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Order Flow Analytics' D.B. Vaello (President) - Ask Me Anything (AMA)
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Order Flow Analytics' D.B. Vaello (President) - Ask Me Anything (AMA)

  #101 (permalink)
Elite Member
Moscow, Russia
 
Futures Experience: Intermediate
Platform: Multicharts.NET, InvestorRT
Favorite Futures: Futures
 
Posts: 4 since Feb 2012
Thanks: 2 given, 2 received

OFA/Free does not working with IQ feed

Hello, DB and OFA Team
I'm impressed with your OFA/Ninja plugin but before buying it I would like to test OFA/Free with IQ feed data for couple of days. But I can't make it work.
Everytime I try to load a chart with OFA/Free according to your instructions (it doesn't matter if I set "days to load" to 0 to see only realtime or any other number to see the history) I see only the message on the chart - "Downloading historical data 01.01.0001 00:00:00" and that's it - no history, no realtime.
I tried to test it with other datafeeds - CQG and Zen-Fire and it worked with no problem, updating in realtime with no problems.
I checked IQ feed subscription and tested it - I can see DOM, T&S, all the bid/ask information on any other charts but not on the OFA/Free.
Please, help me to resolve this issue. What did I miss and why the problem with IQ feed only? Waitng for suggestions...
Attached screenshots of NT platform with OFA/Free. 1st - using Zen-Fire feed, 2nd - using IQ feed

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  #102 (permalink)
Elite Member
Canada
 
Futures Experience: Advanced
Platform: Sierra Chart
Favorite Futures: ES,6E
 
marcovth's Avatar
 
Posts: 25 since Jun 2010
Thanks: 1 given, 27 received

Hello ...

I have been watching a number of DB's video, and I figured I could try to program some of the information he presented into Sierracharts.

He are some screenshots of what I came up with.

1.) The chart displays a minimum 6 tick directional move "Probe" (High-Low>6ticks) and a 3 tick reversal before a new bar is printed. The chart is build up from 1 sec time candles.

2.) Instead of the traditional same-price-level Ask-Bid delta which doesn't makes sense to DB, the colors of the markers were selected by calculating the average of the Diagonal Ask-Bid deltas within the last 20 bars.

- Diagonal Delta = current price AskVol - one price level low BidVol.
- Add up all the abs(Diagonal delta's) for each price level per bar for the last 20 bars, and make an average.
- If the abs(Diagonal deltas)>2xAvg, the color is Purple or Pink depending wether the delta is positive or negative.
- If the abs(Diagonal deltas)>1xAvg, the color goes from dark green/red to green/red.
- If the abs(Diagonal deltas)<1xAvg, the color goes from light green/red to white.

3.) If you see a triangle up, the Diagonal delta was positive, meaning more buying than selling pressure. Reverse for triangle down.

4.) If you see a greenish/purple square, this means the was more selling pressure than buying pressure BUT the price went up anyway, and a lot of traders are trapped.

5.) If you see a reddish/pink square, this means the was more buying pressure than selling pressure BUT the price went down anyway, and a lot of traders are trapped.

BTW, I still can't figure out how that works? You have more trades pushing in one direction than the other, but price goes opposite anyway ???

* DB likes Diagonal Ask/Bid ratio's, but personally I prefer to color by Diagonal Ask-Bid delta values.

6.) In blue is the highest volume Cluster, which is not the same as the highest volume price.

7.) The green and red zones are constructed by extending 3 consecutive volume clusters until they are taken out.

8.) The blue and gold zones are constructed by extending 2 consecutive volume clusters until they are taken out.

It's the first time I saw these zones last weekend, and it seems they display good support and resistance levels.
It's also interesting to see what the reaction is when they get broken.


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It needs a bit more programming, but I will use these candles in combination with cumulative delta candles and the method taught by Fulcrumtader.


Last edited by marcovth; September 19th, 2013 at 03:14 PM.
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  #103 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received



Koepisch View Post
@OrderFlowAnalytics
I've seen a screenshot of the "Order Flow Trade Manager" which acts as a helper to exit trades. It catches my attention, because i think order flow analysis can move the trailing stops more precise. Because i don't want add another chart to doing that manually, the described tool matches my needs. Where i can find more information about it?

Koepisch

Feel free to setup a sales consultation through the website. We do not actively market this product to the retail industry anymore as we have been in a due diligence process to sell the IP. That said, if it is a good fit for both of us, we will gladly provide access to it.

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #104 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received


yongthanyee View Post
Hi DB

Kindly have another data vendor eSignal for historical backfill.
eSignal carry bid ask tick data and covers more derivatives exchanges than iqFeed.

I am a fan of eSignal - been a customer for over a decade. If enough users request it we will write to it. Because NinjaTrader 8 should eliminate the need for developers to write hacks around the historical data we are trying to limit the development of additional APIs to this version.

I suggest you start a thread here or on our support forum for users wanting an eSignal connection. If the demand is there, I will do it.

As a side note, we should be releasing a version within eSignal sometime next year.

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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The following user says Thank You to OrderFlowAnalytics for this post:
 
  #105 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received


yongthanyee View Post
Hi DB...for the OFA/Ninja using iqFeed..just want to know whether the tick data used to drive the OFA chart comes from the Ninja Tick File itself or from another set of tick data stored by OFA/Ninja. If latter is true, Will it build up over time. User need to know how to delete this if needed..thanks...eric

The data comes directly from the IQfeed API and is not stored in NinaTrader at all. It is compressed and stored in-memory. Technically it will build up over time but the way we work with it in the RAM limits this from being a major system resource issue (assuming you actually have a good dedicated trading PC). The benefit is being able to make changes to the chart on the fly with very little time required to repopulate the chart. However there are limitations in place to dump excessive data from the memory if resources are being overly taxed.

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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The following user says Thank You to OrderFlowAnalytics for this post:
 
  #106 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received


elgrando View Post
Hello, DB and OFA Team
I'm impressed with your OFA/Ninja plugin but before buying it I would like to test OFA/Free with IQ feed data for couple of days. But I can't make it work.
Everytime I try to load a chart with OFA/Free according to your instructions (it doesn't matter if I set "days to load" to 0 to see only realtime or any other number to see the history) I see only the message on the chart - "Downloading historical data 01.01.0001 00:00:00" and that's it - no history, no realtime.
I tried to test it with other datafeeds - CQG and Zen-Fire and it worked with no problem, updating in realtime with no problems.
I checked IQ feed subscription and tested it - I can see DOM, T&S, all the bid/ask information on any other charts but not on the OFA/Free.
Please, help me to resolve this issue. What did I miss and why the problem with IQ feed only? Waitng for suggestions...
Attached screenshots of NT platform with OFA/Free. 1st - using Zen-Fire feed, 2nd - using IQ feed

I believe we sorted this out directly already - if not please post it again in the technical support forum on the website. I'm clearly not very good at monitoring this thread so asking for technical support here is probably the slowest way to have anything resolved.

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #107 (permalink)
 Vendor: orderflowanalytics.com 
San Antonio, TX, USA
 
Futures Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker/Data: Dorman/ZenFire + IQfeed + eSignal
Favorite Futures: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 75 received

Last Webinar

I want to thank everyone for joining us at the webinar this week. I really enjoy presenting with Mike and appreciate the great feedback and questions.

Some of you had a hard time finding the free download so I am posting it here as well. Please read the instructions and take a few minutes to watch the install video before requesting support. Almost every problem we have seen can be resolved through the troubleshooting notes or install video.

OFA/FREE

Thanks again!

DB

If you have any questions about the products or services provided by Order Flow Analytics, please send me a Private Message or use the BMT "Ask Me Anything" thread.
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  #108 (permalink)
Eric Yong
Penang, Malaysia
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Philips Futures/PATS; eSignal
Favorite Futures: BMD CPO
 
yongthanyee's Avatar
 
Posts: 49 since Feb 2012
Thanks: 77 given, 24 received

Vote for OrderFlowAnalytics for eSignal connection


OrderFlowAnalytics View Post
I am a fan of eSignal - been a customer for over a decade. If enough users request it we will write to it. Because NinjaTrader 8 should eliminate the need for developers to write hacks around the historical data we are trying to limit the development of additional APIs to this version.

I suggest you start a thread here or on our support forum for users wanting an eSignal connection. If the demand is there, I will do it.

As a side note, we should be releasing a version within eSignal sometime next year.

DB

Hi DB...thanks for the considering eSignal connection for OFA.

To all futures.io (formerly BMT) traders
I propose that we use this post as a voting poll to gauge the interest of traders for an eSignal connection for OFA. Just vote "thank you" as an indication of your demand...eric

Cheers...eric
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  #109 (permalink)
Elite Member
Milan Italy
 
Futures Experience: Intermediate
Platform: Ninjatrader, Sierra Chart
Favorite Futures: ES
 
Posts: 523 since Feb 2010
Thanks: 470 given, 628 received


marcovth View Post
Hello ...

I have been watching a number of DB's video, and I figured I could try to program some of the information he presented into Sierracharts.


BTW, I still can't figure out how that works? You have more trades pushing in one direction than the other, but price goes opposite anyway ???



6.) In blue is the highest volume Cluster, which is not the same as the highest volume price.



It needs a bit more programming, but I will use these candles in combination with cumulative delta candles and the method taught by Fulcrumtader.

An interesting project, thanks for sharing. I find it a little too busy for my taste, but then I'm not sure of all that's going on.

Re your question, the usual explanation is that aggressive buyers (eg) met much bigger passive sellers. So the positive delta piles up until they are finally exhausted, and then there's no one significant left to buy. So price drops easily on 'normal' delta. This can obviously happen over several price levels (and throughout the day).

But there is also a lot of hedging going on in futures, and that is non-directional.

How are you defining volume clusters? a specific number of levels or...?

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  #110 (permalink)
Elite Member
Canada
 
Futures Experience: Advanced
Platform: Sierra Chart
Favorite Futures: ES,6E
 
marcovth's Avatar
 
Posts: 25 since Jun 2010
Thanks: 1 given, 27 received



futuretrader View Post
How are you defining volume clusters? a specific number of levels or...?

You are talking about the zones?

If my method is the same, then there is surprising little to it.

Take a look at the top of bar 10:19h.

Ask=1204, previous Bid=477, ratio=1204/477=2.52
Ask=1705, previous Bid=717, ratio=1705/717=2.38
Ask=1066, previous Bid=389, ratio=1066/389=2.74

You have here three ratio's in a row higher than 2.0 (or what ever cutoff you set) and it draws a green zone.
At the same time, you also have two ratio's in a row higher than 2.0 and it draws a blue zone on top of the green zone, which turns light green.

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Second example, the 18:12:10h bar

Ask=129, previous Bid=563, ratio=563/129=-4.36
Ask=65, previous Bid=492, ratio=492/65=-7.56
Ask=181, previous Bid=412, ratio=412/181=-2.28

You have here three ABS(ratio's) in a row higher than 2.0 and it draws a red zone.
At the same time, you also have two ABS(ratio's) in a row higher than 2.0 and it draws a "gold" zone on top of the red zone, which turns orange.

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As far as I can see, there are no special algo's for this kind of cluster analysis.

I give the zones a three bars breading room before I cut them off when they are taken out, so it's easy to see when they are violated or function as support.

The 3 cluster zones get the height of three price levels, the 2 cluster zones get the height of one price level because they happen far more frequently, and they also get cut off if the second next bar cuts through them.


Screenshot of ES with Ratio markers.
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Last edited by marcovth; September 20th, 2013 at 09:26 AM.
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