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Money Flow Indicator
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Money Flow Indicator

  #1 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
Broker/Data: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Favorite Futures: Futures
 
aventeren's Avatar
 
Posts: 202 since Mar 2013
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Money Flow Indicator

Howdy; I'm looking to create a Birinyi Money Flow indicator that looks at each individual trade's volume and price to indicate the current money flow status. The generic MFI TOS study uses only the average of the high, low and close in the calculation of the MFI, which leaves out WAY too much information about cumulative impact of each trade on the running money flow into or out of a given stock.

To accomplish this indicator, I need to first have the study grab a time-sequenced log of each trade's volume (# share) and price ($/share), and then cumulate all trades to generate a cumulative money flow.

If I cannot do this in TOS, does anyone know of a different trading platform that will allow me to grab individual trade data (time-sequenced, volume, price) so that I can build this indicator?

Thanks!

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  #2 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
Broker/Data: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Favorite Futures: Futures
 
aventeren's Avatar
 
Posts: 202 since Mar 2013
Thanks: 426 given, 191 received

Update: TOS says that individual trade data is not available to use

Hello--

I just got through with an email exchange with TOS thinkscript support, and they are indicating that I can only view the trade data (ie, via the "Time and Sales" tab) and that I cannot export or use the trade data.

Does anyone have any experience using time-sequenced trade data (volume, price) to calculate an indicator either on TOS or another trading platform? Is this possible on TradeStation or NinjaTrader?

Thanks!

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  #3 (permalink)
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Hi aventeren,

Did you get your question answered? I'm also looking to do the same thing. I'm looking at doing this with NinjaTrader and Kinetick historical tick data. I suspect @gomi's package would help with this, but I am still trying to figure out how to use it.

Thanks,
Chris


Last edited by ganamide; September 7th, 2013 at 05:21 PM.
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  #4 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
Broker/Data: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Favorite Futures: Futures
 
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Posts: 202 since Mar 2013
Thanks: 426 given, 191 received


ganamide View Post
Hi aventeren,

Did you get your question answered? I'm also looking to do the same thing. I'm looking at doing this with NinjaTrader and Kinetick historical tick data. I suspect @gomi's package would help with this, but I am still trying to figure out how to use it.

Thanks,
Chris

Sorry Chris, I never did--and I moved over to NT7 and am no longer looking at MFI, so I'm at a loss for how to help.

Good luck!

Aventeren

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  #5 (permalink)
Elite Member
Los Angeles, CA, USA
 
Futures Experience: Intermediate
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Thanks: 151 given, 86 received


aventeren View Post
Sorry Chris, I never did--and I moved over to NT7 and am no longer looking at MFI, so I'm at a loss for how to help.

Good luck!

Aventeren

Thanks for the info Aventeren. I will provide my findings here in case anyone is looking for the answer.

It does look like the GomRecorder package supports the Birinyi type money flow indicator if you use GomCD in uptick/downtick mode.

If you are happy with very short term data, you can use GomRecorder with any good tick feed, however, some of the Gom indicators need bid and ask data to work. You just use any of the included indicators that implement the recording feature on your NT7 chart and it will record ticks as they arrive in real time and it will build up the data files only while you have the chart up with incoming real time data.

If you want more historical data or if you want to fill any gaps that occur during real time recording, then you have to do some work because GomRecorder will not use NT7 backfilled data to populate its own data store. NT7 promotes Kinetick as its preferred data feed and on the surface it looks like a good deal, however, there is no api interface to the data feed and NT7 will not let you export the historical data in a format that can be used properly with the GomRecorder suite of tools.

One popular setup for getting suitable historical data is to use IQFeed paired with QCollector. Looks like GomRecorder might be able to read QCollector files directly now, but if it doesn't, then you can use the conversion tools provided by gomi to create data files that GomRecorder tools can use.

There is also a tool available in this forum called BaBAR that can make the job of collecting real time data easier. Instead of relying on an NT7 chart with a GomRecorder indicator to collect the data, you use BaBAR to collect it directly from IQFeed. This avoids the problem of NT7 charts reloading or NT7 losing connection to the feed, both of which would cause a break in the recorded data.

It is a steep learning curve, but I think it is worth it if you want to save a few bucks or if you like customizing your trading tools, plus you will have your own clean data store that you can use in any way you want.

If this all sounds too complicated and you don't mind spending some extra bucks, you could just use Investor/RT with its similar indicator called Volume Breakdown.

Happy Trading!

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  #6 (permalink)
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