Please tell me in details. What is the program that you use? Please guide me how to install it and use it.
Can you share the .exe file here?
Another thing, since you re using Ninjatrader, you may be able to save live time and sales data in notepad. Please verify this. I believe that Ninjatrader has this setting. That will save a lot of space.
Last edited by rocky9281; June 18th, 2011 at 12:41 AM.
Yes, but just as when someone in real life flashes a big offer for something, the tendency is for buyers to want to test to see if it's real or a bluff. If there is a large group of offers, buyers will tend to push to that level to test the offers, and vice versa. No one said that limit orders directly move price.
1) Reading this thread makes my head hurt. Holy syntax batman. I realize ESL is a challenge (or translation) but this thread is more difficult than reading a youtube comment string.
2) Noteworthy is that volume alone can be misleading. Price action combined with volume will indicate the relative ease or difficulty the market is allowing. An analogy would be whether the market is moving through air or water or tar. A large volume injection may or may not have a propensity to move the market in typical fashion depending on how long the price has been allowed to grow stale. That's why you see such whipsaw effects in high volume instruments, because when a large input moves and there's a reaction, it's usually because there's not a sufficient density of presets available to slow it down. In essence, when the price loiters, it allows the market to adjust and establish support and resistance around it. This is the same concept behind consolidation and eventual breakouts, when the volume is sufficient, it breaks out beyond the tightening support/resistance.
My personal feeling is that a lot of retail traders get impatient and begin moving their orders after awhile. It's even more pronounced when the price lingers and someone is in a position (nothing more nailbiting than being in a long position and having it hover just under your profit target...eventually, you cry uncle and inch your exit closer and closer).
The following user says Thank You to RM99 for this post:
# The volumes that are red,occurred at bid
# The volumes that are green,occurred at ask
# The volumes that are black,occurred inside bid and ask.
I have assumed that trades above 10,000 size as block trades. The total volume for that day was 5,035,618.
There were many large volume trades which didn't yield a legitimate move in their direction.
1.Aren't these blocks large enough?
2.Aren't the pros playing intraday?
3.Are the market makers playing against the pros?
4.Are the bid side trades wrongly showed as ask side trades (and vice versa) in the time and sales?
You're beginning to see the incorrect logic of trying to associate "big order" with "right direction." Remember that for every large market order, someone else is on the other side of it, absorbing it. It's not that tape reading is not working, it's that you are making assumptions which simply are not correct. You said you've been working on tape reading for about a week. Do you really think that people who pay millions of dollars for software designed to hide their intentions by using complex algorithms can really be found out so easily from a time and sales window, much less by someone who has been looking at it for such a short period of time? Honestly, the earlier posts between some of you guys simply doesn't make sense, and you're drawing incorrect conclusions from what you're seeing I'm afraid.
The following user says Thank You to josh for this post:
This is incorrect--with a 100 lot offer and 100 separate 1 lot market buys, the tape will print 100 separate 1-lot transactions at the offer. If a 100 lot market buy was placed instead, then it would print one transaction with a size of 100 at the offer.