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Smart money volume - a great example


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Smart money volume - a great example

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  #1 (permalink)
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This is a great example of large contract orders driving the ES today.

The firebrick colour shows 1000+ contract trades. The chart times are UK times.

David

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David, Where did you get the VolumeDirBins indicator. Can you export & post it here? Thanks.

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David, Where did you get the VolumeDirBins indicator. Can you export & post it here? Thanks.

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Thanks for adding the link, Mike.

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Is there a way to use the values of bin1-4 from this indicator in a strategy?

Add(new Plot(Color.FromKnownColor(KnownColor.Orange), PlotStyle.Line, "Bin1"));
Add(new Plot(Color.FromKnownColor(KnownColor.Green), PlotStyle.Line, "Bin2"));
Add(new Plot(Color.FromKnownColor(KnownColor.DarkViolet), PlotStyle.Line, "Bin3"));
Add(new Plot(Color.FromKnownColor(KnownColor.Firebrick), PlotStyle.Line, "Bin4"));

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dsherman,

Just select the output you want.

See attachment.

RJay

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when i try to use this indicator i get only one orange line do i need to go in and change the script somewhere?

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it works only in real time. The next step is built a data collector for it much like the GomCD indicator so that it can display history data.

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ah ok thanks...sharky

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sharky View Post
when i try to use this indicator i get only one orange line do i need to go in and change the script somewhere?

Sharky, I had the same experience yesterday. (I added it after the market had closed & there was no activity). When I ran a market replay,however, it started drawing the lines. I don't understand why it only displays in real time & why when you hit F5 or modify any indicator setting & hit "apply", it reverts back so a solid orange line. Wish it kept its history & wasn't only a real-time indicator.

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TheWizard

EoTpros version of this (vol splitter) had the same problem, they sorted it out back in March, it now works with old data i.e. it dosnt have to be in real time.

from move the market

"A lot of people have been wanting to practice their eotpro trading in ninjatraderís replay mode. Unfortunately, a few of our tick-by-tick indicators havenít worked for replay, though. Well, Iíve finally had time to investigate, and with the help of one of our clients, Iíve made the adjustments needed for everything to work correctly.
Hereís a screenshot of Billís arrows, and the chopometer, etc, on replayed data:"

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TheWizard

",,, Iíve made the adjustments needed for everything to work correctly.
Hereís a screenshot of Billís arrows, and the chopometer, etc, on replayed data:"

we need to get our hands on that 'adjustments'. Ninja programming skill is so lacking, too many users are able to do what they continue to reply as 'that feature is not available'.

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tellytub View Post
TheWizard

EoTpros version of this (vol splitter) had the same problem, they sorted it out back in March, it now works with old data i.e. it dosnt have to be in real time.

from move the market

"A lot of people have been wanting to practice their eotpro trading in ninjatraderís replay mode. Unfortunately, a few of our tick-by-tick indicators havenít worked for replay, though. Well, Iíve finally had time to investigate, and with the help of one of our clients, Iíve made the adjustments needed for everything to work correctly.
Hereís a screenshot of Billís arrows, and the chopometer, etc, on replayed data:"

Here’s a screenshot of Bill’s arrows, and the chopometer, etc, on replayed data:"

No screenshot. Please re-post. Thanks.

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David View Post
This is a great example of large contract orders driving the ES today.

The firebrick colour shows 1000+ contract trades. The chart times are UK times.

David

Did you modify the code? The default is 10000 trades. I changed mine to 1000. The 4 inputs don't seem to be connected to anything. It'd be nice if one could configure the thresholds with the inputs.

I've written a simulator volume splitter for tradestation. in the end I didn't find an edge there. Often the 1 lot traders would get the right direction and other times the larger traders would lead. It didn't seem reliable.

I'm looking forward to seeing what others can do with it.

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Hi Cunparis

I have also changed the default to 1000 contracts in my version of the indicator, though I can't remember if this is what I used for the image at the top of this thread.

I've also added smoothing via an SMA to each of the plots. It helps a bit with the interpretation of the chart.

I added this code to the OnBarUpdate section (plus the smooth variable and the new plots in the Initialize section):

 
Code
                            
            SmoothBin1.Set(SMA(Bin1Math.Min(smoothCurrentBar))[0]);
            
SmoothBin2.Set(SMA(Bin2Math.Min(smoothCurrentBar))[0]);
            
SmoothBin3.Set(SMA(Bin3Math.Min(smoothCurrentBar))[0]);;
            
SmoothBin4.Set(SMA(Bin4Math.Min(smoothCurrentBar))[0]); 
David

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Hi Cunparis

I have also changed the default to 1000 contracts in my version of the indicator, though I can't remember if this is what I used for the image at the top of this thread.

I've also added smoothing via an SMA to each of the plots. It helps a bit with the interpretation of the chart.

I added this code to the OnBarUpdate section (plus the smooth variable and the new plots in the Initialize section):

 
Code
                            
            SmoothBin1.Set(SMA(Bin1Math.Min(smoothCurrentBar))[0]);
            
SmoothBin2.Set(SMA(Bin2Math.Min(smoothCurrentBar))[0]);
            
SmoothBin3.Set(SMA(Bin3Math.Min(smoothCurrentBar))[0]);;
            
SmoothBin4.Set(SMA(Bin4Math.Min(smoothCurrentBar))[0]); 
David

Could you export & post the entire indicator, please? Thanks!

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David View Post
This is a great example of large contract orders driving the ES today.

The firebrick colour shows 1000+ contract trades. The chart times are UK times.

David


If you have more examples could you please post them? I'd like to see if the chart you posted was a very good day for this indicator or if it was typical.

How long have you been using it?

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Quoting 
How long have you been using it?



I'm not using for trading at the moment - just running it on different charts to see if it has any real value.

I've just taken this image of it running on a 1 range chart of the ES today. It's the standard indicator with the firebrick plot set to 10,000.

You can see that it did give a brief forward signal to the change in trend that I've marked with the blue line, but that was only one bar advantage on a 1 range chart.


Quoting 
Could you export & post the entire indicator, please? Thanks!

I've messed my version of the indicator around a lot to try and add it into an ATS, but I'll revert it into a form suitable for uploading tomorrow.

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1r is just too thin try 4r instead.

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the 1000 lot traders must be on vacation. It didn't seem very useful today.

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trend is down.

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cory View Post
trend is down.

One could tell the trend is down without the volume bin indicator. And if you apply the above/below 0 to the original chart in the first post you could only conclude "the trend is up". Not very useful.

In studying the first chart, you can see that the large traders missed a turn by a long time. They kept shorting while the market was moving higher. Eventually they gave in and started buying.

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Hi,

I want to share some thoughts on volume.

Please do not take this personally. if you disagree, say so.

I had studied volume for a little while and it is my personal belief that traders of all sizes that place their trades at the current bid and ask may not be as smart as some traders.

I believe the "smart traders" place their orders, based on their criteria, above and below the market, and wait for the market to come to them.

I have seen 1000 contract traders jump into the market and loose 100,000 dollars in just a few minutes. I have seen this happen over and over again.

Contrary to what EOT says, being a large trader does not make you a smart trader.

I can post screen shots to prove this.



Question, is this indicator showing only the trades placed at bid and ask?



Thanks,

RJay

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RJay View Post
Please do not take this personally. if you disagree, say so.
I had studied volume for a little while and it is my personal belief that traders of all sizes that place their trades at the current bid and ask may not be as smart as some traders.

I believe the "smart traders" place their orders, based on their criteria, above and below the market, and wait for the market to come to them.

I totally agree with you and your experience is similar. For one thing there is the question fo timeframe. A 1000 lot trader could be trading on a weekly chart and price could have just hit his limit (as you explained, they could have that order there already).

Second thing is motive. Commercial traders use the futures to hedge their portfolios.

From what I observed, different trader groups were "right" at different times. The question is what is right? for a swing trader right might be totally different than a day trader which might be different than a scalper. For my purposes, I go for 2-4 pts on ES with trades lasting 5-30 minutes. I found no one group consistently did best for me. It's easy to pick out examples where one group is "right" but often on the same chart there are cases where this group was "wrong".

Overall I now just use total volume. large volume traders get more weight but there are fewer of them so in the end I think it evens out. A lot of times I think it's the traders trading 10-20 contracts who are smart. They're not beginners and they're not hedging big portfolios. It seems to be the right threshold for a successful trader. But that's just my observation, I only followed this for about 2 weeks before I moved on.

One other thing that could be interesting: I wrote an indicator to show what % of volume each trade group is responsible for. That shows who is participating in the market. For example if the market is going up but large traders are not participating then it's suspect. I thought it'd be useful but I couldn't really make much of it so I ended up just focusing on the tools I have. But if anyone wants to comment on this idea I'd love to get feedback on it.

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Quoting 
A lot of times I think it's the traders trading 10-20 contracts who are smart. They're not beginners and they're not hedging big portfolios. It seems to be the right threshold for a successful trader.

Interesting, as I was looking at the 50 + trades for the same reason, which is why I wanted to see how it worked on the 1 range chart.

Intuitively, this sort of volume study should provide a tradeable edge, however having watched it for several sessions, there does not appear to be a consistent signal that you could reliably use as part of a trading decision.

I'm moving away from it too.

David

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Leave no stone unturned.

I think I can reproduce these indicators based on the description.

Created by Camtasia Studio 6

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RJay View Post
Leave no stone unturned.

I think I can reproduce these indicators based on the description.

Created by Camtasia Studio 6

I just watched the video. Thank you for sharing. Most of my trading is based on volume so I'm very interested in this approach. His indicator idea seems pretty simple, I was thinking I could probably figure it out too. There are some very talented programmers here, I'm sure we could come up with something. I know how to program for Ninjatrader but I have no idea how to do bid/ask stuff.

I'm curious if you joined his program? $2000 is too expensive for me. Not too long ago I signed up for one of these I dropped out after a month cause there was not much there.

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cunparis View Post
I just watched the video. Thank you for sharing. Most of my trading is based on volume so I'm very interested in this approach. His indicator idea seems pretty simple, I was thinking I could probably figure it out too. There are some very talented programmers here, I'm sure we could come up with something. I know how to program for Ninjatrader but I have no idea how to do bid/ask stuff.

I'm curious if you joined his program? $2000 is too expensive for me. Not too long ago I signed up for one of these I dropped out after a month cause there was not much there.


cunparis,

When I saw his price, I laughed. Maybe I'm in the wrong business.

I plan to strip the level II info from the jdStats indicator. A formula I saw in some code on NT's forum should do the final conversion.

I just don't know how many of the bid/ask levels were used to compile the data.

The volume side should not be any problem.

Of course, if a real programmer were to this project on, I would be OK with that too.

RJay

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When I saw his price, I laughed. Maybe I'm in the wrong business.

I did a bit of googling on him. Seems he has created new websites several times, each time abandoning the old one and its customers. In the past he had a book or dvd for sale for $100-$200. They say the DVD isn't bad but it's 29 minutes long. A short DVD is a bit disappointing when that's not stated clearly upfront (he makes it look like a 4 hour trading course). He uses some kind of hi-low technique where you keep a buy stop above the last high in a declining market. The idea is to get it on a trend reversal. They said that wouldn't work by itself but he has additional filters/indicators. This new bid/ask pressure thing seems to be a new thing and so he creates a new site. Only this time it's $2000! "to reserve your seat". Yes it is humorous.

Everytime I see something for $1000+ it turns out to be uninteresting. Once bitten twice shy..

My opinion now is his example was cherry picked, but I think it's worth investigating it to see if there's anything there. I'll look at it this weekend.

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Cunparis,

tried to modify the contract numbers in the indicator source code but could find the right lines. Please let me know to do this. Thx!

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In the variables section, modify this line:

int[] binThresh = new int[4] { 5, 50, 100, 10000 };


David

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cunparis View Post
I did a bit of googling on him. Seems he has created new websites several times, each time abandoning the old one and its customers. In the past he had a book or dvd for sale for $100-$200. They say the DVD isn't bad but it's 29 minutes long. A short DVD is a bit disappointing when that's not stated clearly upfront (he makes it look like a 4 hour trading course). He uses some kind of hi-low technique where you keep a buy stop above the last high in a declining market. The idea is to get it on a trend reversal. They said that wouldn't work by itself but he has additional filters/indicators. This new bid/ask pressure thing seems to be a new thing and so he creates a new site. Only this time it's $2000! "to reserve your seat". Yes it is humorous.

Everytime I see something for $1000+ it turns out to be uninteresting. Once bitten twice shy..

My opinion now is his example was cherry picked, but I think it's worth investigating it to see if there's anything there. I'll look at it this weekend.

Cunparis,

Thanks for doing the background check. It pays to know what your dealing with.

My research into what he is selling will continue.

Sometimes I'm stunned by how close some developers get to something great, but fail to see it becouse of the way they view the indicator.

Then again, alot of my research goes out with the trash.

RJay

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He posted this thread in the NT forums.

orders filled outside of market - NinjaTrader Support Forum

Presumably his automated strategy, which he is giving away when you enrol on one of his courses, is based around his post.

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Here is my first attempt at his bid pressure indicator. I coded up something and had no idea if it'd work. Since this only works real time one has to let it run for a while before trying another setting. So i'd like to get feedback and then I can make some changes and post them. Again this is just a starting point, I only spent a few minutes on it and then let it run.

top: price with better volume show me to highlight low volume bars
2nd: volume (free better volume indicator from emini watch)
3rd: buy sell pressure (this uses volume at bid & ask):

 
Code
Variables:    Length(5);
Value1 = 100*(BidSize - AskSize) / (BidSize + AskSize);
Value2 = Average(Value1, Length);

Plot1(Value2,"BS Pressure",Cyan);
Plot2(0,"Zero",White);
4th: Tradestation bid/ask volume ratio (this is built-in, I found it while searching the help for bid/ask information)

5th: buy sell pressure 2 - this uses the actual trades:

 
Code
Variables:    Length(5);
Value1 = 100*(UpTicks - Downticks) / (Upticks + Downticks);
Value2 = Average(Value1, Length);

Plot1(Value2,"BS Pressure",Cyan);
Plot2(0,"Zero",White);
Let me know if you have other ideas for the algorithm and I'll try them. I'm relatively new to this bid/ask stuff.

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  #35 (permalink)
Hartford, CT. USA
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG, Kinetick
Trading: RTY
 
RJay's Avatar
 
Posts: 688 since Jun 2009
Thanks: 747 given, 780 received

I ended up playing with RealStats_SharkyPkg all day.

Renamed it and made a bunch of changes to increase visual comprehension.

The yellow numbers are where the good info is.

The two inner yellow numbers on the right side of chart are change in total bid and ask volume change for that bar, I think.

Top and bottom numbers may be ticks totals above and below the bar open point.

Large multicolor band - volume increase/ decrease/ even for bar totals.

Small band by current bar - level 0 bid and ask.

Yea, I'm a slow learner. I'll figure it out.

Some info is probably wrong. I forgot to take notes.

I have the total bid /ask levels here displayed. I just need to convert them.

Tomorrow is another day.

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  #36 (permalink)
Paris, France
 
Experience: Advanced
Platform: Market Delta & Ninjatrader
Trading: ES
 
cunparis's Avatar
 
Posts: 2,565 since Jun 2009
Thanks: 1,162 given, 2,081 received

Ran my volume splitter on Friday and posted the chart here with some observations. I'm still not convinced there is an edge but I did find some interesting things on the chart:


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  #37 (permalink)
Lumezzane Italy
 
Experience: Beginner
Platform: NinjaTrader
Trading: Index Futures
 
Posts: 49 since Jul 2011
Thanks: 53 given, 10 received


Big Mike View Post
Downloads courtesy sam028


Mike

Hi Big Mike
Do you still have the link to the men tioned indicator? When I try to open your link, I receive an error message. See the attached image
Emanuele67

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