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Trade Point Technologies

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  #1 (permalink)
 RJay 
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Thanks to DavidHP for the link to this site.

I am completely impressed with some of the stuff here.


Trade Point Technologies harmonic charts





Trade Point Technologies intensity charts



Now that I know its possible, I can't resist a challenge.

RJay

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 cunparis 
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RJay View Post
Thanks to DavidHP for the link to this site.

I am completely impressed with some of the stuff here.


Trade Point Technologies harmonic charts

Trade Point Technologies intensity charts


Now that I know its possible, I can't resist a challenge.

RJay

I'm learning a lot reading the thread he posted on trader's laboratory.

I love this quote:


Quoting 
Most all retail trade uses indicators that have price as their only input - adaptive moving averages, exponential moving averages, RSI, Stochastic, Bollinger Bands, CCI etc. Regardless of time frame or combination of time frames these indicators have no chance of ever defining trade or leading it as they are based on price which responds to trade flow.

Price is motivated by trade not price itself.


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 Dragon 
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I read the thread too with interest. I can't help but wonder whether UB is cherrypicking trades in the screenshots. However, I must admit that the idea sounds like a good one. I look forward to seeing how this develops. Best of luck RJay.

Chris

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 cunparis 
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Took me forever to find the date & time of one of his examples. He said his times are PST, they're not.

I attach his chart and mine. I traded with 233 tick chart for a long time so that's my usual setting for timing entries. I also tried smaller tick settings and it went unnoticed. Which makes sense cause if you break down a volume spike bar into smaller bars there is a more gradual increase in volume and not a spike.

I think this guy has something interesting.

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 cunparis 
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Another gem:


Quoting 
2) Those who either want to disquise their trade or create liquidity do so by placing, according to a certain algorithm, orders on both sides of the market. In the old days they used to say "sell a little to buy a lot." Sometimes a quick burst of selling will trigger other selling and maybe even some stops which adds tremendously to buy liquidity.

I've noticed this myself in my trading. Often I have identified a setup and I'm waiting for my trigger which is usually a HH or LL (1 bar). Often price will move very fast and then slow down and then trigger. Taking into account his quote, it seems someone is wanting to buy so they sell and then buy it back and then some, thus triggering my trade.

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 cunparis 
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In one sentence he said this:


Quoting 
The markets turn for only one reason - a change in the balance/imbalance in the order flow.

While earlier today I wrote this:




Quoting 
3 - Price moves along and then it will turn. Why? Usually cause it a change in supply & demand. If price runs into supply, it'll turn down. If price meets demand, it'll rise. Think of an item on sale at a store. Its price will move up and down just like a futures contract. When there is no demand and a lot of supply a retailer will mark the price down. Demand comes in and supply dries up so price goes up.

I like this guy.

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 DavidHP 
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cunparis View Post
Took me forever to find the date & time of one of his examples. He said his times are PST, they're not.

I attach his chart and mine. I traded with 233 tick chart for a long time so that's my usual setting for timing entries. I also tried smaller tick settings and it went unnoticed. Which makes sense cause if you break down a volume spike bar into smaller bars there is a more gradual increase in volume and not a spike.

I think this guy has something interesting.


cunparis,

I also think he has something we need to check further.

I stumbled upon one of his charts a few months ago and then I asked about this indicator in a post a few weeks ago in futures.io (formerly BMT), but no one knew what I was talking about. So I kept looking until I found it again.

I'm glad someone else here is interested because I think it will benefit all of us to research the indicator.

p.s. What are you doing up this late/early... I thought I was the only nut on futures.io (formerly BMT) at this hour

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 cunparis 
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DavidHP View Post
p.s. What are you doing up this late/early... I thought I was the only nut on futures.io (formerly BMT) at this hour

Our family has some kind of stomach virus. 3 out of 4 are sick. I think we're better now, that means no one has thrown up in the past 12 hours. Still got the "Big D" though.

I've been up since 3:30 and one of my daughters woke up at 5am. Been a really tough weekend. But at least I have nothing other to do than the catch up on trading.

here's a little indicator I made to show the avg time between trades. Just this simple thing is quite revealing.

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 cunparis 
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Refining it a bit.

the rule is this:

red dot = trail a sell stop under low
blue dot = trail a buy stop above the high

doesn't work 100% but nothing does. Adding some basic price action could make this profitable.

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 Dragon 
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How is a time histogram indicator on the volume charts different from this concept of trade intensity? The time histogram indicator will help tell you how fast a range, tick, or volume bar paints. I thought it was really interesting to see what happens in under 20 seconds on a 100000 volume chart.

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 cunparis 
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Dragon View Post
How is a time histogram indicator on the volume charts different from this concept of trade intensity? The time histogram indicator will help tell you how fast a range, tick, or volume bar paints. I thought it was really interesting to see what happens in under 20 seconds on a 100000 volume chart.

I think he's doing it at a very fine-grained level. He claims you need automation, fast access (he says Tradestation isn't fast enough), etc. So he must be scalping for a few ticks.

if you trade on a higher timeframe then the automation and fast access isn't necessary and I think the time histogram (which is very similar to what I had produced) is pretty good.

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 cunparis 
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I'm almost through the thread. After all my testing I believe my current volume template & indicators (posted in my volume thread recently) are "good enough" for me. Check it his two trades here:

Trade Intensity - Page 18

and then see them on my chart.

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 RJay 
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cunparis View Post
I'm almost through the thread. After all my testing I believe my current volume template & indicators (posted in my volume thread recently) are "good enough" for me. Check it his two trades here:

Trade Intensity - Page 18

and then see them on my chart.

cunparis,


I have been trolling with volume indicators for the BIG guys for months.

I finally made some progress Wednesday this past week.

Two days later, DavidHP posts the link to TL Intensity Indicator thread.

Talk about timing!!! This "The Secret" thing is really amazing!!!

It was like Pat had read my mind!!! Or I read his!!!!

The only thing I have a problem with in his posts was the description of how difficult it was to do data collection for the Intensity indicator.

I did not export and re-import anything.

I am using Mirus with Zen-Fire feed.

Granted, I got this far without ever seeing his work.

I may not even be looking at the same data collection????

Results are Similar!!!!

He is using a 1000 Volume Chart, I am using a 1 tick NoGapRangeBar Chart.

I am going to test his chart setup on Monday to compare.

Power-fail last night wiped my charts, I have nothing to post.

I am really curious about the harmonic indicator charts too!!!

RJay

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 DavidHP 
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RJay View Post
OK, Maybe...

One last distraction post.


IrmaBlume in post 99 in the TL thread claims 30 years work experience.

That would be an age on the high side of 50. This guy looks like he is in his late 20's.

P.S. Nice cowboy shirt!!!

RJay


Not that it matters but his name is Pat Dittmar.
Here is something I found on his bio from ecwpress.com

Pat Dittmar has played professional poker for more than twenty years, and has been a consultant to a major online poker site. His math expertise comes from years in the financial community, including partner in a brokerage firm, derivatives trader, big block trader, arbitrageur, and Compliance Registered Options Principal. He lives in Las Vegas.

Here is a podcast interview he did in 2008 about his book.
On this podcast, he says he is 64 years old. I've not found any photos of him.

https://cdn4.libsyn.com/gamblersbookclub/6_19_08_Podcast.mp3?nvb=20091025173532&nva=20091026174532&t=0658e324a0708509bef5d

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 DavidHP 
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RJay View Post
cunparis,

Talk about timing!!! This "The Secret" thing is really amazing!!!

He is using a 1000 Volume Chart, I am using a 1 tick NoGapRangeBar Chart.

I am going to test his chart setup on Monday to compare.

Power-fail last night wiped my charts, I have nothing to post.

I am really curious about the harmonic indicator charts too!!!

RJay


Any progress?

I have been checking some things out and I've come to an impass.
The spikes on the chart MUST be something besides or in addition to volume.
They could be volume related but they are strange because of a few things:

If the chart is a 1000 share chart = 1000 volume bar chart. (Ninja can do that I've run it with the replay data just as he has on the data from 9/17/09.

I see the three areas his charts show as spike areas. Some of the indicators I'm using actually show some type of volume spike but here is the part that is the puzzle:

If the bars on his chart are 1000 volume, then EACH bar will only show 1000 contracts and then a new bar will be generated. His charts show spikes over 45000 on those volume bar charts. If that were volume spike alone without some modification then the 45000 contracts would have created 45 bars not 1.

(at least that is the way I understand constant volume charts work)

I think the system he uses looks very good but I'm not certain that everything he writes is easy to uncover.

Am I missing something here?

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 RJay 
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DavidHP View Post
Any progress?

I have been checking some things out and I've come to an impass.
The spikes on the chart MUST be something besides or in addition to volume.
They could be volume related but they are strange because of a few things:

If the chart is a 1000 share chart = 1000 volume bar chart. (Ninja can do that I've run it with the replay data just as he has on the data from 9/17/09.

I see the three areas his charts show as spike areas. Some of the indicators I'm using actually show some type of volume spike but here is the part that is the puzzle:

If the bars on his chart are 1000 volume, then EACH bar will only show 1000 contracts and then a new bar will be generated. His charts show spikes over 45000 on those volume bar charts. If that were volume spike alone without some modification then the 45000 contracts would have created 45 bars not 1.

(at least that is the way I understand constant volume charts work)

I think the system he uses looks very good but I'm not certain that everything he writes is easy to uncover.

Am I missing something here?


Hi David,

Yesterday, I learned a few setups that don't work!!!

The 1000 volume test was a bust. To duplicate Pat's charts, I would need to change my formula.

I did do a capture with my stuff and some of cunparis's trade setup stuff together.

My indicators on these charts are works in progress.

They are my new "Supply" indicators, Cool Huh!!!!!!

At 07:22 you can see the volume rally on the two bottom panels.

On the two middle panels, you can see that rally being overwhelmed and crushed!!!

The market then exits the encounter in the opposite direction.

Yes, I cherry picked this chart capture.

You get the general idea of what is going on in the markets.

I need to do more research!!!!

I'm going to re-read Pat's posts at TL, AGAIN!!!!

RJay




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 DavidHP 
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DavidHP View Post

If the bars on his chart are 1000 volume, then EACH bar will only show 1000 contracts and then a new bar will be generated.

His charts show spikes over 45000 on those volume bar charts. If that were volume spike alone without some modification then the 45000 contracts would have created 45 bars not 1.


This is a KEY concept.

I think I have the answer but I will have to do some more research on the subject.
It may be very difficult to accomplish within NT.

.

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 cunparis 
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DavidHP View Post
This is a KEY concept.

I think I have the answer but I will have to do some more research on the subject.
It may be very difficult to accomplish within NT.

.

If he has 45k how do you know it's shares?

He listed 3 criteria:

- increase in intensity
- buying or selling
- ?

I forget the third. For the 2nd, the only way I know how to do that is by using upTicks & downTicks in Tradestation.

Let's say price is moving up to 1000 and I got a limit order to buy a million contracts at 1000. The ticks at 1000 are going to be on upticks (I'm letting the market come up to me), which would make us think it was buying volume. And it was, buyers pushed the price up.

Unfortunately NT 6.5 doesn't have this. It's something I can't trade without, which is why I use both NT & Tradestation.

So if you guys want me to test anything out on TS I can..

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 RJay 
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Hi Guys,

here is what I think.

I believe that we are dealing with two kinds of volume.

I going to call them "Supply Volume" and "Traded Volume".

The 1000 volume bars are built based on "Traded Volume".

"Supply Volume" is visible on level 2. ( see my previous post )


I am running more tests today.


1000 volume bars, supply volume orders greater than 1000 contracts.

1 tick NoGapRangeBars, supply volume orders greater than 1000 contracts.



I did not get to review Pat's posts yesterday, maybe today.

I also agree that Pat is using more than "volume" in his indicator equations.

RJay

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 DavidHP 
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cunparis View Post
So if you guys want me to test anything out on TS I can..


Can TS use multiple data sources on the same chart?

<clue>
i.e. can you feed the price panel with one data source and the indicator panel with another data source?

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 cunparis 
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DavidHP View Post
Can TS use multiple data sources on the same chart?

<clue>
i.e. can you feed the price panel with one data source and the indicator panel with another data source?

Yes, that's one of the things I love about it. Multiple symbols. But it's not supported on tick or volume charts. Only time-based charts.

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 cunparis 
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Check out this:



here's a quote:


Quoting 
Well essentially the sounds are based upon order size, flow rate and some other factors that only the DT of genius really understands

Sounds familiar.

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 cory 
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I listened to it and the sound fired at the same time the price moved fast, back to watching the price.

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 cunparis 
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cory View Post
I listened to it and the sound fired at the same time the price moved fast, back to watching the price.

I posted that in this thread because it sounds familar to Pat's indicator analyzing the trade intensity, buying/selling, etc.

I think tape tweet is interesting because I can't watch price non-stop, my mind wonders and I ended up posting a message here.. when it starts beeping then I look at the chart right away.

I'm just playing with it for now, not sure it's useful for more than that.

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 Blz17 
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cunparis View Post
I posted that in this thread because it sounds familar to Pat's indicator analyzing the trade intensity, buying/selling, etc.

I think tape tweet is interesting because I can't watch price non-stop, my mind wonders and I ended up posting a message here.. when it starts beeping then I look at the chart right away.

I'm just playing with it for now, not sure it's useful for more than that.

WHere is that chat room? I pulled up the chat room list but all I could find was xbox and Hero's chat rooms.

Blz

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 cunparis 
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WHere is that chat room? I pulled up the chat room list but all I could find was xbox and Hero's chat rooms.

Blz

There's a link to it in the news box on the bottom right of the home page.

I'm wanting to know how they do it..

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 RJay 
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Hi All,

Thought I would post an update.

My latest volume indicators are similar in output, but are not calculated at all like the intensity Indicator.

I decided to read all the UrmaBlume postings that pertain to this project at TL.

It was time well spent!!!!!

I was stunned by his insight and knowledge of volume, traders, and the markets!!!!

I now have to rethink my approach to trading and how to "really" read my volume indicators.. and how to proceed from here.

RJay

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 DavidHP 
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RJay View Post
Hi All,

Thought I would post an update.

My latest volume indicators are similar in output, but are not calculated at all like the intensity Indicator.

I decided to read all the UrmaBlume postings that pertain to this project at TL.

It was time well spent!!!!!

I was stunned by his insight and knowledge of volume, traders, and the markets!!!!

I now have to rethink my approach to trading and how to "really" read my volume indicators.. and how to proceed from here.

RJay


I read everything he posted on TL.

I also copied most of it to a file and then highlighted the most important points
After that I created a Key Points document of those posts.

If he is being truthful, the information we seek is in those posts.

You and I need to talk...

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 Prtester 
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DavidHP View Post
I read everything he posted on TL.

I also copied most of it to a file and then highlighted the most important points
After that I created a Key Points document of those posts.

If he is being truthful, the information we seek is in those posts.

You and I need to talk...

Well guys if need a third on the boat count with me :-)

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 RJay 
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DavidHP View Post
I read everything he posted on TL.

I also copied most of it to a file and then highlighted the most important points
After that I created a Key Points document of those posts.

If he is being truthful, the information we seek is in those posts.

You and I need to talk...


Hi DavidHP,

Trying to get my head around some things like this,

"We feel that the bid/asked approach to designating buying or selling volume is flawed in several ways."

"To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. "

"Thankfully there are intelligent agents capable of sorting all this."


Does anyone know what " intelligent agents" means??

RJay

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 Prtester 
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RJay View Post
Hi DavidHP,

Trying to get my head around some things like this,

"We feel that the bid/asked approach to designating buying or selling volume is flawed in several ways."

"To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. "

"Thankfully there are intelligent agents capable of sorting all this."


Does anyone know what " intelligent agents" means??

RJay

In the NT Forum theres an indicator named GOMCD with a recorder indicator, in the file the author "define" the following :

 
Code
if (ask<bid) // should not happen but does
				{ 
					if (price<ask) 		    tickType=TickTypeEnum.BelowBid;
					else if (price==ask) 	tickType=TickTypeEnum.AtAsk;
					else if (price<bid) 	tickType=TickTypeEnum.BetweenBidAsk;
					else if (price==bid) 	tickType=TickTypeEnum.AtBid;
					else 					tickType=TickTypeEnum.AboveAsk;
				}
				else if (bid<ask) //normal case
				{
					if (price<bid) 		    tickType=TickTypeEnum.BelowBid;
					else if (price==bid)	tickType=TickTypeEnum.AtBid;
					else if (price<ask)	    tickType=TickTypeEnum.BetweenBidAsk;
					else if (price==ask) 	tickType=TickTypeEnum.AtAsk;
					else					tickType=TickTypeEnum.AboveAsk;
				}
				else //bid==ask, should not happen
				{
					if (price<bid)		    tickType=TickTypeEnum.BelowBid;
					else if (price>ask)	    tickType=TickTypeEnum.AboveAsk;
					else				    tickType=tickType=TickTypeEnum.BetweenBidAsk;
				}
Then according to this she calculates the cumulative delta, don't know if this information is what you look for or help you.

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 RJay 
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Prtester View Post
In the NT Forum theres an indicator named GOMCD with a recorder indicator, in the file the author "define" the following :

 
Code
if (ask<bid) // should not happen but does
                { 
                    if (price<ask)             tickType=TickTypeEnum.BelowBid;
                    else if (price==ask)     tickType=TickTypeEnum.AtAsk;
                    else if (price<bid)     tickType=TickTypeEnum.BetweenBidAsk;
                    else if (price==bid)     tickType=TickTypeEnum.AtBid;
                    else                     tickType=TickTypeEnum.AboveAsk;
                }
                else if (bid<ask) //normal case
                {
                    if (price<bid)             tickType=TickTypeEnum.BelowBid;
                    else if (price==bid)    tickType=TickTypeEnum.AtBid;
                    else if (price<ask)        tickType=TickTypeEnum.BetweenBidAsk;
                    else if (price==ask)     tickType=TickTypeEnum.AtAsk;
                    else                    tickType=TickTypeEnum.AboveAsk;
                }
                else //bid==ask, should not happen
                {
                    if (price<bid)            tickType=TickTypeEnum.BelowBid;
                    else if (price>ask)        tickType=TickTypeEnum.AboveAsk;
                    else                    tickType=tickType=TickTypeEnum.BetweenBidAsk;
                }
Then according to this she calculates the cumulative delta, don't know if this information is what you look for or help you.

Prtester,

I don't know about you, but this is beyond my limited expertise.

I'm going to do some more studying and thinking, then ask the source!!!

RJay

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 Zoethecus 
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Guys, I read all of Pat's threads on TL and ET (he is banned) and here's my 2 cents.

A. Urmablume's stuff is for high frequency, large size tick scalping, a style I have no interest in.

B. I think he cherry picked those examples.

C. He never posted anything about how this stuff makes him profitable despite repeated request from members.

D. He never posted any templates are indicators to share with the forum. Instead, he enjoyed dropping little hints about how this stuff is made. Totally the antithesis of this place.

E. I don't believe there are "speculative commercial traders" in this ES market who throw out hundreds or thousands of contracts as a naked bet, like black or red on a roulette wheel. This comes from a reliable source who would know of these things.

F. I don't believe his indicators are predictive despite the few charts posted.

G. I don't believe anyone has predictive indicators for that matter. If they did, they would soon own the world.

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 DavidHP 
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If it is not profitable, nor predictive, then why was there so much made about it recently on CNBC, WSJ and other news sources?

YouTube - Inside Look - Evolution of High-Frequency Trading - Bloomberg

Bloomberg: "70% of all volume..." HFT

YouTube - Lidt om High Frequency Trading & Flashing

Being a former 'gamer' and 'hacker' I can appreciate using your 'edge' (legal or not) to win. Games such as Quake / Halo / DOOM can be manipulated via software or hacks that typical gamers don't even realize you are using against them.

(BUT YOU WIN).

With millions of dollars on the line, it would be unwise for one to not consider the possibility that this type of manipulation is occurring on the other side of your trade.

(AND THEY WIN)

BTW... Goldman Sach's made $110 million dollars a day last quarter.
At that rate, they will 'own the world' in a short time.


Zoethecus View Post
Guys, I read all of Pat's threads on TL and ET (he is banned) and here's my 2 cents.

A. Urmablume's stuff is for high frequency, large size tick scalping, a style I have no interest in.

B. I think he cherry picked those examples.

C. He never posted anything about how this stuff makes him profitable despite repeated request from members.

D. He never posted any templates are indicators to share with the forum. Instead, he enjoyed dropping little hints about how this stuff is made. Totally the antithesis of this place.

E. I don't believe there are "speculative commercial traders" in this ES market who throw out hundreds or thousands of contracts as a naked bet, like black or red on a roulette wheel. This comes from a reliable source who would know of these things.

F. I don't believe his indicators are predictive despite the few charts posted.

G. I don't believe anyone has predictive indicators for that matter. If they did, they would soon own the world.


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 RJay 
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I wonder how this "balance of power" thing works!!!!

Maybe this might help.





Oh, Look!!!! Cherries!!!!!!



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 wh 
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why this short frames? it is only chaotic without symmetry ...
make a short calculation for range or renko ...

for example daily range or hourly range

daily range (average/median of the last 21 days like forex) is 150 pips -- so i add my range bar to 15 range (10%)

on hourly range the average is 30 pips the last 21 hours and the median is 15 -- so i add my range to 6 range

- a move comes

and all your results became a clear mind or not ...

i do not understand the terms of volume but keep it simple

if you trade only small frames like 1 renko, 2 range or ... you will lose your focus in the picture. the price build on higher frames. the money maker moves the markets and not an army of scalpers ...

analyse the range maybe the volume and make a picture

look at the average and the median of an x - value

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 Dragon 
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Zoethecus,
I am naturally a skeptic myself so I completely understand where you are coming from. It certainly appears that UrmaBlume cherrypicked her screenshots and this may all be a bunch of hogwash. Having said that, wouldn't you want to know when high frequency trading occurred if it exists? I think this concept warrants further investigation. If it leads to a dead end then at least we drew that conclusion seeing it for ourselves in real time and not from screenshots and reading posts on a thread.

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 Zoethecus 
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Dragon View Post
Zoethecus,
I am naturally a skeptic myself so I completely understand where you are coming from. It certainly appears that UrmaBlume cherrypicked her screenshots and this may all be a bunch of hogwash. Having said that, wouldn't you want to know when high frequency trading occurred if it exists? I think this concept warrants further investigation. If it leads to a dead end then at least we drew that conclusion seeing it for ourselves in real time and not from screenshots and reading posts on a thread.

Dragon, the answer is no.

I have my hands full trying to refine 2 setups that gives me a positive expectancy without having to a bucket full of contracts for a tick or 2. IMO, the retail trader, will get crushed trying to play this game on a field that is clearly not level.

BTW, Urmablume is a man.

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 RJay 
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wh View Post
why this short frames? it is only chaotic without symmetry ...
make a short calculation for range or renko ...

for example daily range or hourly range

daily range (average/median of the last 21 days like forex) is 150 pips -- so i add my range bar to 15 range (10%)

on hourly range the average is 30 pips the last 21 hours and the median is 15 -- so i add my range to 6 range

- a move comes

and all your results became a clear mind or not ...

i do not understand the terms of volume but keep it simple

if you trade only small frames like 1 renko, 2 range or ... you will lose your focus in the picture. the price build on higher frames. the money maker moves the markets and not an army of scalpers ...

analyse the range maybe the volume and make a picture

look at the average and the median of an x - value

wh,

Your absolutely right!!

But, This is what a work in progress looks like!!!!

What am I am looking for??? entry and exit points for trades.

So far, I am only getting the "interesting" results on the chart interval displayed.

I would love other time frames too!!!

If you or anyone else has a simple way to coherently display "level2" order entry at bid and ask,

Not just market order totals, the tally of orders at, above, or below the market for any fixed interval regardless of the current price!!!

Please share!!!!

Working with level2 is doable only in real time and is very time consuming.


RJay

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 Silvester17 
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here're some thoughts about "big traders". first you need to put yourself in the shoes of a "big trader". lets say you want to go long the ES. you buy 5000 cars. and what is your goal? your goal is the market to go up. wouldn't it be in your best interest if everybody can see, oh there's a big buyer, I'm going long too? with other words the big trader WANTS the retail trader to follow him, so price will go his way. he's more than happy to show you what he's doing. it's really that simple. the ONLY way he don't want anybody to see his trades, is when closing a transaction (short or long).

high frequency trades are more for stocks. it's a common "frontrunning" game. kind of difficult in index futures, unless you have some inside information that can influense a whole market!

So for me too, these kind of indicators are absolutely useless.

zoethecus, ich muss dir rechtgeben. vollkommen richtig.

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 cunparis 
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RJay View Post
"To demonstrate one of those flaws, please consider the situation where a very large buyer places a limit order at the current asked price - the order is larger than the asked size so he is partially filled at the asked and as the order took all the asked size the asked moves up and so does the bid. Now the remainder of this large buyer's order is on the bid and trade that fills this large buyer, on his bid, is recorded as selling volume. "

I use bid/ask extensively in my trading, which is why I still use Tradestation (only reason really).

His case makes a lot of sense, but I would have to ask if that is a common occurrence. I have found that if I look at the raw bid/ask data that it is extremely jumpy from one extreme to another. However if I smooth that data out then it reflects the true order flow. Very often I see a tip off to a reversal with this data.

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 RJay 
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I want to thanks all the naysayers for their opinions!!!

But, this is a thread to pursue indicators used by Trade Point Technologies.

Please take off topic personal opinion/ nonrelated posts to other threads!!!!

Thanks!!!!



Back to topic!!!

UrmaBlume states the following,



It is not total volume that drives price but rather it is an imbalance in order flow that drives price.

Markets up on big volume is not as bullish as up on small volume. When there are no sellers it is easy for price to move up and move up on small volume.



Trade is inherently very imbalanced, and that imbalance is what drives price.


Imbalance in Volume drives price, not total volume !!!!



My first step is to make indicators that accurately track contract levels movements in real time.


RJay

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 dandxg 
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Hey Cunparis. This is the first time I have seen this thread/forum. I see most of this discussion on TL and ET. I want to offer a suggestion to filter these set ups. Use tick divergence and S/R. I wish I knew how to code, but I don't.

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 cunparis 
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dandxg View Post
Hey Cunparis. This is the first time I have seen this thread/forum. I see most of this discussion on TL and ET. I want to offer a suggestion to filter these set ups. Use tick divergence and S/R. I wish I knew how to code, but I don't.

Hi & welcome to futures.io (formerly BMT).

I use tick divergence in my ES trading and also S/R. In the past I've tried coding divergences but could never get it coded to my satisfaction. To me it's a visual pattern that has to be taken into context. Same for S/R.

I agree that these make a fine addition to trading, but I think the first step is to see if we can figure out how to use trade intensity to our advantage. After that we can see if it needs anything else. As I understand it, this trade intensity is for a very quick scalp so I'm not sure anything else is needed.

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gregor32
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UrmaBlume The indicator I posted does not use price in any way and defines trade by the "very secretive traders" whose trade alone is enough to motivate/propel price and the non-retail traders I know find that very useful indeed. I couldn't see how that is true no one can access that information. The large commercials use what is called a "Dark pool". Dark pools of liquidity - Wikipedia, the free encyclopedia It is totally hidden then just appears then disappears no one can track it or trace it if they could there would be chaos. This person must be using something like COT data or something freely available.

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 cunparis 
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gregor32 View Post
This person must be using something like COT data or something freely available.

???

COT data is weekly. He has posted 1000 share ES charts.

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 dandxg 
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gregor32 View Post
UrmaBlume The indicator I posted does not use price in any way and defines trade by the "very secretive traders" whose trade alone is enough to motivate/propel price and the non-retail traders I know find that very useful indeed. I couldn't see how that is true no one can access that information. The large commercials use what is called a "Dark pool". Dark pools of liquidity - Wikipedia, the free encyclopedia It is totally hidden then just appears then disappears no one can track it or trace it if they could there would be chaos. This person must be using something like COT data or something freely available.

No think about it. COT data on Friday is from Tuesday, that is quite a bit of delay. COT is worthless for day trading quite good position trading. COT has been showing, last time I checked the Large Specs adding to shorts. It's a function of time/velocity. If it were not indicators like volume stop, very good BTW, and time histogram wouldn't work. I just wish I could get them working on Sierra, because NT 6.5 even with a quad core is a beast on resources. Oh well NT7 is coming in about 3 months.

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 dandxg 
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I am using 2 "trade intensity" indicators to confirm one another. Time Histogram and Volume Stop for currency futures working quite nicely, a real scalper's ball. This is a great forum thanks Mike and those that contributed these indicators.

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 cunparis 
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dandxg View Post
I am using 2 "trade intensity" indicators to confirm one another. Time Histogram and Volume Stop for currency futures working quite nicely, a real scalper's ball. This is a great forum thanks Mike and those that contributed these indicators.

I use volume stop too but I haven't found an edge with the time histogram. Could you post a chart showing how you use it?

Thanks for sharing.

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tradercrm
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Out of curiousity has anyone tested the attached indicators posted over the TL thread? Figured I would test TicksPerSecond tomorrow on a 1-range. I use Volume at Price studies as the fundamental setups for entries, but am lacking a confirming indicator--great work so far!

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 dandxg 
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Here's how I use Time Histogram to confirm Volume Stop. Time Histogram works on the inverse. A spike in volume is confirmed by little-no histogram bar showing for Time Histogram.

BTW I have run the other indicators in the TL thread. The ones mentioned above by Deanz work well, except the only work real time and don't save once you change chart. Apparently you can do something with replay, it's all in the TL thread.

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 dandxg 
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Here's what I was referring to using S/R- a swing low, tick divergence, and both "time histogram" tools. These trades work best when one can identify a range bound market condition as you may get killed when the market is directional. The only thing this trade set up had against it was on the top left chart you see a thin purple line that's the VWAP so you are trading into S/R in that aspect.

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 cunparis 
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dandxg View Post
Here's what I was referring to using S/R- a swing low, tick divergence, and both "time histogram" tools. These trades work best when one can identify a range bound market condition as you may get killed when the market is directional. The only thing this trade set up had against it was on the top left chart you see a thin purple line that's the VWAP so you are trading into S/R in that aspect.

Thanks for sharing your chart, lots of good information & ideas in there. The tick indicator gives very similar signals to the way I use the tick so I'm sure that it works well. I also use it on a 1m chart. I also use it on a 5m chart to catch larger divergence patterns.

For the time histogram.. This is the 3rd time I've looked at it. My conclusion is that it doesn't work very well during the market peak times (9:30 - noon, 2-4pm). It seems to work better during lunch and overnight. I was checking it out and I found a case where it worked and it was between 1&2. Then I went back and looked at your chart and your example is between 1&2. Have you found it to work between say 9:30 - noon?

My problem with volume stop is it gives false signals (like everything else). The key to using indicators is to learn when they give false signals and why. So far I haven't found it reliable enough to work by itself so I'm working on a way to confirm it like you're doing with the time histogram.

Thanks for sharing.

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 dandxg 
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cunparis View Post
Thanks for sharing your chart, lots of good information & ideas in there. The tick indicator gives very similar signals to the way I use the tick so I'm sure that it works well. I also use it on a 1m chart. I also use it on a 5m chart to catch larger divergence patterns.

For the time histogram.. This is the 3rd time I've looked at it. My conclusion is that it doesn't work very well during the market peak times (9:30 - noon, 2-4pm). It seems to work better during lunch and overnight. I was checking it out and I found a case where it worked and it was between 1&2. Then I went back and looked at your chart and your example is between 1&2. Have you found it to work between say 9:30 - noon?

My problem with volume stop is it gives false signals (like everything else). The key to using indicators is to learn when they give false signals and why. So far I haven't found it reliable enough to work by itself so I'm working on a way to confirm it like you're doing with the time histogram.

Thanks for sharing.

You know I haven't found the optimized settings for Time Histogram. You have to play around with them. If you go over to about page 7-9 on the Trade Intensity thread on TL you will see Blowfish's settings on a 20 volume FESX chart. He is using very small settings 1,3,5, 7, 9 and it works well. So that got me thinking. If the market is less liquid than ES, say 6A, 6B or so drop down to a 100 volume chart and use lower settings on TH.

I am actually thinking of contacting the inventor, Gumphrie himself since I have some ideas to improve upon but can't do it myself.

The other thing I would suggest is to use the indicator Deanz on TL was nice enough to share to filter volume stop. it works well.

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 RJay 
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dandxg View Post
You know I haven't found the optimized settings for Time Histogram. You have to play around with them. If you go over to about page 7-9 on the Trade Intensity thread on TL you will see Blowfish's settings on a 20 volume FESX chart. He is using very small settings 1,3,5, 7, 9 and it works well. So that got me thinking. If the market is less liquid than ES, say 6A, 6B or so drop down to a 100 volume chart and use lower settings on TH.

I am actually thinking of contacting the inventor, Gumphrie himself since I have some ideas to improve upon but can't do it myself.

The other thing I would suggest is to use the indicator Deanz on TL was nice enough to share to filter volume stop. it works well.

dandxg,

have you seen DeanZ's latest indicator posted on NT's forum.

Its a level2 book oscillator!!! pretty sweet!!!!

I was looking at the Time Histogram indicator this week.

Time Histogram is running on a one second time frame.

I think you will need to drop down to a millisecond time frame to use Blowfish's settings.

Realtime charting 0nly, no historic data on that time frame.

I will be playing with it next week as part of my ongoing research.

RJay

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 Dragon 
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cunparis View Post
It seems to work better during lunch and overnight. I was checking it out and I found a case where it worked and it was between 1&2. Then I went back and looked at your chart and your example is between 1&2. Have you found it to work between say 9:30 - noon?

I came to this same conclusion about the Time Histogram as well... It's optimal at night.

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 spyro 
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RJay View Post
dandxg,

have you seen DeanZ's latest indicator posted on NT's forum.

Its a level2 book oscillator!!! pretty sweet!!!!

I was looking at the Time Histogram indicator this week.

Time Histogram is running on a one second time frame.

I think you will need to drop down to a millisecond time frame to use Blowfish's settings.

Realtime charting 0nly, no historic data on that time frame.

I will be playing with it next week as part of my ongoing research.

RJay

hey rjay

i tried

to find the deanzs level 2 indicator at nt forums and i couldnt find it

can you post the link here please ?

thanks rjay

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 RJay 
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spyro View Post
hey rjay

i tried

to find the deanzs level 2 indicator at nt forums and i couldnt find it

can you post the link here please ?

thanks rjay

Cumlative Bid/Ask - NinjaTrader Support Forum

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 dandxg 
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RJay View Post
dandxg,

have you seen DeanZ's latest indicator posted on NT's forum.

Its a level2 book oscillator!!! pretty sweet!!!!

I was looking at the Time Histogram indicator this week.

Time Histogram is running on a one second time frame.

I think you will need to drop down to a millisecond time frame to use Blowfish's settings.

Realtime charting 0nly, no historic data on that time frame.

I will be playing with it next week as part of my ongoing research.

RJay

No I haven't but I will thanks.

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 mahlonhersh 
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dandxg View Post
The other thing I would suggest is to use the indicator Deanz on TL was nice enough to share to filter volume stop. it works well.


Could you post this indicator here?

Thanks,

Mahlon

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 cory 
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Trade Intensity - Page 11

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 cunparis 
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I'm going to check it out on Monday. I'm curious if you guys are interested in the GomEffortResult & GomDeltaVolume? I think they look interesting as well. I searched for them but didn't find anything.


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 Blz17 
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cunparis View Post
I'm going to check it out on Monday. I'm curious if you guys are interested in the GomEffortResult & GomDeltaVolume? I think they look interesting as well. I searched for them but didn't find anything.

I've used GomDeltaVolume before. As I recall it is very similar in concept to RJay's VolumeSplitters he designed. For information on trading using market delta check out Dr. Steenbargers blog at TraderFeed. He has wealth of information on market delta and trading psychology.

Blz

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 Pepperdog 
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Hey guys, just thought I'd chime in with a minor contribution. I've been interested in the ideas of trade intensity, buy/sell volume imbalances, L2/DOM imbalances and so forth but never really reached any major game changing revelations (yet). Maybe I just haven't looked long or hard enough. My trading plan is simple price action, S&R and trendlines on relatively naked charts.

Anyhow, here is another NT indi that might be of interest to some. It is similar to the agOrderBookOscillator, but it's called "CarsPulled". I didn't write it, and don't remember where I ran across it, but it appears to track the volume of orders pulled from the DOM and *not* executed. Or, those that are "pulled" end up as market orders potentially??

I don't use any of these indicators in my trading -- intensity, buy/sell vol, L2/orderbook tracking, etc. -- but if anyone comes up with any ideas or well defined objective setups with them I'm listening.

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 Prtester 
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cunparis View Post
I think they look interesting as well. I searched for them but didn't find anything.

try this NinjaTrader Support Forum - View Single Post - Delta Buy/Sell Volume
the nice thing its you can have historical data.

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 RJay 
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Pepperdog View Post
Hey guys, just thought I'd chime in with a minor contribution. I've been interested in the ideas of trade intensity, buy/sell volume imbalances, L2/DOM imbalances and so forth but never really reached any major game changing revelations (yet). Maybe I just haven't looked long or hard enough. My trading plan is simple price action, S&R and trendlines on relatively naked charts.

Anyhow, here is another NT indi that might be of interest to some. It is similar to the agOrderBookOscillator, but it's called "CarsPulled". I didn't write it, and don't remember where I ran across it, but it appears to track the volume of orders pulled from the DOM and *not* executed. Or, those that are "pulled" end up as market orders potentially??

I don't use any of these indicators in my trading -- intensity, buy/sell vol, L2/orderbook tracking, etc. -- but if anyone comes up with any ideas or well defined objective setups with them I'm listening.

pepperdog,

This indicator is on my to do list.

Pulled Level2 contract orders are a big deal when tracking the markets.

I look forward to seeing how well it performs.

Thanks for posting this,

RJay

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 RJay 
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Pepperdog View Post
Hey guys, just thought I'd chime in with a minor contribution. I've been interested in the ideas of trade intensity, buy/sell volume imbalances, L2/DOM imbalances and so forth but never really reached any major game changing revelations (yet). Maybe I just haven't looked long or hard enough. My trading plan is simple price action, S&R and trendlines on relatively naked charts.

Anyhow, here is another NT indi that might be of interest to some. It is similar to the agOrderBookOscillator, but it's called "CarsPulled". I didn't write it, and don't remember where I ran across it, but it appears to track the volume of orders pulled from the DOM and *not* executed. Or, those that are "pulled" end up as market orders potentially??

I don't use any of these indicators in my trading -- intensity, buy/sell vol, L2/orderbook tracking, etc. -- but if anyone comes up with any ideas or well defined objective setups with them I'm listening.


Found the Source of the indicator.

Chuckt101's Scalping Journal! - The Price Action Forum - PriceAction.net

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 cory 
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gomCD latest dated 11/05
Delta Buy/Sell Volume - Page 37 - NinjaTrader Support Forum

RJay you should def check this out https://www.priceaction.net/showthread.php?p=5394

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 cory 
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DeltaMA works pretty good 'when' it works, sometimes it plots the 2 MAs sometimes not.
bid. vs. ask vol. - Page 3 - The Price Action Forum - PriceAction.net

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 deanz 
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I'm not great at programing but I think carsPulled is just a running total of changes in the bid and ask order book, and does not distinguish between orders pulled and orders filled.

I think it needs to use something like
if (e.Operation == Operation.Remove)
to check for removals.

Plus it seems to produce wacky results on small time frames .... ha ha.

.

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 taotree 
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cunparis View Post
If he has 45k how do you know it's shares?

I think the charts show the indicator name having CPM in it. I'm fairly sure that's Contracts Per Minute. I think that is mentioned in a post on TL as well.



Quoting 
He listed 3 criteria:

- increase in intensity
- buying or selling
- ?

I forget the third. For the 2nd, the only way I know how to do that is by using upTicks & downTicks in Tradestation.

If you mean historically, that might be correct. However, UB himself mentions two popular ways of doing it:

1) trade at bid, trade at ask
2) up/down/same (upticks & downticks)

and then states that he uses neither of those. There are many other possibilities of varying level of sophistication. UB doesn't say what he uses (I would really like to know). If there is any significant value in UB's indicators, I think primarily it comes from this one thing: the accurate assessment of bid/ask pressure. If you can do that, all the rest is just doing that calculation in various ways.



Quoting 
Let's say price is moving up to 1000 and I got a limit order to buy a million contracts at 1000. The ticks at 1000 are going to be on upticks (I'm letting the market come up to me), which would make us think it was buying volume. And it was, buyers pushed the price up.

Unfortunately NT 6.5 doesn't have this. It's something I can't trade without, which is why I use both NT & Tradestation.

That's interesting. If you want up/down ticks, right... I can see what you mean--though you could do it on a 1 tick chart (wouldn't be so bad if it would let me squish it up more).

However, if you want to do trade at bid/ask, then you need an unfiltered feed like zen-fire. Tradestation snapshots bid/ask so it would not be accurate to try to calculate trade at bid/ask in it. Of course, unfortunately, you can only do trade at bid/ask in realtime and not historical except possibly on certain platforms (at least I think I've heard it done somewhere).

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 toulouse-lautrec 
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analyzing orders pulled might be a tough one, as there are systems out there placing orders automatically in the book on various levels with the purpose to beat the queue (remember, orders are being matched FIFO).

so, basically, in case something/someone decides to actually trade a specific price, then there will already be an order sitting there at that level with a high probability of being executed.

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 taotree 
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toulouse-lautrec View Post
analyzing orders pulled might be a tough one, as there are systems out there placing orders automatically in the book on various levels with the purpose to beat the queue (remember, orders are being matched FIFO).

so, basically, in case something/someone decides to actually trade a specific price, then there will already be an order sitting there at that level with a high probability of being executed.


If they want it executed. If they're flooding the book like that, it's more likely it will get pulled.

As for analyzing pulled orders, here's what I did: whenever there is an order
if at ask:
pendingAskOrder += size
if at bid:
pendingBidOrder += size

Then when the bid or ask changes,
pendingAskOrder -= change in ask
if pendingAskOrder > 0 do nothing
else add to pulled at ask orders (and reset pendingAskOrder to 0)

So.... keep track of order amounts and don't count those toward the contracts pulled amount.

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 bomberone1 
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Hi, I read this great post.
I am trying to plot wat you describe on multicharts, but i need indicator described in the topic:
Time Histogram "time histogram" tools and
Volume Stop for currency futures
deanzs level 2 indicator L2/DOM imbalance
buy/sell volume imbalances,

Could someone post in the topic please?

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 paps 
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hi guys, went back to this thread. did anyone of you pursue TI. Were you able to simulate or understand more on trade intensity and determine if buy/sell before volume showed up?

cheers

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 cunparis 
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paps View Post
hi guys, went back to this thread. did anyone of you pursue TI. Were you able to simulate or understand more on trade intensity and determine if buy/sell before volume showed up?

cheers

Trade Intensity is an integral part of my trading. I'm not using TI, instead I wrote my own indicator and use it.

For me it's used as a timing method and a way to reduce/limit risk. I still use market profile concepts and try to get "the big picture" and then use intensity to trade with it.

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 DavidHP 
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cunparis View Post
Trade Intensity is an integral part of my trading. I'm not using TI, instead I wrote my own indicator and use it.

For me it's used as a timing method and a way to reduce/limit risk. I still use market profile concepts and try to get "the big picture" and then use intensity to trade with it.

I assume you mean the Pace of the Tape?

Glad to see you here. Have not seen an update on your site lately.

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 paps 
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cunparis View Post
Trade Intensity is an integral part of my trading. I'm not using TI, instead I wrote my own indicator and use it.

For me it's used as a timing method and a way to reduce/limit risk. I still use market profile concepts and try to get "the big picture" and then use intensity to trade with it.

Hi there..... could you get into a little concepts...i have seen your charts on the net probably using NT. I gather you were able to mimic the results. Were you however able to determine if it was a buy or sell....and at what point were you able to determine the spike

cheers

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 cunparis 
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DavidHP View Post
I assume you mean the Pace of the Tape?

Glad to see you here. Have not seen an update on your site lately.

the Pace of Tape was just the beginning, that leds to many different experiments all focusing on volume. What I have now is quite different from pace of tape.

I've been very busy with my consulting business (which provides a lot more stable income than trading!). I can only trade the last couple hours and I only trade when the market is moving and when I have a good big picture context so it's rare. I haven't had a good setup in almost 2 weeks, I tried a risky one today and stopped out. Need to be patient. The results are good but I need more experience before I will be comfortable increasing size. I should update my blog.

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 cunparis 
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paps View Post
Hi there..... could you get into a little concepts...i have seen your charts on the net probably using NT. I gather you were able to mimic the results. Were you however able to determine if it was a buy or sell....and at what point were you able to determine the spike

cheers

I tried to duplicate what they had and I felt I was close but.. I got to know the guy and he gave me some hints but he said what I was doing was going in a different direction. I actually liked what I was doing so I decided to pursue it and stop chasing his ideas to focus on my own.

For buy or sell, it's easy to post cherry-picked examples showing an indicator catching the top or bottom of the day. I don't try to do that at all. I look for the market to move and I just look for a low-risk point to hop on and take a small piece. So it's a very different way than what Trade Point was doing.

BTW their website isn't working. Anyone know what they're up to?

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 paps 
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thanks. Thats good to hear. Will try and bounce of few ideas of you.

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 paps 
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cunparis View Post
I tried to duplicate what they had and I felt I was close but.. I got to know the guy and he gave me some hints but he said what I was doing was going in a different direction. I actually liked what I was doing so I decided to pursue it and stop chasing his ideas to focus on my own.

For buy or sell, it's easy to post cherry-picked examples showing an indicator catching the top or bottom of the day. I don't try to do that at all. I look for the market to move and I just look for a low-risk point to hop on and take a small piece. So it's a very different way than what Trade Point was doing.

BTW their website isn't working. Anyone know what they're up to?

@cunparis heard the sad news that Pat passed away in sept 2014 due to illness. Was in vegas recently where i metup with Bonnie Pat's wife and business associate. Heard there are development and enhancements to existing work in the works and the site should be operation shortly.

thnx
s

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 cunparis 
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I will just add one more point: When i was trying reverse engineer their algorithms for intensity, I was able to reproduce the peaks that Pat had posted in his charts showing the top and/or bottom of the day. However, my indicator also had other peaks leading up to that top/bottom. And so I asked Pat to share a chart of earlier in the day so I could see whether he had the same "false alert" peaks or if his algorithms were able to filter out the exact top/bottom. He never would post any other charts leading up to the top/bottom. If you look closely this chart of the top/bottom spans a very small timeframe. I found this same pattern occurs during the trading day and if one traded off that they'd have a very low win rate.

later I learned more about the market and auction theory etc. and now I believe that no one knows when the top or bottom is in until way after. Often when there is a huge volume spike (doesn't require intensity!) that is exhaustion volume or capitulation. Barry of Emini-watch has his "Better Momentum" indicator to show this and that's one of the key points he looks for before expecting a reversal. However Barry (or me) do not try to catch the top/bottom with this like Pat was claiming. For me when I see that potentially exhaustion volume I'm not expecting it to go much farther so for example if I'm trading short on pullbacks and I see exhaustion selling, I stop trading the short side. But I don't trade long either! I just walk away.

Someone else at Trader's Laboratory claimed to have come up with something similar to Pat's intensity, as far as I know, he didn't post that he was using it or that it was useful for him.

I hope this is helpful. Good trading everyone.

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 paps 
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thanks @cunparis Its great that you could replicate some of the stuff.

I am not a coder so i always had to and have to rely on indicators... I do use some of Pat's indicators and it has taken me sometime to digest especially since I have not been day trading a lot for a while. An indicator is as good as the trader so there is always discretion . The charts which are shown in the thread many of them come from the Indicator pack if i am not mistaken. I do have it....but I also have something called HUD from Pat which is heads up display. I use the HUD which typically shows Commercial Interest & then I just extrapolate the Intensity which I classify as the Volume Spike into some other chart for analysis.

I have found his indicators to be very unique and helpful as I never found anyone else offering something similar. I also have Barry's stuff btw. There are quite a bit of stuff I did not look into from the indicator pack as he also classifies Net New Trades and many other things since I only look at Spikes & HUD ....but however of late I try and co-relate the spikes to index arb's and a lot of volume work i look into. This is something I have been working on and will be trying to understand the exact co-relation before i start on day trading again as this maybe my edge.

but from what i see and understand there is a definitive co-relation on the intensity of the spike from his charts and what the markets do in a span during/after. I have almost replicated them using 10sec/1sec charts of Indicators in Tradestation where it is apparent if it is Buy/Sell volume...or exhaustion but still reply on the spikes from his chart as it is much cleaner and better since the 1sec/10sec charts on my PC requires more horse power.

anyways i think it's a good discussion. I really think there is a difference as you rightly said between a volume spike & Intensity.

Thanks for sharing your views.

thnx n cheers
s

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  #85 (permalink)
 DavidHP 
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cunparis View Post
...so I asked Pat to share a chart of earlier in the day so I could see whether he had the same "false alert" peaks or if his algorithms were able to filter out the exact top/bottom. He never would post any other charts leading up to the top/bottom. If you look closely this chart of the top/bottom spans a very small timeframe. I found this same pattern occurs during the trading day and if one traded off that they'd have a very low win rate.

Someone else at Trader's Laboratory claimed to have come up with something similar to Pat's intensity, as far as I know, he didn't post that he was using it or that it was useful for him.

I created an indicator that would closely duplicate Pat's. It worked pretty much just like his and did what he said his did.
(He was not very helpful in the creation)
He would not post charts other than the hand picked examples but as cunparis said, other signals were produced.

I decided the indicator was not great for trading every signal and I have developed better replacements.
Here is an image I made of the original indicator in 2010.

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 paps 
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hi @DavidHP i guess he may have had his reasons not to post. One reason I can think of is the Spikes are real time. I have no way to see them if Tradestation is not up and running means they cannot be seen in a backtested method.

I normally do not post these but since you mentioned thought of posting.since i find them useful. Anyways I am just a user and my bias since I like it. This is part of my HUD feed but is similar to the spikes seen on the web. I however use the HUD and Spikes with a different co-relation which I will not discuss here since this is only related to the spikes.

thanks for sharing your views.

cheers
s




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 DavidHP 
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paps View Post
i guess he may have had his reasons not to post. One reason I can think of is the Spikes are real time.

Thanks for posting your charts.
I think I've used the correct time period on the chart below.
I'm in Central Time zone and I think your charts are your local time.

When I spoke with Pat he was not selling the indicator but later offered it for sale after the 'teasing' on Traders Lab.
I don't blame him for not helping to create the indicator and my comment was not critical of his decision to not share his insights.

The biggest issue I found with the indicator was that it only seemed to work well on Volume Bars (Share bars in Tradestation). That created some issues with picking the correct size of the bars. When ES is very busy (high volume), a bigger bar was needed to get the desired result. When ES was slow(premarket or low volume), a different size bar was best. As long as the correct bar size was used, the indicator worked fine, if the wrong size bar was used, the signal was either missing or at the wrong time.

That is why I developed a different way to accomplish the same result with more consistent results over varying market conditions.
This worked much better for me.

I hesitate to display this since I can not share the indicator nor the bar types.

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 paps 
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DavidHP View Post
Thanks for posting your charts.
I think I've used the correct time period on the chart below.
I'm in Central Time zone and I think your charts are your local time.

When I spoke with Pat he was not selling the indicator but later offered it for sale after the 'teasing' on Traders Lab.
I don't blame him for not helping to create the indicator and my comment was not critical of his decision to not share his insights.

The biggest issue I found with the indicator was that it only seemed to work well on Volume Bars (Share bars in Tradestation). That created some issues with picking the correct size of the bars. When ES is very busy (high volume), a bigger bar was needed to get the desired result. When ES was slow(premarket or low volume), a different size bar was best. As long as the correct bar size was used, the indicator worked fine, if the wrong size bar was used, the signal was either missing or at the wrong time.

That is why I developed a different way to accomplish the same result with more consistent results over varying market conditions.
This worked much better for me.

I hesitate to display this since I can not share the indicator nor the bar types.


Hi ...yea thnx for sharing your charts. Am on PST. I know quite many people were able to come very close to his charts with whatever info he shared on the web or at Traderslab.

I too have an almost a mimic of the same for the spikes i have worked on ...but never could get a very clean chart...probably coz i have zilch programming expertise. Yes when one get the spikes it is then left for any other analysis/techniques discretion or strategy to improve unless automation is so good that the detection triggers a buy/sell.

am not sure if it was a tease. I guess he did not want someone loose their shirt. many people may not really know what it takes to become successful as surely a indicator cannot make u rich whereas it can get rid of yr riches . anyways if you search the forum you would see I have been on a subscription which am currently on. I intend and my desire is to stay with Tradestation and Tradepoint for quite a while and will be looking for any updates to the sw in the near future. Was lucky to get the subscription as it was not offered straight away when i 1st approached him and approached many times subsequently when something triggered.

Anyways I did have the opportunity to meet Pat for an amazing evening during a vegas trip. He was quite a fantastic person to have met and I will remember him for many of the things we talked when we met...and for him he introducing me to the concept of the HUD and the spikes.

anyways goodluck.... and thnx for sharing yr comments.

cheers
s

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 Silvester17 
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I also believe that intensity (maybe not spikes) can be helpful in trading.

here's an indicator that measures intensity, including bid, ask and total volume. looks kind of nice, but not saying much without knowing what to look for:



now since I like to pay attention to bid/ask (delta) divergences, I included that with the intensity indicator as well. looking already better:



like mentioned above, I like bid/ask (delta) divergences. so we can include the delta volume divergence indicator here:



and when we put those 2 indicators on the same chart, it looks like this:



that's already a big improvement. but we still can do better

now we also take a look at the volume ladder. here pay we pay attention to the max and min delta divergences. that would have created the following trades (from yesterday and not cherry picked):











the following would have been the worst trade. still good for 2 points, but could have resulted in a loss:



have to say, there're a couple trades I wouldn't have taken. those were just examples without considering the actual details from the volume ladder. but still nice trades and I would like to call them the "quadruple divergence"

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 paps 
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@Silvester17 Must say yr ladder looks nice and you have a valid point and unique perspective and compliments OF is what I gather if used together.

I have traded off ladders in the past and have done so very successfuly due to very unique characteristics. vendor site did so much stuff with order flow and ladders that it was not funny. Won't get into vendor names here. Problem for me was it needed use of NT or their prop sw and was mostly in a lang which was not english which meant i had to go thru extra step of translating their videos and document for myself meant $s and time spent doing that...and had to also subscribe to data feed . Lol too much trouble since i cannot cut away from TradestatIon. The best have seen in OF trading considering have gone thru some few Of sw. I say this as I love the unique insight u bring in yr chart which is refreshing.

Anyways the thread focuses on spike..intensity so will not divert. I love what I have from Tradepoint and use it differently to what you showed. But thnx for sharing. It's a unique perspective and valid as you show. Even just ladders when used needs a good way to analyze which I have seen in the past as I mentioned. Really appreciate u sharing. If you ever consider Tradestation and can get a ladder in there I hope we can get in touch .

Friday was a day when stuff was very apparent with spike..intensity at peak. A similar day was around couple of weeks back. I guess yr chart is from last friday. People who understand markets will never cherry pick as yrself . Thnx again

Cheers
s

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 martin19 
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maybe off topic ,but where is posible buy this indicator when page dont work th

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 paps 
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martin19 View Post
maybe off topic ,but where is posible buy this indicator when page dont work th

Was searching for some stuff when i landed on the page. Seem the page should work. I know it was available for lease...not sure about the Buy part.

thnx
s

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 paps 
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paps View Post
Was searching for some stuff when i landed on the page. Seem the page should work. I know it was available for lease...not sure about the Buy part.

thnx
s

BUT IF U REALLY WANT TO UNDERSTAND LATENCY.....PATS THREAD ON HUD TRADEPOINT IS A START....HE IS NO LONGER WITH US....BUT I DID USE HIS STUFF....AND THAT WAS MY ADVENT TO UNDERSTAND WHAT ORDEFLOW REALLY IS...HE WAS AMAN TOO AHEAD OF RETIAL TIMES.....HE SHOULD HAVE BEEN WITH A HEDGEFUND INSTEAD.....


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