
 
  #69 (permalink)
Elite Member
sydney, nsw, australia
 
Futures Experience: Intermediate
Platform: NinjaTrader, NeoTicker, Multicharts, InvestorRT
Broker/Data: Mirus, IB, eSignal
Favorite Futures: ES, FESX, DAX, CCY
 
Posts: 42 since Aug 2009
Thanks: 57 given, 13 received

Hi Mike/Guys,

Where is E-Signal in this regard? Is it acceptable for delta analysis purposes?

Regards,

Bondi9999
(9 hrs a day, 9 days a fortnight, 9 months a year, 9 years in 10)

Reply With Quote
 
  #70 (permalink)
Elite Member
Austin, TX & Las Vegas, NV
 
Futures Experience: Advanced
Platform: Investor RT Pro, NT 7.0
Favorite Futures: ES, DAX, CL, 6E
 
FulcrumTrader's Avatar
 
Posts: 230 since Mar 2010
Thanks: 32 given, 286 received



chrislb View Post
So, just to get things straight for me:

You are saying, that all retail traders using T&S in any form (tape reading, bid x ask studys, etc.) without using DTN or some high end data feed, are basing there trading on false assumptions ? And is DTN compared to the feed the bots are using accurate to a high degree ?
I used DTN for more then a year with MD and Investor/RT and I am not convinced that DTN is accurate enough to compete on this with the pros. I switched from MD to RT, because if bid x ask date is not 100% correct, volume at price is more important.
So I would like to see a comparison of bid x ask data from DTN to the most reliable feed, what ever feed this is.

It is getting off topic, so maybe this should be moved to another thread

I am saying that ANY BID/ASK differential work you attempt (SPECIFICALLY, using Cumulative Delta, GomCD, GomLadder, orderflowanalytics.com software, marketdelta.com, etc) MUST use a proven data feed or you will get tainted data......sorry to say.

If you are only going to track price and regular volume then use any data feed you wish.......I am SPECIFICALLY talking about those traders that are working with BID/ASK differential tools in their charting for the need to use DTN.IQ feed (or a feed like CQG, Bloomberg, etc). We have found some testing even showing Esignal with problematic data at times ONLY for tracking BID/ASK data though......hope this helps.

Reply With Quote
The following 2 users say Thank You to FulcrumTrader for this post:

Reply



futures io > > > > > Volume Breakdown and Bid/Ask Difference studies

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
Analysis and comparison on different data Feeds and Platforms for Bid/Ask Studies LukeGeniol The Elite Circle 477 December 13th, 2015 01:41 PM
Volume Breakdown and Cumulative Delta cleon EasyLanguage Programming 8 November 9th, 2014 06:12 AM
Difference between ask, bid and trade quote in IQFeed forexboom Reviews of Brokers and Data Feeds 2 June 4th, 2011 08:20 AM
Volume breakdown indicator mysthars The Elite Circle 107 December 13th, 2010 03:16 PM
Question about Bid/Ask studies and Delta neko333 The Elite Circle 4 September 23rd, 2010 03:06 PM


All times are GMT -4. The time now is 09:54 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 2017-12-12 in 0.16 seconds with 20 queries on phoenix via your IP 54.221.93.187