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Tape is my shape (tape reading, time and sales)
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Tape is my shape (tape reading, time and sales)

  #321 (permalink)
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rocky9281 View Post
Friends, please help me to do the following:

1. Please try to find books /websites/other resources that contains algorithms and/or codes for the algorithms that can track algos like twap / vwap /pov etc. from the Ninjatrader time and sales.

2. Please help me to find out how to integrate the above algos in the ninjatrader application (T&S).

Lets take this seriously, it will be rewarding.

If you have any doubt/confusion regarding what I am doing, look into post # 201 by DionysusToast

I dont think there is any software available for buy for tracking algos. We gonna need to think of what we need and have it custom programmed. A good Idea for an Indicator is DefaultUser's "TickerTape". You know how the DOM Limits are changing. Well, if it goes from 150 to 130. Then it shows -20. Either 20 lots got pulled or 20 lots got printed. It would be nice to only show -20 if DOM level went from 150 to 130 and a 20 lot didnt print. It would show true PULL. If you keep seeing pulls it might be people are getting scared. Another piece of useful information. Just an Idea. The more information on what the 3 groups of traders are doing the better. If you have any other ideas for indicators share your idea.

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  #322 (permalink)
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DionysusToast View Post
LOL! Something to look forward to.

Cumulative delta is similar but it's static. Still - it could certainly be considered a 'higher timeframe tape'. With lesser detail that higher timeframe implies. I use CD myself.

The Tape has always been a list of trades flowing past, so it's the analysis of that order flow that is tape reading. If you don't see trades flowing past, you aren't tape reading.

I'm grateful for your input DionysusToast and all.

If I may ask, when you say "If you don't see trades flowing past....." ,
how dissimilar is that flow to an increase in volume ?
What I mean is aren't we seeing an increase in flow, by an increase in volume ?
(by volume I mean seeing an increase on a basic volume histogram for example).
I would think we would, they are one of the same no ?

Thx

Every moment I wake up I realize I know nothing, and then I smile...
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  #323 (permalink)
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pbylina View Post
I dont think there is any software available for buy for tracking algos. We gonna need to think of what we need and have it custom programmed. A good Idea for an Indicator is DefaultUser's "TickerTape". You know how the DOM Limits are changing. Well, if it goes from 150 to 130. Then it shows -20. Either 20 lots got pulled or 20 lots got printed. It would be nice to only show -20 if DOM level went from 150 to 130 and a 20 lot didnt print. It would show true PULL. If you keep seeing pulls it might be people are getting scared. Another piece of useful information. Just an Idea. The more information on what the 3 groups of traders are doing the better. If you have any other ideas for indicators share your idea.

One very interesting idea I saw from an EOTPRO webinar, was an indicator that looked for pulled orders. They said it seemed to show a spike of canceled orders just before reversal moves pretty consistently. The idea behind it is to call the bluff of large players trying to manipulate the market by fooling traders into thinking they are interested in one direction, only to pull all those orders at the last minute when price approaches those orders. I think such an indicator might be able to predict continuation and reversal patterns based on what the big players are trying to do.

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  #324 (permalink)
Market Wizard
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monpere View Post
One very interesting idea I saw from an EOTPRO webinar, was an indicator that looked for pulled orders. They said it seemed to show a spike of canceled orders just before reversal moves pretty consistently. The idea behind it is to call the bluff of large players trying to manipulate the market by fooling traders into thinking they are interested in one direction, only to pull all those orders at the last minute when price approaches those orders. I think such an indicator might be able to predict continuation and reversal patterns based on what the big players are trying to do.

Order pulling is part of the process of "flipping" the market.

In summary:

1 - Close to the high of the day
2 - Stack the offers with a lot of volume to get people to think the market is going down (double top)
3 - As people sell, icebergs on the bid suck up all that selling
4 - let the market down 3-4 ticks, people still selling, they think their selling is having impact
5 - pull the offers, stack the bid - put new offers 2-3 ticks above the high of day
6 - start hitting the market with buy market orders
7 - shorts realise what happens, cover their positions, market makes a new high & the 'flipper' is done

Of course - in this case, the pulling of orders is key to identifying the reversal.

So - I agree - the pulling of orders is very often present in a reversal BUT the pulling of orders is very often present all the time.

So - whilst many reversals have orders being pulled. Orders being pulled does not always mean a reversal.

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  #325 (permalink)
Market Wizard
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zt379 View Post
I'm grateful for your input DionysusToast and all.

If I may ask, when you say "If you don't see trades flowing past....." ,
how dissimilar is that flow to an increase in volume ?
What I mean is aren't we seeing an increase in flow, by an increase in volume ?
(by volume I mean seeing an increase on a basic volume histogram for example).
I would think we would, they are one of the same no ?

Thx

Let's say you are looking at 10 min bars and an average volume of 6000 contracts per bar.

Then you see a rush of sell orders with a move to the downside and suddenly there's no more selling. Interest has dried up.

You may at this point be at minute 7 of your 10 minute bar and there may be 4000 contracts on your volume histogram.

You will simply not be able to see this on the histo. It's not significant there but it is significant on the Tape. This is one of the reasons you need to read Tape if you want to read Tape. You can't boil it down to an indicator because the things it shows you are quite subtle.

Like I say - the thread is moving towards indicators/programs as a substitute to using the Tape. Tape reading is very hard. It takes weeks/months before you get something meaningful out of it.

Dumbing Tape down into an indicator is not going to be a substitute for the hard work required to read Tape.

Note that this is not aimed at you specifically. Just a general comment.

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  #326 (permalink)
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DionysusToast View Post

Like I say - the thread is moving towards indicators/programs as a substitute to using the Tape. Tape reading is very hard. It takes weeks/months before you get something meaningful out of it.

Dumbing Tape down into an indicator is not going to be a substitute for the hard work required to read Tape.

Note that this is not aimed at you specifically. Just a general comment.

i am agree
tape reading is very hard and it takes 3-6 months to get something, and TR is bigger than just a big orders. This thread exist to all of you share your ideas and expirience in TR.
I just show my methods and this is just my frame of TR.
In general there are few important things in TR you have to learn
1) Pace of the tape
2) Behavior ( bullish or bearish)
3) Tops and bottoms
4) Entering the trade and exit the trade
5) Would be brakedown or not
6) Important prices

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  #327 (permalink)
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In the begining of Learning TR watch it only then price come to important price levels.
Switch all your BID ASK prints to one color. As the price near the important price level watch how tape behave itself and recording a video. Do it 5 days of the week and upload to this thread. I ask you to do so we could start to learn something and do not only talking)))
If this is not possible than at least screen shots and discribe your observations.

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  #328 (permalink)
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bloom View Post
In the begining of Learning TR watch it only then price come to important price levels.
Switch all your BID ASK prints to one color. As the price near the important price level watch how tape behave itself and recording a video. Do it 5 days of the week and upload to this thread. I ask you to do so we could start to learn something and do not only talking)))
If this is not possible than at least screen shots and discribe your observations.

Who you asking to do it?

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  #329 (permalink)
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pbylina View Post
Who you asking to do it?

everyone who want to learn TR and use it in practice

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  #330 (permalink)
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bloom View Post
In the begining of Learning TR watch it only then price come to important price levels.
Switch all your BID ASK prints to one color. As the price near the important price level watch how tape behave itself and recording a video. Do it 5 days of the week and upload to this thread. I ask you to do so we could start to learn something and do not only talking)))
If this is not possible than at least screen shots and discribe your observations.


bloom View Post
everyone who want to learn TR and use it in practice

How long should we make video? Back to black and white? ok

Ive posted video/screenshots, we still have more to learn then that?

I think I know what pulled orders looks like on Tape:

45 45 45 45 45 45 45 45 45 45 [46 46 46 47 47 47 48 48 48 ] 49 49 49 49 49 49 49 49 49 49 49 49

Rocky and Bloom make videos/screenshots too. So we get a more practice and become Pros sooner.

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