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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)


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Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

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 Big Mike 
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Peter Davies, Founder of Jigsaw Trading, will be monitoring this thread so that he may answer any questions that you post here relating to Jigsaw Trading products and services.

Please keep in mind that some customer service/technical support issues are best handled through proper channels at Jigsaw Trading.

Jigsaw Trading is known for their Order Flow tools that act as NinjaTrader add-ons, such as their combination DOM + Time & Sales tool, Reconstructed Tape, and Summary Tape. Peter Davies developed these tools after a number of false starts in his own trading which lead him to seek in-depth instruction in reading order flow. Peter Davies has a background in software development and is leveraging his experience to build better tools for traders.

In addition to this thread, I will also be asking Peter Davies to stop by on occasion for a casual webinar where he can answer questions via audio while also sharing his screen to visually demonstrate any points as needed. The date/time of those sessions will be announced here in this thread. These sessions will be limited to questions only, there is no prepared presentation. After the session ends, the recording will be posted in this thread.

You can find more on their website:
Day Trading ? Get Price Action & Futures Day Trading Software From Jigsaw Trading

Feel free to ask any questions below and we'll do our best to get them answered.

The futures.io (formerly BMT) "AMA" (Ask Me Anything) series is by invitation only. It is part of a new program we are launching shortly called "Certified Trustworthy", something that has been months in the making. I will provide all the details of this new program as soon as it is ready for launch.

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 Big Mike 
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Hi Peter,

I will start with the first few questions...

a) What exactly is @DionysusToast, how do you pronounce it, and what does it mean?

b) When I talked to you, you mentioned that you sought out in-depth instruction in order flow. Where did this instruction come from? Do you have a mentor in this area, or was it a self-taught revelation?

c) Order Flow is a popular term these days, but few can objectively quantify or qualify the advantage of studying order flow without applying discretion. Do you think reading Order Flow is an art? Is it only useful for discretionary traders, or do you have algorithmic traders making use of certain tape reading techniques (beyond L1, and into L2 depth)?

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Big Mike View Post
Hi Peter,

I will start with the first few questions...

a) What exactly is @DionysusToast, how do you pronounce it, and what does it mean?

Thanks Mike.

Dionysus is the Greek God of wine, fertility (one does tend to lead to the other)and drunken revelry. The toast is along the same lines as the wine. It's a tongue-in-cheek 'lofty' sounding name that would have anyone that looked it up take me less seriously.


Big Mike View Post
b) When I talked to you, you mentioned that you sought out in-depth instruction in order flow. Where did this instruction come from? Do you have a mentor in this area, or was it a self-taught revelation?

Almost everything I do in trading was taught to me. I tip my hat to people that figured out how all this works. I was never the type to be able to figure it out for myself but I am the sort of person that wants to do things myself once I understand them. My journey was:

Richard Joyson AKA Mr Chart - A 2 day course in trading news/earnings stocks. That was my first look at Time & Sales/Level 2 but the order flow part was perhaps only 25% of the time spent. The rest was on trade location.

After some time with that, I really wanted more instruction on the order flow side and I couldn't find anything. I found Joel Parkers "Price Action Room" and told Joel I wanted some help with stocks. He didn't cover that, only futures. He said it would be useful and told me I'd probably want to switch to futures after seeing what he had. This really opened my eyes in terms of using order flow for position day trading. Joel was 100% right that I would not want to trade stocks after that.

A while later, I found the No BS DayTrading eBook from John Grady, I read the book/watched the videos and then took one of his 1 month webinars. This was more on scalping techniques, which is different from using order flow for position day trades. I wasn't looking to reinvent my trading at this point, just to understand how other people did things.

There is also one other guy, a prop trader who prefers remain anonymous that has been showing me other techniques, especially scalping tight consolidation areas.

I also took other courses related to trade location for position trading.

I will continue to take courses/learn from people that I think have something to teach me that I can fit in around my trading.


Big Mike View Post
c) Order Flow is a popular term these days, but few can objectively quantify or qualify the advantage of studying order flow without applying discretion. Do you think reading Order Flow is an art? Is it only useful for discretionary traders, or do you have algorithmic traders making use of certain tape reading techniques (beyond L1, and into L2 depth)?

Mike

I think 'art' puts people off. I think it's more of a skill like driving. I remember once taking an hours 'flight' in an Airbus flight simulator, at the end of the hour, I was uptight, sweating and had to peel my hands off the yoke, yet there are people that can get in a commercial airliner and fly without much thought. This is the way we develop skills, we go from conscious to unconscious competence.

When you tell mechanically minded people that you develop a gut feel, they think 'random', 'no rules', 'ethereal', 'damn hippies' or something like that. The same people will get in a car driving 55mph, see a dog jump out in front of them 25 meters away and know instantly whether to brake, swerve or hit the dog. You just get a feel for it. It takes less effort.

In terms of trading it with algorithms. There are some studies on line on SOBI - Static Order Book Imbalance that might be a starting point. Trading platforms don't exactly make it easy though. I haven't seen a platform that lets you backtest level 2 or even level 1 information. I think that using order flow information as a component in a strategy that position day trades is feasible.

Using order flow for scalping has it's issues because there is a lot of bluffing and faking going on. If you are the one doing the bluffing or faking, then it's probably something you could automate (if you can throw a few 1000 ES contracts at the market) but reading the bluffing & faking would be like programming a computer to play poker.

I think this article is interesting on "how to handle deliberate misinformation and how to make intelligent guesses based on partial knowledge" - automation of poker....

Are computers better at poker than humans, asks Robert Blincoe | Technology | The Guardian

I think this helps to define the complexity of the challenge anyway.

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 Zwaen 
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Hi Peter,

If I remember correctly, you mention in one of your free webinars that you sometimes would see very large orders in the market –eg an iceberg – and the market would just fill and run this orders over. You couldn’t understand this until you met someone from the pit who said these are probably arbitrageurs or hedgers without directional bias.

But couldn’t you say demand is just demand ( or supply) and the market should rise/fall when large orders enter a certain direction ( regardless the purpose of the person/machine putting in the orders )?

One of my worst enemies are my own false assumptions
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Zwaen View Post
Hi Peter,

If I remember correctly, you mention in one of your free webinars that you sometimes would see very large orders in the market –eg an iceberg – and the market would just fill and run this orders over. You couldn’t understand this until you met someone from the pit who said these are probably arbitrageurs or hedgers without directional bias.

But couldn’t you say demand is just demand ( or supply) and the market should rise/fall when large orders enter a certain direction ( regardless the purpose of the person/machine putting in the orders )?

One of the key indicators of a short term reversal in any market is absorption. Someone steps up and starts absorbing market orders. Sell market orders may continue to hit into the market but bidders just absorb all the selling. This is often done in the form of an iceberg order.

Absorption on the bid itself isn't going to move the market back up. Usually, it is followed by pulling offers and throwing market buy orders in to get the ball rolling on the way back up.

If the iceberg is not part of a directional play, then there will be no follow through. The trader with the iceberg has no stake in the market direction after the iceberg. They will not defend the area.

In many cases, it's a good trade to lean ion an iceberg but you want to be doing this when there is a directional play under way otherwise it becomes more of a coin toss.

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 Big Mike 
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Tip


There will be a Live AMA session on Thursday, March 21st @ 12:00 PM ET.

- Quick and casual, 30 minute cap
- No prepared presentation
- Live screen sharing
- Floor will be opened immediately to questions
- Recording uploaded to AMA thread afterwards
- Attend live to get your questions answered

The link for the event is:
https://www3.gotomeeting.com/register/135401190




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 dom64 
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DionysusToast View Post
One of the key indicators of a short term reversal in any market is absorption. Someone steps up and starts absorbing market orders. Sell market orders may continue to hit into the market but bidders just absorb all the selling. This is often done in the form of an iceberg order.

Absorption on the bid itself isn't going to move the market back up. Usually, it is followed by pulling offers and throwing market buy orders in to get the ball rolling on the way back up.

If the iceberg is not part of a directional play, then there will be no follow through. The trader with the iceberg has no stake in the market direction after the iceberg. They will not defend the area.

In many cases, it's a good trade to lean ion an iceberg but you want to be doing this when there is a directional play under way otherwise it becomes more of a coin toss.

And knowing if there is a directional play to follow the iceberg is a coin toss to start with, isn't it?

How would one tell when leaning on an iceberg if there is follow through or if this is just a level an algo has been set to bid/offer for x y z reason (which I suppose we don't even need to care about IMO)?

Thanks Peter!

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dom64 View Post
And knowing if there is a directional play to follow the iceberg is a coin toss to start with, isn't it?

How would one tell when leaning on an iceberg if there is follow through or if this is just a level an algo has been set to bid/offer for x y z reason (which I suppose we don't even need to care about IMO)?

Thanks Peter!

Look for a couple of things:

1 - Good trade location. So for example, if you are in a range day as of late then you look at the top and bottom of the range/steps in the volume profile.

2 - Look for spoofing on the opposite side as that is more indicative of someone trying to flip the market, especially for example if we just bounced off the day high for the 2nd time, we come down 5 ticks off the high, sellers get excited and the offers are stacked and then there is an iceberg on the bid (also 4/5 ticks off a range high)

3 - Look for icebergs on the bid in the pullback on an uptrend

4 - Be aware of icebergs at the POC - the area with the highest volume of trading will tend to have high volume again but the trade location isn't very good.

5 - The more time at that level, the better quality the iceberg is. If you hit a level and 4000 trade and it's an iceberg but it's done in 20 seconds, wait to see how it plays. Gives people more time to consider bailing out.

In all cases, you can see the iceberg and decide to join it. You can also wait until you see size come in on the other side and start to push the market up. Less ticks but more confirmation.

One thing I also like to look at is the "average tick" - simply (O + H + L) / 3 of the NYSE Tick. If that starts moving up when you have an iceberg on the bid, it's a good sign. You could also reference one of the other indices - same thing.

Finally - if you use the cumulative delta. If you are seeing iceberg after iceberg on the bid and delta is pushing down 20k contracts with no real down move on price, then I'd expect the bidders to bail in the end.

Of course, all of this is relative. Right now the market is ultra thick and we can move up 3 ticks, trade 15k contracts on each side, move up 2 ticks, trade 7k on each side, then down 4 ticks do the same again. This makes things very tough. Much easier when we are averaging 6-700 contracts to eat through each level.

I feel sorry for anyone that just started looking at order flow on the ES in the past 2 weeks!

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Bump for tomorrow's AMA @ 12PM ET:

Link:
https://www3.gotomeeting.com/register/135401190



Mike

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 Big Mike 
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I want to thank Pete for his time today, especially considering it was midnight in his time zone.

Below is the video recording of the AMA session. If anyone has further questions, please ask in this thread.

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 mongoose 
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Enjoyed watching the AMA recording, looking forward to hear what other platforms this will become available for.

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Pete, any plans to add an estimated position in queue?

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Big Mike View Post
Pete, any plans to add an estimated position in queue?

Mike

I've discussed it with a few customers. I'm in 2 minds about it.

On the one hand, I do have people moving over from XTrader to Jigsaw and that feature is something they like.

On the other hand, I never set out to be an XTrader clone or use their feature list as my design spec.

The order entry aspect of Jigsaw is pretty squarely targeted as a 'no frills but no fumbling' order entry tools so leans more towards scalpers so it is very relevant.

EPIC is quite a rough estimation and pretty inaccurate, I think if I can find a better way to implement a way of showing people where they are in the queue, then I will do it. It'll have to come after the new platforms though.

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 trendisyourfriend 
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I have listened to the presentation Yesterday and must admit this was my first exposure to this kind of tool. I did understand nothing and really can't see the benefits yet but i would like to stay open and deepen my knowledge a bit more question of beeing able to discuss intelligently with my peers. What path in terms of education would you suggest so that i can educate myself and is this tool a replacement of the footprint (volume ladder) ? thanks.

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trendisyourfriend View Post
I have listened to the presentation Yesterday and must admit this was my first exposure to this kind of tool. I did understand nothing and really can't see the benefits yet but i would like to stay open and deepen my knowledge a bit more question of beeing able to discuss intelligently with my peers. What path in terms of education would you suggest so that i can educate myself and is this tool a replacement of the footprint (volume ladder) ? thanks.

We have a 2-part webinar coming up on futures.io (formerly BMT) that will take order flow novices from zero to having an understanding of the concepts that underly all order flow tools (not just ours). I hope that will give people the tools for them to then go out and develop their own approach.

The Webinars will be in May. There's no harm in you having a look at this stuff before that but I wouldn't advise turning yourself into a screen zombie at this point.

I meet lots of traders through Jigsaw. Some can read a footprint and then will ask "how does cumulative delta work?" - to me, that says they don't understand the concepts that underpin all order flow tools. To me a Cumulative Delta/Footprint/Time & Sales/Jigsaw tools - it's all different ways of looking at the same thing. There's a philosophy you need to grasp. I didn't get it myself 'till someone explained it to me. So I plan to pass on the knowledge too.

I have a certain way of explaining this in laymans terms that has so far been effective. That's what we will do in May. Now - regarding the footprint, I probably already answered that in a roundabout way. There is absolutely some overlap between Jigsaw tools and the footprint. The only difference is in how 'zoomed in' you are and the fact that DOMs are unique in showing resting orders, not just executions.

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 fourtiwinks 
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I've just watched the recording and towards the end, Peter mentioned about supporting other platforms, besides NT. I sure hope Sierra Chart will be one of them..

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 syxforex 
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I wanna be a screen zombie too, or shall I say, again... hah

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 Big Mike 
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Peter will be presenting a multi-part webinar series on Order Flow Techniques for Day Traders on futures.io (formerly BMT). Part I will be Saturday, May 4th @ 12:00 PM ET.

More details in this thread:


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 DarkPoolTrading 
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@DionysusToast, I just watched the webinar done by @xelaar on trading thin fast markets using order flow techniques. Very informative, thanks @xelaar.

Peter (or xelaar) what are your thoughts on trading thin, yet slower moving markets. For example the YM I presume would be regarded as a thin market but it moves slowly relative to the likes of crude, gold etc.

No specific question here,...just interested in your thoughts on using orderflow techniques in thin + slow markets and what you might keep an eye out for which you wouldn't look for in other markets.

Edit: Hi again Peter, i've just watched part two of your three part webinar where you actually discuss a bit of the above. So unless there's anything else you want to add here,...please ignore my question

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 Sazon 
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Hi Peter,

I have been trying to find more information on the beta version of the new strength meter. You posted some information here about it:



I understand what the top meter is doing. However, I'm still can't make heads or tails of what I'm looking at for the other two meters. For instance, sometimes it appears that the pulling/staking values of the meter do not agree with what's on the depth & sales when I add up the numbers in my head....unless I'm looking it at all wrong.


Could you clarify what the pulling/stacking meter and bids/offer meter are calculating?

Also, how does the "Meter Levels" setting affect their calculations.

Thanks

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 RichardHK 
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>>Peter Davies:blue/bullish side - Any +ve numbers from the bid snapshot plus any -ve numbers from the offer snapshot (but the absolute value). Reverse for red/bearish side.
Me: Aahhh, thanks. The absolute addition happens across BOTH sides - that's what threw me. <<

Sazon, ref Snapshot query

Above is Pete's answer on the Jigsaw forum where I asked same question. Due to data sync issues (we cannot avoid) the background Jigsaw calculation and foreground action seen on D&S will still be out of sync a little sometimes!

Hope that helps. Pete is supposed to be taking a few days holiday so felt I had better comment here.

Richard
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 Sazon 
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>>Peter Davies:blue/bullish side - Any +ve numbers from the bid snapshot plus any -ve numbers from the offer snapshot (but the absolute value). Reverse for red/bearish side.
Me: Aahhh, thanks. The absolute addition happens across BOTH sides - that's what threw me. <<

Sazon, ref Snapshot query

Above is Pete's answer on the Jigsaw forum where I asked same question. Due to data sync issues (we cannot avoid) the background Jigsaw calculation and foreground action seen on D&S will still be out of sync a little sometimes!

Hope that helps. Pete is supposed to be taking a few days holiday so felt I had better comment here.

Thanks for that clarification.

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 humseper 
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Can the jigsaw trader also be used for stocks?

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humseper View Post
Can the jigsaw trader also be used for stocks?

It can - BUT there are a few gotchas

- Recon Tape, Summary Tape will work fine
- Depth & Sales is a vertical display - 1 line per price. So for high priced stocks like AAPL, there are lots of empty lines because of the larger spread. For $0-$80 stocks that are actively trader (> 500,000k per day) it will still work well
- NinjaTrader have a problem with eSignal depth data right now and so you cannot rely on Ninja DOM or Jigsaw D&S to display the correct depth.
- NinjaTrader have a problem with IBs Totalview data so same as above for IB data
- Kinetick data works fine with Ninja but Kinetick don't provide totalview.

For those that do not know what total view is.

Level 2 data on stocks shows the BEST bid and BEST offer for each participant or exchange. So if there is a bid at 49.99 on ARCA for 50 lots and a bid at 49.98 for 5000 lots, then only the 50 lots will appear.

Totalview is a sort of 'extended' Level 2 that shows EVERY bid/offer for each participant or exchange. So you see full depth.

TotalView is for NASDAQ.

So - you have a situation where Ninja cannot handle Any Level 2 data from eSignal or TotalView data from IB. Both issues have been reported to Ninja and Ninja has flatly refused to fix these issues despite the fact that in both cases, depth data is reported incorrectly. eSingal is just plain wrong and for IB, they say that "TotalView is not supported", although you only get to find that out if you report the issue.

Whilst Kinetick and L2 on IB are OK - they only show best bids/offers per participant and if that's enough for you, then you are OK. I personally prefer to have a full view of depth.

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 humseper 
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So will I be able to view the level ll totalview, if I got IB at the broker and use another dataprovider than IB or Kinetick?

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So will I be able to view the level ll totalview, if I got IB at the broker and use another dataprovider than IB or Kinetick?

Sure - but I'm not sure which data provider you can use.

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 Xav1029 
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Hey Pete,

Any way to add a "cumulative" option to the snapshot strength meter? This is actually something I had been working on, but hadn't had much time. I think it is valuable information to know how the limit orders have been holding up over a bigger time span than just an individual spread, specially in thinner markets. For example if there is a run up, and during that run up, the ask had been getting pulled and the bid had been getting stacked, but then a certain point is reached where players quit pulling their limits and start cashing out.

Great update as always,

Xav

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Hey Pete,

Any way to add a "cumulative" option to the snapshot strength meter? This is actually something I had been working on, but hadn't had much time. I think it is valuable information to know how the limit orders have been holding up over a bigger time span than just an individual spread, specially in thinner markets. For example if there is a run up, and during that run up, the ask had been getting pulled and the bid had been getting stacked, but then a certain point is reached where players quit pulling their limits and start cashing out.

Great update as always,

Xav

I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.

This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.

So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.

You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.

For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.

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 Xav1029 
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DionysusToast View Post
I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.

This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.

So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.

You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.

For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.

Well its the same principle as CD, but more like Level II Delta. The numbers do get big(I had a working cumulative level II delta tool coded up, but it was a resource hog), but they scale VERY close to PA. I actually like when the numbers got big, because they quit looking so jumpy on a cumulative chart. Another idea could be time based accumulation,,,say the past N-minutes. This is just something I had been experimenting with, but could not got lean code.

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 tderrick 
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Xav1029 View Post
Well its the same principle as CD, but more like Level II Delta. The numbers do get big(I had a working cumulative level II delta tool coded up, but it was a resource hog), but they scale VERY close to PA. I actually like when the numbers got big, because they quit looking so jumpy on a cumulative chart. Another idea could be time based accumulation,,,say the past N-minutes. This is just something I had been experimenting with, but could not got lean code.


Code guys conversing.... I feel dizzy

cheers to you both


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LogicalTrader
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DionysusToast View Post
I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.

This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.

So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.

You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.

For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.

Hi Peter, first of all, thank you very much for Jigsaw and more importantly for the manual/documentation that comes along with it. If I hadn't bought your software and read the manual, I would be far behind in my trading than I am right now.

I saw this question and your answer and I thought I might have something to contribute here. I dont use Jigsaw anymore (reasons that have nothing to do with the awesomeness of the product) so I do not know much about the swing meter and this post might be completely irrelevant therefore. But I am hoping it would help.

I came to a similar conclusion after watching the D&S on Jigsaw that if somehow the "Iceberg factor" (for lack of a better expression) could be accumulated on a "rolling" basis, it might be helpful to gauge where the "factor" turns in favor of either the continuation of a move during a pullback or a reversal. Also, for me, it had to be visual rather than numerical.

I am a programmer myself and I use TradeStation so since I had easy access via its API to the cumulative delta, I programmed my own version of the "Iceberg factor" and it looks something like this. This is yesterday's CL 500 volume chart and although I dont trade like this, I drew the developing support/resistance lines based on prior swing points to demonstrate my point.



It is really helpful for thinner markets like CL especially on rotational/range bound days like yesterday. I compute the cumulative delta on a rolling basis and when its rate of increase/decrease goes over a user specified threshold, display a dot identifying more than normal buy orders lifting offers in an upmove and vice-versa suggesting an accumulation or absorption of orders. When this happens at prior swing points or touches of trend lines in a move, it could be a useful tool as a confirmation for entry.

Just my 2 cents. I hope I understood the context of the conversation here correctly.

Thanks.

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 tderrick 
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iNeo View Post
Hi Peter, first of all, thank you very much for Jigsaw and more importantly for the manual/documentation that comes along with it. If I hadn't bought your software and read the manual, I would be far behind in my trading than I am right now.

Thanks.


One more vote for my brotha's at Jigsaw...

One of my favorite trades is trading the retest of an area. - the "second mouse gets the cheese" concept.

I had observed that exhaustion 5 and 15 minute bars were often retested at some point up the wick
before a leg reversal, forming double tops or "tweezer" formations. This trade works best at SR price seams,
of course, but I never knew WHY.... Also, where to place the limit order was guess work and a constant
source of frustration to see a PB come within 2 or 3 ticks of my order, only to hammer back and fly off without
me. (The beauty of this trade - almost instantly in the green)

Now, with the Jigsaw DOM's volume profile bit, I can see exactly where to place the order. It's simply supply
and demand. Price will typically retest where the supply drops off after a volume "spike" or "cliff"

I used to think these pull backs were random. Not anymore.

I will never trade without Volume Profile and Order Flow again.

Trading a pure naked chart without volume / order flow cues is gambling at best.

Scalping the bounces off these areas is actually quite easy now. The only thing in question, 75% of the time, is how far will it bounce, 4 ticks or 40 ...


-___________________________________

... and did I mention the Jigsaw support ? - stellar ..


grazie, Pete and the gang...


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tderrick View Post
One more vote for my brotha's at Jigsaw...

One of my favorite trades is trading the retest of an area. - the "second mouse gets the cheese" concept.

I had observed that exhaustion 5 and 15 minute bars were often retested at some point up the wick
before a leg reversal, forming double tops or "tweezer" formations. This trade works best at SR price seams,
of course, but I never knew WHY.... Also, where to place the limit order was guess work and a constant
source of frustration to see a PB come within 2 or 3 ticks of my order, only to hammer back and fly off without
me. (The beauty of this trade - almost instantly in the green)

...........

Scalping the bounces off these areas is actually quite easy now. The only thing in question, 75% of the time, is how far will it bounce, 4 ticks or 40 ...
-___________________________________

... and did I mention the Jigsaw support ? - stellar ..

grazie, Pete and the gang...



Hi tderrick,
Thanks for your observation. Of cause all the knots very visible at Jigsaw DOM.. Perhaps I did not understood you correctly, but perhaps its easier to see such levels at footprint. What do you think?
Perhaps you have some specific examples of exhaustion 5 and 15 minute bars for some instruments, of cause...

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 tderrick 
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bisecom View Post
Hi tderrick,
Thanks for your observation. Of cause all the knots very visible at Jigsaw DOM.. Perhaps I did not understood you correctly, but perhaps its easier to see such levels at footprint. What do you think?
Perhaps you have some specific examples of exhaustion 5 and 15 minute bars for some instruments, of cause...


Sure ... I'll look for some classic examples over the next few days to post up


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 dom64 
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I have been a huge fan of Jigsaw and could not trade without it, not to mention how good Peter is in terms of support,webinars, etc..

Now with regards with Cumulative delta, I have to admit I have never seen the use of it other than at extreme times (I.e, huge delta on one side with a price not moving or going the opposite way), and I must say I can't quite see how a delta between Buy/Sell when there is just as many buyers as sellers on each side can be representative if anything but an aggressive stance from one side or another at a given level. Adding the fact that by comparing Buy and Sell we are comparing 2 different prices, I can't get my head round to making much sense of this, but would love to hear more about it if some of you can use CD to their advantage.





LogicalTrader View Post
Hi Peter, first of all, thank you very much for Jigsaw and more importantly for the manual/documentation that comes along with it. If I hadn't bought your software and read the manual, I would be far behind in my trading than I am right now.

I saw this question and your answer and I thought I might have something to contribute here. I dont use Jigsaw anymore (reasons that have nothing to do with the awesomeness of the product) so I do not know much about the swing meter and this post might be completely irrelevant therefore. But I am hoping it would help.

I came to a similar conclusion after watching the D&S on Jigsaw that if somehow the "Iceberg factor" (for lack of a better expression) could be accumulated on a "rolling" basis, it might be helpful to gauge where the "factor" turns in favor of either the continuation of a move during a pullback or a reversal. Also, for me, it had to be visual rather than numerical.

I am a programmer myself and I use TradeStation so since I had easy access via its API to the cumulative delta, I programmed my own version of the "Iceberg factor" and it looks something like this. This is yesterday's CL 500 volume chart and although I dont trade like this, I drew the developing support/resistance lines based on prior swing points to demonstrate my point.



It is really helpful for thinner markets like CL especially on rotational/range bound days like yesterday. I compute the cumulative delta on a rolling basis and when its rate of increase/decrease goes over a user specified threshold, display a dot identifying more than normal buy orders lifting offers in an upmove and vice-versa suggesting an accumulation or absorption of orders. When this happens at prior swing points or touches of trend lines in a move, it could be a useful tool as a confirmation for entry.

Just my 2 cents. I hope I understood the context of the conversation here correctly.

Thanks.


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LogicalTrader
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dom64 View Post
I have been a huge fan of Jigsaw and could not trade without it, not to mention how good Peter is in terms of support,webinars, etc..

Now with regards with Cumulative delta, I have to admit I have never seen the use of it other than at extreme times (I.e, huge delta on one side with a price not moving or going the opposite way), and I must say I can't quite see how a delta between Buy/Sell when there is just as many buyers as sellers on each side can be representative if anything but an aggressive stance from one side or another at a given level. Adding the fact that by comparing Buy and Sell we are comparing 2 different prices, I can't get my head round to making much sense of this, but would love to hear more about it if some of you can use CD to their advantage.

Big fan of Jigsaw myself. Learnt a lot from the software and documentation. I will never forget what the sheep do

Not sure if this is the right forum to discuss my take on the usage of cumulative delta so I would just point you to a page in my journal which comes closest to discussing in more detail what I was talking about. This post discusses the theory that later materialized into the dots plotting on my chart:

Thanks.

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 Big Mike 
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Tip


There will be a Live AMA session on Wednesday, May 28th @ 12:00 PM ET.

- Quick and casual, 30 minute cap
- No prepared presentation
- Live screen sharing
- Floor will be opened immediately to questions
- Recording uploaded to AMA thread afterwards
- Attend live to get your questions answered

The link for the event is:
https://www3.gotomeeting.com/register/128503806




This AMA is for Jigsaw Trading, you can ask Peter any questions about trading in general or his products/services. Jigsaw Trading is a futures.io (formerly BMT) site sponsor and this AMA may contain discussion of his products or services.

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 Big Mike 
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Reminder for today's AMA. Link is in post above.

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 Big Mike 
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Mike

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 Big Mike 
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Thanks to Pete for his time today for the AMA.

I'll post the recording when it's ready. If anyone did not get their questions answered, you can post them here in this thread or visit Jigsaw's website at Jigsaw Trading - Day Trading tools, day trading methods,day trading community

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 Big Mike 
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Here is the AMA recording (please give YouTube an hour to finish processing):



Mike

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 hlatham 
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Thanks for the webinar, with regard to the requests for other platforms I'd like to add my vote to CQG, would make things easier for me if they could be integrated but I guess that's down to popular demand.

Cheers.

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 FKtrader 
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Hello PETE

i have some question and ur help will be very appreciated.

1-how is the liquidity15 minute before and after the OPEN of any future market?(especially CL and NQ)

2-its good to take trade around this times or not? why?

3-how we can measure the liquidity of a market in a specific period of time? Did jigsaw tool help on doing it?

4-what is ur best platform for very quick and strong execution? and how we can minimize slippage?

I appreciate ur very precious answers

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Adam - I'll go one by one...

1-how is the liquidity15 minute before and after the OPEN of any future market?(especially CL and NQ)

I mostly watch the ES. There's no good answer to this because it never exhibits specific behaviour ahead of the open. It does appear that people back off it a little though. Sometimes it thins out AND slows down as people get out of the way as the open comes up. Normally thinning out would make it more volatile - but it's like everyone backs off a bit.

Then there's other times where it just sits in a tight range or trades a lot of volume at a price into the open and we look for the extremes of that range to hold (at least the first hit) as we open. This is good for a scalp but often it's only the first hit to that extreme that holds and quite often it's that fast you don't get a chance to hit it.

Then there's times where it's ranging around the high volume area of the Globex session. Then 5-10 mins before the open, it'll suddenly move out of that range 6-8 ticks. It can be churning for hours and then it just makes a move prior to the open on low liquidity. With those, I have no clear trade at the open.

After the open - well the first couple of minutes sometimes has a "tell" with a level that trades huge volume and then holds but like the action into the open, every open is different. I tend to look for an open that ranges or an open that makes a definite move and then play accordingly.

Sorry to be so vague.


2-its good to take trade around this times or not? why?

If there's say 4-6 prices with high volume that we are close to at the open - then often the "step" in the globex profile will hold and that's not a bad trade.

For me though - I'd rather let the opening 15 minutes play out nowadays to get a feel for where the market is headed. That's just me though - I found it's all a bit quick at those times & prone to rapid reversals. Like an open that shoots up, hits yesterdays high and then reverses - not a great time to be caught long. I find you can end up "chasing" the market a bit at those times.

3-how we can measure the liquidity of a market in a specific period of time? Did jigsaw tool help on doing it?


Any DOM can show you the stated liquidity - it's just how big the bids & offers are. You get a feel for that - so on ES, if I saw 2500 at every level, I'd think it was very liquid. If it was 400 at each level, it would be really slippy and illiquid. So you get a feel for each market.

Then Depth & Sales specifically shows you what's traded at each level as it goes through - a Footprint chart/GOMI Ladder on a Point & Figure chart would also show the same but in a different way - in that case you are looking to see how much trades through each level and again comparing that to what you normally see.

4-what is ur best platform for very quick and strong execution? and how we can minimize slippage?


I think OEC Trader/S5 Trader is lightning fast for execution but with NinjaTrader based solutions, the platform itself won't make any difference - it'll be the broker feed - CQG, TT, Rithmic, IB etc

On Ninja based solutions, you need to keep your Ninja Database small by clearing it out regularly or you get pauses on entering/changing orders - although I believe these pauses are AFTER submitting your order - so it just feels slow.

Hope that helps...

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 michaelf 
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DionysusToast View Post
On Ninja based solutions, you need to keep your Ninja Database small by clearing it out regularly or you get pauses on entering/changing orders - although I believe these pauses are AFTER submitting your order - so it just feels slow.

Hope that helps...

@DionysusToast

Hi Peter

thank you for that post I really liked it.

Can you explain a little bit more on this "keep your Ninja Database small", what does that mean and how you clean the database? Thats new for me

thanks again
michael

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To clear the database:

NinjaTrader Control Center -> Tools -> Data -> Reset DB

You need to be disconnected from your data feeds to do this.

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 Saroj 
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DionysusToast View Post
We have a 2-part webinar coming up on futures.io (formerly BMT) that will take order flow novices from zero to having an understanding of the concepts that underly all order flow tools (not just ours). I hope that will give people the tools for them to then go out and develop their own approach.

The Webinars will be in May. There's no harm in you having a look at this stuff before that but I wouldn't advise turning yourself into a screen zombie at this point.

I meet lots of traders through Jigsaw. Some can read a footprint and then will ask "how does cumulative delta work?" - to me, that says they don't understand the concepts that underpin all order flow tools. To me a Cumulative Delta/Footprint/Time & Sales/Jigsaw tools - it's all different ways of looking at the same thing. There's a philosophy you need to grasp. I didn't get it myself 'till someone explained it to me. So I plan to pass on the knowledge too.

I have a certain way of explaining this in laymans terms that has so far been effective. That's what we will do in May. Now - regarding the footprint, I probably already answered that in a roundabout way. There is absolutely some overlap between Jigsaw tools and the footprint. The only difference is in how 'zoomed in' you are and the fact that DOMs are unique in showing resting orders, not just executions.

I found one of these, " Order Flow Techniques for Day Trading, Part 1"... but don't see the second one... anyone know where I can find it?

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I found one of these, " Order Flow Techniques for Day Trading, Part 1"... but don't see the second one... anyone know where I can find it?

Here you go: https://futures.io/webinars/july20_2013/practical_application_order_flow/

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 haljordan 
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Hi Pete,

I just purchased the jigsaw tools, but i have been eyeing them for quite sometime. I had a quick question for you. I am currently using the S5 trader (oec trader) along with Jigsaw. But i am trying to find a way to get the volume profile on jigsaw to reset at the start of the trading session, that is 9:30 AM EST. I have the option checked "Reset at start of new session. but it does not do that.

The chart where the indicator is attached, I have three options for sessions. 24HR, Contract Setup, and Custom. If i keep the custom option with times 9:30-4:00, i am not going to get after hours information?

any advice on this? I appreciate your time.

Thanks in advance.

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 jerbersoft 
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hey Pete, don't know if this was answered already before. will our existing Jigsaw Trading tools be compatible with the new Ninja Trader 8? Thanks.

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 pipandrun 
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@ DionysusToast

The sell off yesterday after the US opening, was this visible somehow in the order flow? Is there in situation like this a kind of "announcement" in the order book visible or recognizable? Probably during the sell off, but before it happens "signs" would be exciting....Thanks!

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pipandrun View Post
@ DionysusToast

The sell off yesterday after the US opening, was this visible somehow in the order flow? Is there in situation like this a kind of "announcement" in the order book visible or recognizable? Probably during the sell off, but before it happens "signs" would be exciting....Thanks!

This is an excellent question for DT Pete. I too am looking deeply into this exact issue and have videoed the Market Replay of that sell-off, along with several other similar events recently (would be better live of course). Seems algos are employing shock tactics to throw us 'slow humans' off long enough to get price down before us 'humans' are sucked in to sell into the same algos buying contracts back! With the Jigsaw tools we ought to be in much earlier.

My focus has been on looking at the momentum on the D&S as noted by DT Pete in his webinars, but that can be so wild and intimidating. Now taking a closer look at the Summary tape which shows incredible bursts of activity at each price level that can easily be missed or misinterpreted on the D&S.

Look forward to DT Pete's comment on this topic. Gonna be crucial going forward I feel. And once we nail what is happening it will no doubt change.

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 trendisyourfriend 
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pipandrun View Post
@ DionysusToast

The sell off yesterday after the US opening, was this visible somehow in the order flow? Is there in situation like this a kind of "announcement" in the order book visible or recognizable? Probably during the sell off, but before it happens "signs" would be exciting....Thanks!

Your question sounds a bit like can we predict such a reaction ahead of time? The best you can do is to form an appreciation of the situation along these lines ( dts-pre-market-prep) and try to seize an opportunity when it presents itself around key areas. As can be seen in the commentary, the old breakout point at 1947.50 was a key area.

Here was my analysis of the situation. The location of supply along with the bearish channel was favoring a short at the open. I don't think you can do much more than that in terms of expectation given the context.

P.S. this chart shows the PA of the ES but using a CFD contract so the levels may differ a little bit but the overall picture is about the same.


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trendisyourfriend View Post
... ...Here was my analysis of the situation. The location of supply along with the bearish channel was favoring a short at the open. I don't think you can do much more than that in terms of expectation given the context....

Good points and you are right to say we must keep our eye on the overall market profile and other clues. From pure price action the opening last Thursday was certainly a swing sell based on Wednesday's closing action (wedge top).

But original query is still valid in that how do we best use order flow to validate high momentum breakouts as these can happen, and have been recently, at any time of day. Order flow is short term, sure, but do the Jigsaw tools show when we should be joining a breakout rather than waiting too long. Holy grail stuff perhaps but worth asking DT how he handles these flash events. Especially at the open when many big orders being placed may have no relation to profile or PA.

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 pipandrun 
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RichardHK View Post

But original query is still valid in that how do we best use order flow to validate high momentum breakouts as these can happen, and have been recently, at any time of day. Order flow is short term, sure, but do the Jigsaw tools show when we should be joining a breakout rather than waiting too long. Holy grail stuff perhaps but worth asking DT how he handles these flash events. Especially at the open when many big orders being placed may have no relation to profile or PA.

in addition to this a quote from jigsaw´s page:

"The bottom line is this: A change in order flow comes BEFORE a change in price."

It would be nice if one could see this i.e. at the mentioned situation or should i bring it to the point: are the jigsaw tools another interesting instrument, which show "only", what should i have done in hindsight? (i admit i´m still working through all the videos and essays, so i´m not completly informed...sorry for my early question about this)

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 DavidHP 
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pipandrun View Post
@ DionysusToast

The sell off yesterday after the US opening, was this visible somehow in the order flow? Is there in situation like this a kind of "announcement" in the order book visible or recognizable? Probably during the sell off, but before it happens "signs" would be exciting....Thanks!

I don't use JigSaw Tools but you can see from the charts below the trend was in before the open.
It was very evident from the orderflow/tape that sellers were in control of the direction.




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haljordan View Post
Hi Pete,

I just purchased the jigsaw tools, but i have been eyeing them for quite sometime. I had a quick question for you. I am currently using the S5 trader (oec trader) along with Jigsaw. But i am trying to find a way to get the volume profile on jigsaw to reset at the start of the trading session, that is 9:30 AM EST. I have the option checked "Reset at start of new session. but it does not do that.

The chart where the indicator is attached, I have three options for sessions. 24HR, Contract Setup, and Custom. If i keep the custom option with times 9:30-4:00, i am not going to get after hours information?

any advice on this? I appreciate your time.

Thanks in advance.

Right now OEC Trader only "knows" about the Globex Session, so there's no new session at 9:30am. We use the sessions boundaries of the platform and so there's no way to do this right now.

This is being worked on for the next major release though.

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jerbersoft View Post
hey Pete, don't know if this was answered already before. will our existing Jigsaw Trading tools be compatible with the new Ninja Trader 8? Thanks.

Simple answer is "I don't know".

We may need to make changes, we might not - until we get our hands on a copy of NinjaTrader 8 ourselves, we can only speculate.

Our plan is to support it though. We just don't know if that will involve many changes.

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pipandrun View Post
@ DionysusToast

The sell off yesterday after the US opening, was this visible somehow in the order flow? Is there in situation like this a kind of "announcement" in the order book visible or recognizable? Probably during the sell off, but before it happens "signs" would be exciting....Thanks!

Great question but I was out with my in-laws on Thursday.

I did try to download replay data for Thursday but I'm having no luck with it. Let me try again during US hours because the replay server might need a "nudge".

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RichardHK View Post
This is an excellent question for DT Pete. I too am looking deeply into this exact issue and have videoed the Market Replay of that sell-off, along with several other similar events recently (would be better live of course). Seems algos are employing shock tactics to throw us 'slow humans' off long enough to get price down before us 'humans' are sucked in to sell into the same algos buying contracts back! With the Jigsaw tools we ought to be in much earlier.

My focus has been on looking at the momentum on the D&S as noted by DT Pete in his webinars, but that can be so wild and intimidating. Now taking a closer look at the Summary tape which shows incredible bursts of activity at each price level that can easily be missed or misinterpreted on the D&S.

Look forward to DT Pete's comment on this topic. Gonna be crucial going forward I feel. And once we nail what is happening it will no doubt change.

I might need those videos off you!

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DionysusToast View Post
Right now OEC Trader only "knows" about the Globex Session, so there's no new session at 9:30am. We use the sessions boundaries of the platform and so there's no way to do this right now.

This is being worked on for the next major release though.

ah bummer....thank you for your time and response Pete...can't wait for the next release then.

Regards

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 Mtype 
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DionysusToast View Post
I might need those videos off you!

I might be able to help! I had the open recorded. I was a chicken to hit the bid though. Usually I turns right back when I do.

I would love to hear your analysis on the open and possible entries Pete.



set it to 1080p

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 pipandrun 
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Mtype View Post
I might be able to help! I had the open recorded I was a chicken to hit the bid though. Usually I turns right back when I do.

I would love to hear your analysis on the open and possible entries Pete.



set it to 1080p

@Mtype
...the link doesn´t show your recording...."the video is private"....or do i have to use a special code to see it?

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I might need those videos off you!

Ok Pete. Will get a couple prepared for you with a little commentary from me to show how little I know!

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 Mtype 
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@Mtype
...the link doesn´t show your recording...."the video is private"....or do i have to use a special code to see it?

Should be working now

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Mtype View Post
I might be able to help! I had the open recorded. I was a chicken to hit the bid though. Usually I turns right back when I do.

I would love to hear your analysis on the open and possible entries Pete.



set it to 1080p

Here's my reply....



Hope it helps!

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DionysusToast View Post
Hope it helps!

Definitely! Thanks!

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 RichardHK 
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DionysusToast View Post
Here's my reply....

Mtype's YOUTUBE video...

Hope it helps!

Thanks for that Pete, excellent stuff.

Sorry for my tardiness in supplying video, but Mtype's video was much better being a live recording. Maybe Ninja 8's Replay will be the same as live??

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RichardHK View Post
Thanks for that Pete, excellent stuff.

Sorry for my tardiness in supplying video, but Mtype's video was much better being a live recording. Maybe Ninja 8's Replay will be the same as live??


No worries.

Replay being the same as live might be possible but really it's only needed for order flow traders and we aren't exactly a majority.

As it is, I believe they store trades/depth per second. You see all the trades but it's more 'jerky' as you see a set of prints every second.

They could take that down to milliseconds for trades - that would be additional data storage (and that means time if you record real time). If they did that for depth - it's mean a load more data storage.

So my guess is - replay won't ever give us the same feel as a live market and a screen recording will always have the edge.

Plus a screen recording you can go back and forwards without having all the screens refresh.

So my preference is a screen recording anyway - for those that use order flow extensively and want to replay setups.

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DionysusToast View Post
No worries.
... ...So my guess is - replay won't ever give us the same feel as a live market and a screen recording will always have the edge.
Plus a screen recording you can go back and forwards without having all the screens refresh.
So my preference is a screen recording anyway - for those that use order flow extensively and want to replay setups.

Thanks again Pete,

I will setup screen recording soon as upgraded CPU/board/more RAM on PC runs very well. Plenty of spare power.

Not sure if you were following yesterday's market closely but there were many extremely interesting order flow happenings throughout the day. Many times the D&S looked just like it does before the NYSE close with massive orders each side. I scratched a short soon after placing, as 8,000+ orders appeared at same price after placing order! But as many times before, and I didn't want to trust it, the bids were pulled after 2,000 or so were eaten up and it went down 2 points as expected. Weird stuff. I might just review over weekend and drop a video here, but don't bank on it.

Update 11:50 EDT Friday: That bizarre D&S action just started again! Spoofs, super-spoofs, and whatever else.

Richard
Hong Kong
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RichardHK View Post
Thanks again Pete,

I will setup screen recording soon as upgraded CPU/board/more RAM on PC runs very well. Plenty of spare power.

Not sure if you were following yesterday's market closely but there were many extremely interesting order flow happenings throughout the day. Many times the D&S looked just like it does before the NYSE close with massive orders each side. I scratched a short soon after placing, as 8,000+ orders appeared at same price after placing order! But as many times before, and I didn't want to trust it, the bids were pulled after 2,000 or so were eaten up and it went down 2 points as expected. Weird stuff. I might just review over weekend and drop a video here, but don't bank on it.

It was my wife's birthday yesterday. Trading would have resulted in castration.

Here's a couple of things to look for as you replay it....

1) Say you get an iceberg on the bid - say 4000 contracts hit into the bid at 1960.25 BUT the market chews through it anyway and you tick down.

So now you are Bid 1960.00 and Offer 1960.25 - now there's an iceberg on the offer and 4 or 5000 or more trade there.

Bidders stepped up, sellers sold through it then the sellers stepped up on the offer and held it. That's good from a short perspective - quite often on only a very shallow pullbacks.

2) But let's face it - shallow pullback suck most of the time - so sometimes you look up and there's a step above but only 3 ticks. Leaning on those can often be disastrous. So for me it's best to let go through that close step which is often just part of a 3 tick cluster. Anyway - let it come back 6-8 ticks (or what is average for the day), to the next step up. Anyway - when it gets to that step - just look for nothing instead of looking for something. The nothing is 600 @ offer tick up, 700 @ offer tick up, 500 @ offer tick up - then 23 at offer, pause. Maybe a tick down and then back to it and 40 trade. You have the step - you have a full swing and you get no-one hitting into the offer @ a price. This is more seeing stuff no longer there in the order flow that seeing obvious things like an iceberg.

Just on the offchance you are not watching for these things.

Hope that makes sense...

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 pipandrun 
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DionysusToast View Post
It was my wife's birthday yesterday. Trading would have resulted in castration.

@DionysusToast

lol...so your wife is thai( like mine)? Sounds familiar!

Waiting, Discipline and Patience Pays!
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pipandrun View Post
@DionysusToast

lol...so your wife is thai( like mine)? Sounds familiar!

Yes she is - she's an Asian woman and therefore 'obviously' subservient, I make all decisions in my household.

me "where shall we go for dinner honey?"
wife "up to you"
me "OK - let's go for an Indian"
wife "no - mai aroi"
me "Ok then, where?"
wife "up to you"
me "Italian?"
wife "no"
me "English?"
wife "no"
me "French?"
wife "no"
me "Chinese?"
wife "no"
me "Thai?"
me "OK - honey, if that's what you want, we'll have Thai".

See - Lord of the Castle, he who wears the trousers, ultimate maker of all decisions in the Toast household am I.

A little culture clash always keeps a marriage interesting.

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 haljordan 
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@DionysusToast

pete, sort of a request/enquiry. VWAP, VA and POC are already included in the volume profile. have you ever considered including the "Mid" as well? (HOD+LOD/2). a simple but awesome functionality to have. just a thought.

thanks for the chop webinar today. big jigsaw fan.

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haljordan View Post
@DionysusToast

pete, sort of a request/enquiry. VWAP, VA and POC are already included in the volume profile. have you ever considered including the "Mid" as well? (HOD+LOD/2). a simple but awesome functionality to have. just a thought.

thanks for the chop webinar today. big jigsaw fan.

What we will do - is give you the ability to add in your own levels.

So we wont do it but we will let you do it - but we are working on a major release now, so don't expect anything this side of 2015!

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 haljordan 
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DionysusToast View Post
What we will do - is give you the ability to add in your own levels.

So we wont do it but we will let you do it - but we are working on a major release now, so don't expect anything this side of 2015!

nothing this side of 2015 ...

thanks pete...

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 hadamkov 
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DionysusToast View Post
What we will do - is give you the ability to add in your own levels.

...we are working on a major release now!

Any time soon? Any time soon? Any time soon?
Cannot wait...

OK (a loooong sigh), take your time, I do not want a rushed thing .

Happy Friday.
Hana

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 tinkug112 
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This question had been puzzling me for quiet some time.
Note: I trade Indian index only excuse me if some errors

1> I understand Index is derived from set of stock. Example ES --> Citigroup, Microsoft so on.
Index will change when these stock prices change. How can Bids/Ask prices in Index futures effect index future price ?

2> Why do correlated instruments move with such precision (ES,NQ). Even if some diversion is seen for some time, they catch very soon.

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FalseProphets
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This is a thinking man's/woman's question.
All derivative instruments generally have a few banks who have been charged with arbitrage responsibility. The intention is to keep indices, ETFs, options in line with the underlying basket of assets. I would advise you read some white papers on ETFs available online to see how this done. This would answer question 1.
As far as index correlation is concerned, this is largely the doing of market participants and self fulfilling prophecy. If you have access to wealth mgmt. firms who trade actively, I would advise that you seek an opportunity to shadow, if they will let you, of course. Its common practice for a portfolio manager to buy known correlated "Risk-On" instruments together and dump them together during "Risk-Off' modes. The herd mentality feeds this to some extent as well. The correlation breaks down when a fundamental news on Apple will cause Nasdaq, for example, to totally run on its own for a few days causing a mixed market scenario. During these days, NQ will look nothing like ES. They will resume the correlation again in the absence of any significant underlying fundamentals.
Hope this helps.

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tinkug112 View Post
This question had been puzzling me for quiet some time.
Note: I trade Indian index only excuse me if some errors

1> I understand Index is derived from set of stock. Example ES --> Citigroup, Microsoft so on.
Index will change when these stock prices change. How can Bids/Ask prices in Index futures effect index future price ?

2> Why do correlated instruments move with such precision (ES,NQ). Even if some diversion is seen for some time, they catch very soon.


The index itself is separate from the futures instrument that is derived from that index (hence it's a derivative).

With ES - you have
- the stocks
- options on the stocks (also derivatives)
- the ETF SPY
- Options on the ETF SPY
- Futures options on the ES Futures

The index itself isn't tradable - it's just a number with a set of rules as to how that number is derived. There's a company that maintains that index.

The index can't be traded but the stocks can and all the above derivatives can. The question that will drive you half insane is "which is the tail and which is the dog?"

If the above isn't enough, treasuries and currencies also have relationships with the above too.

Stat Arb strategies exist to take advantage of mis-pricing between the various instruments, so they are kept in line but there is never a single, clear leader all the time. If there was, we'd just watch that move first and trade the lagger.

To take into account all of the above before you place a trade would give you analysis paralysis. So my take on it is you trade an instrument primarily based on the information from that instrument. Then secondary, you watch market internals, related instruments for backup.

Correlations break down too - some short term and some long term. NQ is tech stocks - they can be doing well if the overall market is performing poorly.

One of the things I tell people is to not fade all icebergs - an iceberg in front of a one way market could just be stat arb and so will have no directional impact. On the other hand an iceberg in a pullback may also be stat arb but it'll still spook people out of countertrend positions and hence will still have directional impact.

I try not to think too hard about all of this to be honest.

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 tinkug112 
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Thanks Peter,
"I try not to think too hard about all of this to be honest"
Understand what you said.
Have a reasonable success with Tape. Wanted to make sure approach is correct.

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 tinkug112 
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FalseProphets View Post
This is a thinking man's/woman's question.
All derivative instruments generally have a few banks who have been charged with arbitrage responsibility. The intention is to keep indices, ETFs, options in line with the underlying basket of assets. I would advise you read some white papers on ETFs available online to see how this done.

Hi can you point to one white paper on arbitrage responsibility please ..

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FalseProphets
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Step 1. Access Google Scholar or Thomson Reuters or Bloomberg etc. etc.
Step2. Search for "ETF arbitrage"
Step 3. Mind=Blown!

Tip: some intellectual works online cost money!

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 RichardHK 
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tinkug112 View Post
Hi can you point to one white paper on arbitrage responsibility please ..

I would recommend this book Trading & Exchanges: Market Microstructure for Practitioners for detailed and understandable discussion on arbitrage and anything else related to trading. A real goldmine of a book.

Price gone up $20 since I bought it 2 months ago, but hey, still just less than 2 ES points for a book that will save you much more in the short term. But being 600 pages long it might take a little longer than 'short term' to get through it all. Fantastic discussions of all kinds of traders inside, including the games played.

Richard
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 msull35706 
Saratoga, NY USA
 
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Greetings DT....

I'm struggling getting my TPO chart to look like yours.
Is or would it be possible to send me template and/or post screen shots of your settings?

Much appreciated and respect what you do for the futures.io (formerly BMT) community.

Mike S.

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msull35706 View Post
Greetings DT....

I'm struggling getting my TPO chart to look like yours.
Is or would it be possible to send me template and/or post screen shots of your settings?

Much appreciated and respect what you do for the futures.io (formerly BMT) community.

Mike S.

Sure Mike - for my daily profiles - 1 profile for overnight session, 1 profile for pit session

Step 1 - set up a split session profile (I use 16:15 as end time - when the stocks close).



Step 2 - chart settings



Step 3 - Profile Settings




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 Silvester17 
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DionysusToast View Post
Sure Mike - for my daily profiles - 1 profile for overnight session, 1 profile for pit session

Step 1 - set up a split session profile (I use 16:15 as end time - when the stocks close).



this is a strange looking session template

3 things could be changed:

1. on sunday the market opens at 6:00 pm eastern time, not 4:30

2. the overnight session is missing 1 minute when you set "end time" to 9:29. better would be 9:30

3. as a general rule, I would always use exchange time for the session templates. in the case of cme, it would be central time.

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Weekly Profile

Chart



Indicator




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Silvester17 View Post
this is a strange looking session template

3 things could be changed:

1. on sunday the market opens at 6:00 pm eastern time, not 4:30

2. the overnight session is missing 1 minute when you set "end time" to 9:29. better would be 9:30

3. as a general rule, I would always use exchange time for the session templates. in the case of cme, it would be central time.

Thanks

Comment 2 - there is no missing minute when running this real time. I've never tried running 9:30 as start and end time but the above certainly doesn't stop at 9:29 when using this real time.

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 Silvester17 
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DionysusToast View Post
Thanks

Comment 2 - there is no missing minute when running this real time. I've never tried running 9:30 as start and end time but the above certainly doesn't stop at 9:29 when using this real time.

here you can see the difference. the bar with time stamp 9:30 is missing


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 Jdwhit 
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Hi Peter,

I'm a very new trader and I just want to say thanks for everything I've learned from you! You are a great teacher and your software is awesome!

I also have a question I hope you can answer.

I've recently opened an account at with Ninjatrader Brokerage. They use Continuum as the data provider and my connection works fine except I can not seem to place trades with or use Jigsaw D&S to manage live trades. I have to use the NT DOM to place & manage trades. In other words, the Jigsaw D&S doesn't seem to work with my continuum account but it displays the D&S data perfectly.

Is this something I may have set up incorrectly?

Thanks!

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 khe91 
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Every time NT starts or after a data refresh the account goes to Sim101 and I have to manually change it back to the live trading account.
Is there a way to set and save the default account for the Jigsaw trade settings ?

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 Bango 
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khe91 View Post
Every time NT starts or after a data refresh the account goes to Sim101 and I have to manually change it back to the live trading account.
Is there a way to set and save the default account for the Jigsaw trade settings ?

Try to set the default account under Tools/ Option/ ATI from the Control Center in NT.

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 khe91 
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Bango View Post
Try to set the default account under Tools/ Option/ ATI from the Control Center in NT.

I have the default NT account set to my live trading account Uxxxxx.
Still Jigsaw, ChartTrader and indicators always start with the Sim101 account.
On every NT start or data reload I have to change on many charts and indicator settings manually from Sim to Live account.
Guess NT always takes the first account in the alphabet.
My live account starts with Uxxxxxx and the S from Sim101 comes before U ...

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Jdwhit View Post
Hi Peter,

I'm a very new trader and I just want to say thanks for everything I've learned from you! You are a great teacher and your software is awesome!

I also have a question I hope you can answer.

I've recently opened an account at with Ninjatrader Brokerage. They use Continuum as the data provider and my connection works fine except I can not seem to place trades with or use Jigsaw D&S to manage live trades. I have to use the NT DOM to place & manage trades. In other words, the Jigsaw D&S doesn't seem to work with my continuum account but it displays the D&S data perfectly.

Is this something I may have set up incorrectly?

Thanks!

There's a couple of common issues:

1 - AT Interface is not enabled.
2 - The Order Column is not switched on - you need the order column on to manage orders, so it won't let you place one without it
3 - You don't have a license to the live trading interface - see here: Licensing FAQ

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khe91 View Post
I have the default NT account set to my live trading account Uxxxxx.
Still Jigsaw, ChartTrader and indicators always start with the Sim101 account.
On every NT start or data reload I have to change on many charts and indicator settings manually from Sim to Live account.
Guess NT always takes the first account in the alphabet.
My live account starts with Uxxxxxx and the S from Sim101 comes before U ...


Setting it in chart trader wont help.

Do you connect to Continuum automatically on starting Ninja? The reason I ask is that the only way we can set the default is if D&S starts up after the connection has been made.

Let me chat with Ian - see how we can do that. I suspect it'll only work if you are connecting automatically.

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 khe91 
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DionysusToast View Post
Setting it in chart trader wont help.

Do you connect to Continuum automatically on starting Ninja? The reason I ask is that the only way we can set the default is if D&S starts up after the connection has been made.

Let me chat with Ian - see how we can do that. I suspect it'll only work if you are connecting automatically.

I don't connect automatically, since I use the NT Multibroker license and connect to different data providers and brokers.
My startup procedure is:
1. Start NT, it loads a empthy default workspace without any charts.
2. Connect to data provider (eSignal or IQFeed)
3. Connect to broker
4. Open my workspace with charts etc.

I just posted the question also in the NT support forum and NinjaTrader_Jason answered me that NT always goes by the alphabet with the accounts :-(

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 ratfink 
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khe91 View Post
I don't connect automatically, since I use the NT Multibroker license and connect to different data providers and brokers.
My startup procedure is:
1. Start NT, it loads a empthy default workspace without any charts.
2. Connect to data provider (eSignal or IQFeed)
3. Connect to broker
4. Open my workspace with charts etc.

I just posted the question also in the NT support forum and NinjaTrader_Jason answered me that NT always goes by the alphabet with the accounts :-(

Check in here:


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 khe91 
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"Always start in simulation" is disabled
It's a NT problem ... hoping for NT 8.1 ;-)

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Journal Challenge w/$1,800 in prizes!

April

Seven Trading Mistakes Solved With Smart Trading Tools w/Brannigan Barrett

Elite only