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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)

  #81 (permalink)
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rocky9281 View Post
Talking of softwares, does anybody know how to access the historical time and sales data from the eSignal database, without using eSignal software?

Can it be done by using amibroker or ninjatrader or any other platform? If yes, kindly tell me the procedure.

I dont know if historical time and sales would be accurate, I wount trust it. What I do is I have a program that records my screen. 4 hours is like 700mb. Not bad. Later in the day you can study it.

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  #82 (permalink)
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pbylina View Post
I dont know if historical time and sales would be accurate, I wount trust it. What I do is I have a program that records my screen. 4 hours is like 700mb. Not bad. Later in the day you can study it.

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 01:41 AM.
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  #83 (permalink)
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rocky9281 View Post
I think the market always move towards the direction where large orders lie.

The large limit orders are not aggressive. They waiting for price to come to them. Market orders are aggressive. They moving the market not the limits.

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  #84 (permalink)
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pbylina View Post
The large limit orders are not aggressive. They waiting for price to come to them. Market orders are aggressive. They moving the market not the limits.

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.

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  #85 (permalink)
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Which products do you trade?

 
Couple of things here.

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).

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  #86 (permalink)
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Why is tape reading not working?

Why is tape reading not working?

In this TICK chart, I have marked all the block trades for that day, as they appeared in the time and sales window.


# 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.

What's wrong????

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?

5.Do the pros support the price after buying ?

Seniors and experienced members please help

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Tape is my shape (tape reading, time and sales)-block_trades.jpg  
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  #87 (permalink)
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rocky9281 View Post
There were many large volume trades which didn't yield a legitimate move in their direction.

What's wrong????

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.

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  #88 (permalink)
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rocky9281 View Post
Why is tape reading not working?

Rocky, I dont know how the orders work in the indian stock exchange but if you read the beggining pages you can understand how CME works.

Example
At the best Ask there is a 100 lot limit. The public with there 1 lots buy at market. The tape prints a green 100 at ask. Would you still buy?

At the best Bid there is 100 - 1 lot limits. The pro places a 100 lot sell at market. The tape prints 100 -1 lots at bid.

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  #89 (permalink)
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pbylina View Post
Example
At the best Ask there is a 100 lot limit. The public with there 1 lots buy at market. The tape prints a green 100 at ask. Would you still buy?

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.

Second, how do you know it's "the public"?

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  #90 (permalink)
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josh View 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.

Second, how do you know it's "the public"?

If Pros wanted so bad to hide that they were buying then no one would ever see any big lots. Just my opinion.

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