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Order Flow & The Balance of Trade - Then & Now
Started:May 24th, 2011 (11:48 AM) by T1P1 Views / Replies:3,590 / 11
Last Reply:May 24th, 2011 (08:33 PM) Attachments:0

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Order Flow & The Balance of Trade - Then & Now

Old May 24th, 2011, 08:23 PM   #11 (permalink)
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T1P1 View Post
A buyer for every seller implies balanced trade and if you ever spent a day in the pits of the past you would have learned how very seldom trade is in complete balance = "no such thing as buying volume or selling volume."

If there is no such thing as buying volume or selling volume then trade must always be in balance and there can also be no such things sentiment or momentum. I say there is and that the indicators above do a pretty good job of calculating both.


Are you saying that trades occur with only a seller and no buyer? And vice-versa?

Now - of course there is buying pressure & selling pressure, there is aggression which can manifest itself in market orders OR limit orders. There is of course momentum.

Still the fact is that a trade cannot take place without both a buyer and a seller.

With Tradestation, you cannot programmatically identify if a trade has hit the bid or the ask. Therefore the best you can really do is to identify which bars/ticks increased in price and use that volume as buying volume and the opposite to selling. Any greater degree of accuracy is problematic with the Tradestation feed.

So, in reality, the type of microsecond accuracy you are discussing isn't something Tradestation can be used to track.

I am not saying these indicators are invalid, just that you sure are blowing smoke up our rear ends...


Old May 24th, 2011, 08:33 PM   #12 (permalink)
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