Hi Gomi, Can you share some backtest results for the strategy with us. What is the success rate (winning trades) for DAX and ES with your strategy GomOFDeltaSampleStrat and GomOFNakedPOCSampleStrat.
No I didn't run any backtest. They are for demo purposes only, to show how to use the orderflow in a strategy if you need it in your own strat.
I'm not expecting a 1 line of code strat to have awesome results, though...
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I’m trying to write a script where I can gets alerts when couple of things happen, for instance
a) Long signal alert when we have a negative low COT at Support
b) Short signal alert when we have a positive high COT at Resistance
Looking at your GomiOrderFlowProLevels indicator, it looks like we have 5 levels stored (could no wrong). Based on this I had written a script as below and does not seem to work. Is this even feasible?
Basically I had
(LowCOT[0] < 0 &&
( bar Low[0] <= IsSupportZoneOnHigh[0] ||
bar Low[0] <= IsSupportZoneOnHigh[1] ||
bar Low[0] <= IsSupportZoneOnHigh[2] ||
bar Low[0] <= IsSupportZoneOnHigh[3] ||
bar Low[0] <= IsSupportZoneOnHigh[4] ||
)
)
Hi,
IsSupportZoneOnHigh is not a price, it's a 0/1 indicator that tells whether there was a support zone created on the bar high or not.
The indicator containing the levels is OrderFlowProLevels, the zones are in the ResistanceInner/Outer1 to 5 pairs (1 is the closest of current price) and the SupportInner/Outer1 to 5 pairs
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there're many different support/resistance levels traders use. my favorite ones are the vwap and it's sd bands and of course imbalance levels.
here's a good example from today:
vwap
long entry around the second lower sd band, and exit at the first lower sd band
imbalance levels
the lighter colors are today's imbalance levels (shorter term). the darker colors, in this case the blue support levels, are from daily charts (longer term).
a short trade from today's imbalance would have been a good scalp as well. but I took the long trade from the long term support imbalance.
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one more example from today. very similar to yesterday, only this time on the short side. first we had a short term imbalance to the upside (which I didn't take), then a short imbalance from the daily chart to the downside. the vwap was also in a reasonable position (upper 2nd sd band).
don't want to turn this into a personal journal. also want to make clear that not every imbalance will guaranty a winning trade. it's just another tool that can be used as a confirmation.
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This is a study I wrote using Sierra's latest custom bar sdk. The main reason I built it is because I needed a variable tick size to help my trading on Bitmex.
On the crytpo exchanges, there is a taker/maker fee , so you can't really use a fixed target in points, you need a target set in % of the current price.
This is easily achieved in Sierra, but if you use UniRenko bars, you also need the ability to set the tick size of the renko bars as a % of the current price as well. For instance I use 0.05%, so 5 points when Bitcoin is at 10000.
So I wrote my own Renko bars using the original monpere algorithm that the Sierra guys hate :-), and I added a couple cool (?) features
Variable tick size as % of the current price. Very useful on Bitmex/cryptocurrency charts
Ability to show price gaps (this info is lost with 'normal' Renko bars)
Different choices of altering Open and Close prices
Display prices at which the next Renko bar will start
Allow to enter stop orders on the chart with one click, including auto-trailing.
Coolest(?) feature is the addition on NinjaTrader of an expression evaluator called Flee, that allows users to build their own indicator values or trading signals with no coding
Any plot exposed by GomOrderFlowValues can be used, so you can use any of Open, High, Low, Delta, Buys, Sells, TotalVolume, MinDelta,MaxDelta, HighCOT, LowCOT, Finish, POCPrice, IsHighUA, IsLowUA, NbBuyImbalances, VolBuyImabalances, NbSellImbalances, VolSellImbalances, NbResistZones, NbSupportZones, IsBuyingReversal, IsSellingReversal, IsSupportZoneOnHigh, IsResistanceZoneOnLow, IsSellImbalanceOnLow, IsBuyImbalanceOnLow, IsSellImbalanceOnHigh, IsBuyImbalanceOnHigh, RatioHigh,RatioLow and combine them in a formula, the expression evaluator will build a class at startup and compile it , so you get the exact same performance as if it had been coded in a custom indicator.
2 indicators are provided :
*CustomValue indicator, that creates custom values indicator, the default setting is the delta % so its Delta[0]/Volume[0]*100.
*CustomUpdownSignals indicator, that will show arrows using 2 formulas you provide. Default is Delta divergence so up formula is Close[0] > Open[0] and Delta[0]<0
Added features
* Changed the Imbalance settings, making them more flexible. Imbalances are now defined by up to 2 criterions, each criterion being a Direction(Horizontal/Diagonal), a Comparison(Ratio,Difference) and a Threshold.
* Also added Winning Side Minimum Size and Losing Side Maximum Size to filter volume on the Imbalances
* Added a couple new calculated values like candle RatioHigh/RatioLow
Sierra Chart
* Studies have 64 build versions and now use Visual Studio 2017 runtime instead of 2010.
The ability to make custom indicators is a nice bonus for a non-coder like me.
Should provide an extra heads-up plus less manual chart markup...
Here are a few trials with delta divergences given certain bar conditions -
WHITE TRIANGLES: Delta divergence + reversal (POC & opposing imbalance in declining half of bar).
Formulas:
UP - Close[0] > Open[0] and Delta[0]<0 and IsBuyingReversal[0]=1
DOWN - Close[0] < Open[0] and Delta[0]>0 and IsSellingReversal[0]=1
GOLD TRIANGLES: Delta divergence + MinDelta 3 x larger than Delta & MaxDelta (buy signal, vice-versa for sell).
Formulas:
UP - Close[0] > Open[0] and Delta[0]<0 and MinDelta[0]*-1 > Delta[0]*3 and MinDelta[0]*-1 > MaxDelta[0]*3
DOWN - Close[0] < Open[0] and Delta[0]>0 and MaxDelta[0] > Delta[0]*3 and MaxDelta[0] > MinDelta[0]*-3
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Delta Package V3 NT8.0.2 now with commitment of traders (COT) and heiken-ashi
Update Feb 2017: Changed "Show above / below EMA colors" to false to avoid confusion.
Minor fix 30 Dec: Added ability to change bar width manually. Note, if you have any …
Not sure about the VPOC ? You already have the VPOC in the orderflow ?
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some more examples what can be done with the new additional indicators from the last update.
now you have so many different ways to display the information you want. if a conventional footprint chart is too much information (numbers), you could just use a normal chart and add the things you need in a more visual way.
my example shows delta divergence, buy & sell imbalance and reversals on the main chart. in the second panel I have delta, min & max delta, which will give a better understanding how the divergence looks like.
really like this concept.
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guys basic question....as mostly i use Gomicators with FP charts. I really have not gotten into TPO/MP stuff much...though i have the bundle. I normally deal with pure volume....but since so many use TPOs i want to get them on the screen.
i was wondering if anyone can send across a 30min TPO profile template....which will plot the OVN(overnight session) and the Pit(Regular Trading Hours) sessions so it is easy to distinguish between the TPO charts.
Or when we install the gomi package.....are there any templates created and located in some folder. Any help on this is appreciated. Am still looking for Ninja7...not the 8..
thanks
Thanks to Gomi for the indicators for NT8.
Slowly getting myself into orderflow and tweeking it to see what i wanted.
So many options available in displaying data.
Was going tru the thread , Silvester17 thanks for the charts and others as well...
Looking forward to learn and share...
cheers
t7e7
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Just a quick post to mention a couple updates I added on the latest NT8 version(V8c)
* The Values, Levels, CustomValue and CustomUpDown indicators have been improved can now be used
- in Market Analyzer
- in Bloodhound (to test strats)
- in Ninja Alert manager (to send emails or play sounds)
Please note that for now,the Market Analyser will allways be 1 tick late, but it might change if Ninja updates their design
*I added the possibility to add any NinjaTrader indicator in the custom expressions, so, for instance if you want to plot the crossover of 2 MAs signals, here is the formula you can use :
*I added the possibilty to reference the custom indicator's own values in the formula(CustomValue, or CustomUpSignal and CustomDownSignal), so you can build stuff like @ninjus (thanks for the chart !!! )
*I added a new text setting : Delta only, it shows only the delta on the bars.
Hi,
I added on NT8 the possibility to do your very own Orderflow analysis with custom indicators ; you can now access all the buy/sell info from the GomOrderFlow-Values indicator, and iterate through all price levels.
Here's an example that finds maximum buys and sells on each bar
Code:
Here's the result
Hope you find it useful!
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anyone has tested market analyser - incorporating Gomi indicators.
Im trying to get it working, any help,,,,thanks
I have 10 odd Futures stocks which i am monitoring and i wud like to pick up stocks which has recovered 90 percent of the delta range on a 30 min timeframe.
on the custom signals for buy and sell. i use below code.
UP Delta[0]>MinDelta[0]+0.9*(MaxDelta[0]-MinDelta[0])
DOWN Delta[0]<MaxDelta[0]+0.9*(MinDelta[0]-MaxDelta[0])
I've looked through a number of threads, including the ones below, to try to understand how to take the values that GOMI's *incredible* indicators calculate and make them available to other indicators and strategies (this is NT7). And thank you *very much* for your outstanding work, GOMI.
I'm specifically interested in the per-bar Delta, and, it is easy enough to find where it is calculated in the volume ladder indicator and added to the collection of values that the helper object holds. Can anyone comment on a general strategy for making those values publicly available in Ninjascript? I've tried a number of things, adding public fields, adding a Add(Plot) method to the GOMI initialize method, etc. Thanks!
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,246 since May 2011
Thanks: 1,582 given,
912
received
@gomi, May I request a way to get the numbers to print rather than just the candlestick in the indicator panel. Right now you cannot tell the bar total, Up/Down, or cumulative total by looking at the chart without using the Data Box and that only provides a single value which needs to be on the screen all the time.
A quick post to mention a new version of Orderflow and MarketProfile is available.
Lots of new features , you can get a complete list with more examples and pics here
Here's a quick list
NT7 Only:
* All previous stuff mentioned for NT8 now available to NT7 as well (individual access to ladder bars for custom indicators see this post , enhanced custom expressions see this post )
On the Orderflow
* New AutoScale that will always make the cells the same size, to ensure maximum readability. It might truncate some bars on the beginning of the chart, but the last bars will have perfectly readable cells
On:
Off:
* New DeltaOnly TextMode and ColorMode
* New Outline FillType that allows to see colors behind the POC cell or the UA cell
* Added BuySells in the Top/Bottom values
On the MP
* Biggest improvement is a new custom session management, allowing the split the main session in multiple subsessions and be able to show RTH only or ETH
* The session manager is time zoned so this will take care of the 1 hour special offset Europe has with the US during 1 week on DST change.
* Also added a ValueArea ColorMode, and ability to set the VAPercent value (default 70%)
* Added an "EveryNBar" Plot Mode, it will reset the profile every N bars.
Hope you like it, and as usual, you can get a free 7 day trial version to explore the new features.
it works...but for indian markets - e signal is best if you have 50 odd stocks to screen. without any lag.
regarding setup,
columns > insert the GOM custom updown signal indicator > under signal setting - enter the desired formula > under indicator - plot - select either custom up or down signal , > next desired data series > cell condition ( 1 or 0 - true or false for the condition to satisfy )
try this template which im using with MA and alert log - im on a learning curve, not an expert...
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i was using TD , was happy when i was using normal candle charts but when i started orderflow charts with workspaces containing 8-12 charts and top of it MA and alert log, i felt it is not upto the mark. with 2 to 3 charts or bit more TD can handle , specially when backfilling a new stock it lags, was advised to load one by one.
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Hi.
When i try to use the same code @GOM custom updown signal indicator, got some error message, Any clue to resolve. BTW I was tried @NT7, Hope above Shared template is NT7 Version.
Hello all traders
happy new Year for everyone all the best for you all
I am using the GOM Delta divergence indicator it works as well detecting all Delta divergence but i have just an issue .
It give as result good results for any Bearjsh divergence you can see on the chart attached the delta number and the price indicate in the windows.
But for any Bullish divergence i get the price in the window< but the Delta number is missing !
is some one can give me a meaning for this missing .
Thank you in advance
augusta
I've been trying to find a basic volume indy for NT7, which would alert (play sound/change color) every time when preset volume level is reached (eg 1000 contracts per 1 min). I went through different volume indys in download section here, …
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@Silvester17
Thank you very much for the answer
I attache the cs Gom Delta Divergence indicator for NT7
i hope you can find the way to get it works better
be well
augusta
Thanks for your response. Is the indicator posted in the forum? I looked through a number of recent posts looking for it. If it is not, would it be possible to add it the forum?
I have it on my list to do a trial of Gomi's pro version. Very powerful capabilities.
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,246 since May 2011
Thanks: 1,582 given,
912
received
@toughiee, have you looked at the "Support Files" on Gomicators.com? Strategy examples are there as well as the sounds for the Order Flow. Not sure it is what you need but good place to start.
Good Trading All !!!
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A quick note to mention I updated the GomMP indicator/study to 5.5 version !
Main enhancements :
Added GomMPPro-Levels indicator/study
*This indicator shows current and previous POC, VAH, VAL and VWAP. These plots can be used in other indicators, strategies, Bloodhound, Market Analyzer.
*Access to HVN/LVN prices is also available using custom coding (a code demo is available)
Main indicator
*EveryNBar : this mode is used to draw a profile every N bar, it is now fully time synchronized if used on a time based chart; so if you want to draw a profile every minute on a 10 sec chart, using N=6, the profile will stayed synced on drawing a profile every minute, even if some 10 sec bars are missing (because of a low volatility period).
* Added Weekly and Monthly plot modes
As usual, you can get an added 7 days free trial to explore new features if you ended your existing trial period!
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Hello Gomi, I recently installed your orderflow indicators. It looks great. My compliments.
If I compare your chart with the numbers bar from Sierra, all numbers in the bars are equal except for the COT.
How can you explain this?
You don't have the same setting on your 2 charts, that's why you are getting different values.
The Orderflow values (buys, sells, delta finish, COT etc) on Sierra are all loaded from the Sierra native arrays, so they can't (shouldn't ?) really be different from Number Bars ...
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Trying to put some conditions for Bullish and Bearish signals/conditions.
The Bullish signals seem to print every time, but for whatever reason, the bearish signals are getting plotted.
Can any one take a look at it and let me know what I’m dong wrong.
For the same condition as the above post, even thought the indicator was set to Calculate: on bar close. it is plotting even when the conditions are met. When i refresh the chart it goes away....any suggestions will be appreciated.
when using multiple instances of GomOrderFlowCustomUpDownSignals indicator, l would love to have an audible alert when the condition is met. Somethink like you the sound Alerts in GomORderFlowPro for Support & Resistance and for Reversal?
If this is not possible can you suggest an alternative way for me please.
@gomi
or any one who know how to get cell information inside the bar
If i want to access information from the edges of the bars i can get it through
SellsAtHigh: Volume of Sells at top of bar
BuysAtHigh: Volume of Buys at top of bar
SellsAtLow: Volume of Sells at bottom of bar
BuysAtLow : Volume of Buys at bottom of bar
IsSellImbalanceOnLow : 1 if there is a sell imbalance on the low of the bar
IsBuyImbalanceOnLow : : 1 if there is a buy imbalance on the low of the bar
IsSellImbalanceOnHigh : 1 if there is a sell imbalance on the high of the bar
IsBuyImbalanceOnHigh : 1 if there is a buy imbalance on the high of the bar
What if i want to get information inside the bar like show in pic
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I want to put a 10% margin on either side of the chart. However when i refresh the chart it goes back to "0". This only happens when i have GomiOrderflow indicator on my chart, does not happen to other non Gomiorderflow charts.
Hi ALL. Footprint user here(i have a few, none with all the features i like)
Gomiindicator footprint question
Just to clarify, can one scroll the screen or chart together to create the histogram above? but equally scroll out to see footprint?
Am I correct in seeing that one can use a footprint with both a candle and histogram on the same chart?( i think i've seen it in some of the more recent posts)
Also is there a way to highlight inside bid/inside ask?
Hi , no this is not available, but you use a Custom indicator formula eo do the calculation.
I'm not sure I'm seeing a meaning in the calculation though ? High COT is delta since high, Low COT is delta since low, so what would be HighCOT - LowCOT
Hi, yes if you zoom the chart the numbers will appear
unzoomed:
zoomed :
Concerning highlighting inside bid/ask, you mean ticks happening inside the bid/ask spread ?
No sorry that is not available.
Hope it helps!
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Old programmers like me started working in a world where computing resources were scarce, no 4 core 4 GHz CPUs with 8 GB of RAM everywhere. Everything had to work with 51B MB RAM 400 MHz 1 core... So I still have a lot of those old days optimizing obsessions...
Modern coding paradigm seems to be 'don't optimize until you need it', but I don't do that, I über-optimize from the first line of code. It's often much more complicated and harder to read, but in the end it usually pays off :-)
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NT8 already has footprint volume bars built in for lifetime licenses. But it only shows the poc on volumetric dataseries. There's prob an easy indicator for displaying the same info on a tick chart.
From the NT8 documentation on their built in footprint chart (volumetric dataseries), the POC can be returned in ninjascript using GetMaximumVolume(bool? askVolume, out double price)
I've never created or modified an indicator before, so this is new to me. But the documentation leads me to believe that there should be an easy way create an indicator for use on tick/time charts to display the POC.
I know there are several paid tools for order flow analysis, but it seems that Ninjatrader already includes alot of the data within their lifetime license. So I'd rather use the data already in NT8, before seeking 3rd party subscription indicators.
Hi,
I am trying to work with the custom up/down indicator trying to get an arrow when the buys of a bar are 1.85 times or higher than the sells of a bar. (opposite for sells)
I've managed to get an arrow when buys are greater than sells but can't figure out how to filter a percentage higher. Any ideas?
I would like to ask other users what settings they find useful for the Gomi orderflow pro reversals? It is part of the Gomi orderflow package and I would like to know what other users are using for the settings.
BTW- I have tried several footprint charts and by far the Gomi one is the best. The most useful feature to me is displaying all the delta info above and below the bar.
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A quick note to mention I updated the GomOrdeflow to 2.4 and GomMP to 5.6 version !
Main enhancements :
GomOrderFlow:
* The imbalance numbers are now replaced with rectangles when they are too tiny to read. This way you still know there is an imbalance even if there is no room to plot the numbers
* Added Current Bid/Ask color rectangles which shows current market levels
MarketProfile
*Added DeltaColor coloring scheme, the profile shows the volume, but colored with the delta. It is often necessary to use some smoothing to see actual Buy/Sell zones
I am studying the GomOrderFlow and I kept any configuration by default. I have some doubt to submit:
________________
1. I can see different kind of arrows in the indicators:
Do the cyan/ fuchsia arrows on the left mean only the lack of interest in that level for the sellers / buyers? And do the green / red arrows on the right mean that all the 5 conditions for a reverse are met (foot of page 39 of the directions for use, vers. 2.4)? Is it right?
_________________
2. I don't understand why certain candlestick are plotted without the red/ green framework, such as this example of this morning
Is there some sort of divergence somewhere?
____________________
1.) I think there's only 1 kind of arrows. and that depends on the 5 settings options you can choose from (starting at page 39):
- Minimum number of declining levels:
Sets the minimum number of declining levels to validate the reversal zone, default is 3
- Allow imbalance on declining side:
We are trying to measure the failure of the decline side, this setting defines if having imbalances on the decline side is
authorized for a valid reversal. Default is false because an imbalance on the declining side would mean strength.
- Minimum size of Opposite Imbalance:
If 0, there is no condition on the presence of imbalances on the opposite side
If 1, any kind of imbalance on the opposite side will validate the setup
If larger than 1, we look for an imbalance of a minimum size, to assert strength.
- Position of the POC:
Having the POC on the declining side of the bar can help with imbalances working out because it can show there is a
big number of traders trapped on the wrong side of the market near the highs or the lows.
Possibilities are Anywhere, InDecliningZone,InDecliningSideHalfOfBar,InDeclinigSideThirdOfBar
- Force Decl. vol < Opp. vol:
When this option is set, a reversal is only validated if the total declining volume is smaller than the total opposite
volume. The opposite would mean there is strength on the declining side.
I think @gomi just changed the color of the arrows in his examples (from cyan/magenta to green/red)
2. under "candle body", there're 3 different color options:
- up color (default lime green)
- down color (default red)
- neutral color (default orange)
your example is showing a "neutral" candle (bar). meaning the opening and closing price are the same of that candle.
if I didn't explain well, I'm sure @gomi can do much better than I can
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It seems you put all the indicators on the chart, but if you are starting up, you only need the Main indicator. You can explore a little later the other ones if you need them.
The Red/Green arrows come from the Custom Up/Down signal, they show Delta Divergences using those (editable) formulas :
Close[0] > Open[0] and Delta[0]<0
Close[0] < Open[0] and Delta[0]>0
Hope it helps !
Thanks @Silvester17 for your excellent contributions as usual !
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I am using the GomOrderFlowProLevels and GomOrderFlowProValues in my automated strategies and have a question about the signals Support1BarsAgo and Resistance1BarsAgo. These seem to take one bar more to trigger than I would have expected. In the example below I would like to enter a position during the bar that follows directly after the bar that generated the new support. In practice this happens during the third bar while the signal is only being generated after the second bar has closed. Is this expected behavior or am overlooking something?
The logic that sends the enter signal in my strategy is under the 'OnBarUpdate' section. Maybe I should put it in 'OnMarketData' with an IsFirstTickOfBar criteria?
Another signal I can't seem to get working well is the NbSupportZones and NbResistZones, for what ever reason it does not provide me the correct number of zones created in the bar. Are there special things to take into account when using these signals?
For that kind of logic I think you should test NbSupportZone>0, it will give you an entry on the close of the bar creating the imbalance zone (see below)
Also, it's strange you don't get the correct values on NbSupport Zones and NdResistZones, here is what I have using the Values indicator, I get 2 when 2 support values are created
Hey again , even though I have been looking at the Gomi 2017 webinar for the 100th time (from the 40th minute to the 46th) , I still have a lot of doubts about the COT and about how to use it.
For example, I have understood that when you are using the range bars, one of the of the 2 ends should be 0, but I sometimes I meet situation like that:
In other words, what is the meaning of both Hi COT and Lo COT ≠ 0 ?
__________________
And the second question is
Is a double divergence of both COT and Delta a reinforced entry setup, compared to a single divergence (i.e. only a negative Lo CoT under a bullish candlestick)?
_________
Hi,
THE High COT is delta from high, Low COT is delta from low, so as long as your bar does not close on the high or on the low, you will very likely have a Positive low COT and a Negative HighCOT, unless you have absorption going on (positive high COT will mean aggressive buyers were not able to take out the high)
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