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EOT Automated System


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EOT Automated System

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  #31 (permalink)
Market Wizard
Columbus, OH
 
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cunparis View Post
As of October 2, CME does bundle trades together. What roonius says is true. It is not possible to know if it was one trader or several. All we can know is x number of shares were traded at a specific price (bid or ask). That's it. But I think it's enough to be useful.

it's my understanding that cme DOES NOT bundle trades anymore since october. that's why we have more ticks. and that's why tick traderes needed to increase their tick period.

roonius you're right some providers "store" tick data. but I pretty certain zen-fire does not.

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  #32 (permalink)
Paris, France
 
Experience: Advanced
Platform: Market Delta & Ninjatrader
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roonius View Post
Nobody exactly knows, but I believe CME is more granular now.
here is a quote from eSignal officials:

Pull up a chart of the average trade size. You'll see it got cut in half. One week it was 11 shares/trade and the next week it was 5.

Technically what happened is that they unbundled large trades and have broken them up. Roughly cut them in half. How this unbundling happens exactly we don't know. but what we do know is that the data we see is not the original data. If we see 50 shares on an order, it could have been 100, 500, or anything else.

This will wreck havoc with order splitters. Pretty much render them useless, as if they were of any use anyway.

In my trading, I increased the tick size for ES by a factor of 2 and I still didn't like it so I increased it a little more.

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  #33 (permalink)
Portugal
 
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Well I'm trying now to use the EOTPro indicators with the bettervolume2 indicator to see how it goes, You can try it out, it's good to filter the arrows out.


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  #34 (permalink)
Market Wizard
Columbus, OH
 
Experience: None
Platform: NT 8, TOS
Trading: ES
 
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Posts: 3,545 since Aug 2009
Thanks: 5,011 given, 11,263 received


cunparis View Post
Pull up a chart of the average trade size. You'll see it got cut in half. One week it was 11 shares/trade and the next week it was 5.

Technically what happened is that they unbundled large trades and have broken them up. Roughly cut them in half. How this unbundling happens exactly we don't know. but what we do know is that the data we see is not the original data. If we see 50 shares on an order, it could have been 100, 500, or anything else.

This will wreck havoc with order splitters. Pretty much render them useless, as if they were of any use anyway.

In my trading, I increased the tick size for ES by a factor of 2 and I still didn't like it so I increased it a little more.

interesting. now it makes sense to me to use vol spitters. since everything is unbundled.

CME More Ticks per Day!|Move the Markets

at least I'm not the only one

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  #35 (permalink)
Denver, CO
 
Experience: Intermediate
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Broker: Amp Futures/Zen-Fire
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Silvester17 View Post
it's my understanding that cme DOES NOT bundle trades anymore since october. that's why we have more ticks. and that's why tick traderes needed to increase their tick period.

roonius you're right some brokers "store" tick data. but I pretty certain zen-fire does not.

I am not going to argue on that since I don't know which do and which don't.
I want to believe that Zen-Fire does not, but... do we know that for sure?

Edit: I know TradeStation does.... BIG TIME

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  #36 (permalink)
Seattle
 
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Silvester17 View Post
the fine black line in panel 2 are trades bigger than 100 contracts. as you can see one could say it's helpful. I'm not using it to see if there's a big buyer or seller. I like it to identify if there's program buying or selling. that's what makes the market move fast in a short time. I'm looking for something better, but not there yet.

I guess sometimes it's good to be dumb.

Silvester,

Which indi are you using to produce that delta in panel 2? Thanks.

Blz

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  #37 (permalink)
Paris, France
 
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Silvester17 View Post
interesting. now it makes sense to me to use vol spitters. since everything is unbundled.

CME More Ticks per Day!|Move the Markets

at least I'm not the only one

I think he's slightly biased, he's selling the volume splitter.

If CME unbundles a 1000 share order into ten 50 share orders, how is that going to make a volume splitter work better?

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  #38 (permalink)
Market Wizard
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Blz17 View Post
Silvester,

Which indi are you using to produce that delta in panel 2? Thanks.

Blz

it's a combination of different BAvol indicators.

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  #39 (permalink)
Market Wizard
Columbus, OH
 
Experience: None
Platform: NT 8, TOS
Trading: ES
 
Silvester17's Avatar
 
Posts: 3,545 since Aug 2009
Thanks: 5,011 given, 11,263 received


cunparis View Post
I think he's slightly biased, he's selling the volume splitter.

If CME unbundles a 1000 share order into ten 50 share orders, how is that going to make a volume splitter work better?

I don't think we're talking about the same thing. example. 10 orders to buy 50 shs at $ 10. before october it would show up as 500 shs at $ 10. and that's simply not correct. but now it is. that's why it makes more sense to use vol spitters.

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  #40 (permalink)
Seattle
 
Experience: Beginner
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Trading: 6B
 
Posts: 225 since Jun 2009
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Silvester17 View Post
it's a combination of different BAvol indicators.

Are they public indi's or propietary?

Thanks again,
Blz

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