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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)

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  #101 (permalink)
Moscow, Russia
 
Experience: Intermediate
Platform: Multicharts.NET, InvestorRT
Trading: Futures
 
Posts: 5 since Feb 2012
Thanks: 6 given, 2 received

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)
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
 
marcovth's Avatar
 
Posts: 25 since Jun 2010
Thanks: 1 given, 28 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.


Oil CL Futures ...


Oil CL Futures 2...


Gold Futures ...


ES


6E Euro



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

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  #103 (permalink)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 77 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)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
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Posts: 53 since Dec 2010
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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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  #105 (permalink)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 77 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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  #106 (permalink)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
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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)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
OrderFlowAnalytics's Avatar
 
Posts: 53 since Dec 2010
Thanks: 17 given, 77 received

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)
Penang, Malaysia
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Philips Futures/PATS; eSignal
Trading: BMD CPO
 
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Posts: 49 since Feb 2012
Thanks: 77 given, 23 received


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)
Como Italy
 
Experience: Intermediate
Platform: Ninjatrader, customized
Trading: ES
 
Posts: 526 since Feb 2010
Thanks: 471 given, 640 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)
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
 
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Posts: 25 since Jun 2010
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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.




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.




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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  #111 (permalink)
Canada
 
Experience: Advanced
Platform: Sierra Chart
Trading: ES,6E
 
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Posts: 25 since Jun 2010
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futuretrader View Post
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.

Just a quick brain storm ...

Did some one try to split the volume into cumulative delta bars where the price moved in the expected direction vs cumulative delta bars where the price did not move in the expected direction? Would this be the same as cumulative delta Uptick/DownTick?

Technical Studies Reference - Sierra Chart

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  #112 (permalink)
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  #113 (permalink)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
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Posts: 53 since Dec 2010
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Hello all,

I haven't stopped by in a while and thought I would catch up with everyone. I don't see any new posts - but if you have questions please do not hesitate to ask. We have a training event coming up later this month and still have weekly free webinars which are recorded can be viewed in our forum or on the YouTube.

Hope the holidays treated you well and the new year is prosperous for all!

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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  #114 (permalink)
London + UK
 
Experience: Advanced
Platform: Proprietary Analytics
Broker: Multiple broker + Multiple feed
Trading: Currently European and US equities
 
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Posts: 443 since Dec 2013
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Hi DB, How's it going?

Three points I'm hoping you can help with DB.

I'm looking at reviewing your tools, can you advise me on the best way to demo your full functionality.

Secondly, I'm planning on using a CQG feed for live/hist data, on your website you mention this is supported for back-filling hist data, however based on uptick/downtick. My question is how this differs from using IQFeed as the OFA datasource. Note: As I may add a secondary IQFeed but want to asses the benefits against the cost (e.g., whether CQG will do).

Finally, how do the NT8 changes impact you, are you working with the vendor already, or where does this fit into your plans going forward? This hopefully will cover some of the historical data access issues a lot of people have found in the past for order flow based tools and open your product up to a wider list of users with non standard data setups.

Let me know your thoughts on these questions and if you can assist in getting me setup for a trial.

Thanks,

Sand.

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  #115 (permalink)
San Antonio, TX, USA
 
Experience: Advanced
Platform: OFA, Ninja, eSignal, R-Trader
Broker: Dorman/ZenFire + IQfeed + eSignal
Trading: ES, 6E, 6B
 
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Posts: 53 since Dec 2010
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sands View Post
Three points I'm hoping you can help with DB.

I'm looking at reviewing your tools, can you advise me on the best way to demo your full functionality.

Secondly, I'm planning on using a CQG feed for live/hist data, on your website you mention this is supported for back-filling hist data, however based on uptick/downtick. My question is how this differs from using IQFeed as the OFA datasource. Note: As I may add a secondary IQFeed but want to asses the benefits against the cost (e.g., whether CQG will do).

Finally, how do the NT8 changes impact you, are you working with the vendor already, or where does this fit into your plans going forward? This hopefully will cover some of the historical data access issues a lot of people have found in the past for order flow based tools and open your product up to a wider list of users with non standard data setups.

Let me know your thoughts on these questions and if you can assist in getting me setup for a trial.

Thanks,

Sand.

Hello Sands,

1. We have a free version of OFA for you to mess with. It's not a trial - it's just free. That saves both of us a lot of time and agony.
2. Uptick/Downtick is a generic (and faulted) process. It assumes every uptick exchange occurs at the offer and every downtick occurs at the bid. It's just not the case. Is it the end of the world? Not really. The data is close to accurate. The bottom line, there will be differences in what you see historically. Some people cannot stand the idea of inaccuracies - others are less interested in quantifiable results.
3. All of Ninja's partners are waiting for instructions regarding NT8. Since Ninja is relatively dependent on their developer community to continue adding value to the platform, I would assume they have a strategic roll-out process for us. All discussions I've had with them back this up. We obviously hope that the historical bid/ask/last issue is resolved in NT8 but have yet to see anything more than you have. My assumption is we will be ready. 99.9% of that depends on how the release is handled.

You can register for the free version of OFA here: OFA/FREE

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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  #116 (permalink)
new york, ny/usa
 
Experience: Beginner
Platform: nt
Trading: futures
 
Posts: 128 since May 2012
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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.

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.


Oil CL Futures ...


Oil CL Futures 2...


Gold Futures ...


ES


6E Euro



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

Wow, very nice tool. Are you willing to share your indicator with others? Very cool what you've done here.

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  #117 (permalink)
toronto
 
Experience: Intermediate
Platform: metatrader
Trading: forex
 
Posts: 22 since Oct 2013
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Question 1)

To anyone who knows the answer

Are they still offering a free or trial version of the software? I keep trying to find the download link but have been unable to.
The free version link
orderflowanalytics.com/english/index.php/software/ofa-free

it keeps redirecting me to this annoying advertisement. http://orderflowanalytics.com/north-star

Is the free trial discontinued or is it a problem with their website's links.


Thanks

http://orderflowanalytics.com/north-star


Question 2)

Good day Mr Vaello,

I am intrigued by OrderFlowAnalytics but I have one question.

From my experience, one of the things that makes the market tough is that the waves (one can call them "dominant cycles") are constantly changing. Two downtrends (or two uptrends) never look the same. They always differ in their momentum, their smoothness, the amplitude of the peaks and valleys etc. While this is obvious, it is precisely this problem that makes indicators so useless. Because no particular period/setting can encompass the countless permutations of the market. Hence I generally prefer to use indicators or techniques that do not rely on an input from the user. If I have to define the period, smoothing, or any other parameter, the indicator is usually of little value for me.

So my question is whether OrderflowAnalytics is in the same boat?

I've watched the presentations you gave and your explanation of the ranking of the momentum (green/red, blue and white). Without probing into the firms propriety algos, I was just curious as to whether this ranking (based on some threshold being met) is just another input like every other indicator which rely on some arbitrary "look back" period in order to draw conclusions.

People use a 200 period SMA for no particular reason (presumably because it is "widely watched"). But the 200 period SMA (like any other number used for the SMA) will work sometimes and not work other times.

I dont know much about orderflow so I was curious as to whether order flow lends itself better to quantification than period-based indicators which measure the behavior of a defined number of candles in the past.

Is it the same for orderflows ranking system? In other words is order-flow unique in the sense that one can more robustly define what is "Normal" and what is "above normal", or is the momentum-of-orderflow just another slippery ether that is impossible to objectively quantify in terms of normal vs abnormal.

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  #118 (permalink)
Buenos Aires Argentina
 
Experience: Advanced
Platform: NT, MT4, Sierra
Trading: S&P, Bonds, Crude, FX
 
Posts: 250 since Sep 2014
Thanks: 37 given, 244 received

DB, are there any plans on making the OFA software compatible with the Sierra Charts platform or are the current plans to keep it just on the Ninja Platform for the foreseeable future?

If the plans are to just stay on the Ninja platform, is it because A) there's no customer interest for it to be on Sierra, B) the cost of maintaining it on SC because up their more frequent updates, or C) the cost to be able to re-code to make it compatible with the SC platform?

If the issue is cost, how large of a project would it be to re-code and would you have any interest in the conversion if that R&D were funded by an outside party? Thanks.

Thanks.

 
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  #119 (permalink)
Bangkok thailand
 
Experience: Advanced
Platform: Multicharts, ninjatrader, tradestation, fxcm
Trading: Es forex
 
Posts: 116 since Jan 2015
Thanks: 128 given, 64 received

I would be interested to know what DB and bigmike think of this:
Trading Bonds with Chip ColeTrading Bonds with Chip Cole
please read this blurb. $2500 for a course. NO broker statements shown.

I wonder if it fits with the statement in the first post of this thread about "certified trustworthy"

 
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Hi guys,

This thread is now closed. These days, we reserve AMA threads only for site sponsors.

Mike

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