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EOT Automated System


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EOT Automated System

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  #1 (permalink)
 pedroxp 
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Well, I'm a trading for 3 years now on ES, just started out with tradestation and I've lost mutch money on the markets so I almost give up, but then I found EOTPro trading room witch I think is great and started up again "now on SIM" and on Ninja. But because I have my normal job it's difficult for me to trade, so I started to make an automated strategy on Ninja to trade the EOTPro system that Bill is using in the trading room.

I've been seeing talking very well about EOTPro indicators and the trading room here, so I think I can contribute with some ideas of this system and how it works. The first initial version I made simply uses the EOTPro indicators to enter and exit the market automatically.
I'm constantly testing it on market replay for this year 2009 and fixing issues and things I find by the way. The system is based on what Bill uses in the room.
I know that is extremely difficult to make a profitable short term system because the markets are always changing but since Bill uses almost a mechanical system to enter and exit the trades i think its possible to do this.

You can check the AMP webinar about EOTPro that Big Mike recorded here. So I'm going to post some screens of it and some stats of course. I don't know if it's somewhat profitable or not, for July I have $3475 profit with 3 contracts. Thanks for everything and for your good posts that helped me doing this. Thanks again!!

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  #2 (permalink)
 pedroxp 
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Hello, here is an example of the system i'm using, this is from 07 on July. The profit made was $262.5

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 tellytub 
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Thanks pedroxp for your post. I too tried their trial, it was ok, nothing special I found. I've noticed you dont have the vol splitter? Any reason why you dont have it? That was their big selling point.

And to be honest, I never really like the volumn splitter, sont know if it acaully does what its supposed to do?!

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 pedroxp 
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The vol splitter is automated into the arrows that appear, so if an arrow appears, it's because the big traders are pointing in that direction. No big traders, no arrow.

The vol splitter is good, but sometimes the big traders are wrong also!!! They are not super traders, but it helps. Trading puts anyone in the same pit.

Thanks for your reply!!!

I'm going to test now with January market replay data. Hope to get good results .... Thanks Big Mike for that data!!!!

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 max-td 
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Thank you for this pedroxp!
it would be great if you post some rules the trades are based on + also a bit info to the MM / RM of the shown trades on the pics :
Targets / Trails / Stoploss values - to have a better idea of what you are talking about.
good trading

max-td
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  #6 (permalink)
 caprica 
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i found their self adjusting indicator project interesting but i dont think it is out yet.

"Let us be thankful for the fools. But for them the rest of us could not succeed." - Mark Twain

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 tellytub 
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What makes me to septical about the vol splitter is that, the concept of plotting big traders is really good. In that case, why hasn't anyone else "even" attempted to create something like it?

Is it REALLY showing the big traders ? I've asked Bill what algorithm is, and he wouldnt tell me (for obvious reasons I guess). So it sort of makes me wonder, is it really showing the big traders?

Who knows ...

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 pedroxp 
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Well, the system is the same Bills uses, but it needs improvements and I'm trying to do that, it's dificult. For January things are much worse, I have a loss of $400 but i didn't finish yet.

The system is quite easy. Trading hours: between 9:35 ES to 15:30 with a break in lunch time. The system ignores the first chop at opening so just starts looking at it at 9:50.

It enters at Bid for Longs and Ask for Shorts at the arrows signaled, goes to 4 ticks with 3 contracts and trails the last contract with an ATM. It ignores the arrows on lunch time and ignores on chop after 9:50 EST. The Stops are, 6 ticks normally, but exits when the paint bar changes color.

bahhh January is very bad compared to July, so there's much to do. I thought to see all the chop every time but the first arrow of the day will be always ignored. Its very difficult, nothing substitutes the manual trades.

I'll post more pics

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  #9 (permalink)
biorjin
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the autotrader is out? Last time he told me they were still working on it.

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 pedroxp 
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still working ....

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 pedroxp 
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nothing is perfect...

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 pedroxp 
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Hi everyone. This month was great!!
Here are the results for this month auto trading system.


September Results

$225,50 $187,50 $100,00 $137,50

$0,00 $187,50 $125,00 $212,50 $162,50

$137,50 $350,00 $87,50 $0,00 $0,00

$300,00 -$37,50 $250,00 -$537,50 -$200,00

$0,00 $462,50 $350,00
Total :$2.500,50

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 pedroxp 
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Hi,
Pics from 30 September, 24 witch was a bad day and the best day witch was 29


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 Saroj 
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nice chart, pedroxp

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 Saroj 
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max-td View Post
Thank you for this pedroxp!
it would be great if you post some rules the trades are based on + also a bit info to the MM / RM of the shown trades on the pics :
Targets / Trails / Stoploss values - to have a better idea of what you are talking about.
good trading

Yes... I'd like to see those too

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 pedroxp 
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Yes! ok. It's very simple.

I get in with 3 contracts! Get out 2 contracts on 4 ticks profit, then I trail my last contract using an ATM strategy.

I'll post more pics. I'm with some issues also with the replay feature in ninja because I cannot get the same results in replay or in normal day.... strange thing. i don't understand, anyone knows why?

Regards and thanks for everything

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 max-td 
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pedroxp View Post
I'm with some issues also with the replay feature in ninja because I cannot get the same results in replay or in normal day.... strange thing. i don't understand, anyone knows why?

Regards and thanks for everything

Hi pedroxp,
this is "normal" in NT, also BackTest-Results are not the same as the same days tested in MarketReplay with strategys.
"normal" means it is known that it is like this. so its not really comparable.
Not nice but thats how it is at the moment.

max-td
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 cunparis 
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tellytub View Post
What makes me to septical about the vol splitter is that, the concept of plotting big traders is really good. In that case, why hasn't anyone else "even" attempted to create something like it?

We have. I have one. Do I use it? No. Why? Doesn't work consistently.

For one they're often wrong. Second, they can split orders so they don't appear to be a big trader. They have different goals, timeframes, etc. On a daily someone sees a setup and buys 1000 contracts. He doesn't care that the market goes down 8 ticks in the next second. But for a scalper it's really important, cause he doesn't care what the market will do tomorrow.

if you use a volume splitter you assume:

1 - big traders are right
2 - they're trading like you

another example, they could be hedging a stock porfolio. They could be playing a spread, buying ES and selling something else.

Overall I couldn't find any edge there. Doesn't mean one doesn't exist.

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 RJay 
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cunparis View Post
We have. I have one. Do I use it? No. Why? Doesn't work consistently.

For one they're often wrong. Second, they can split orders so they don't appear to be a big trader. They have different goals, timeframes, etc. On a daily someone sees a setup and buys 1000 contracts. He doesn't care that the market goes down 8 ticks in the next second. But for a scalper it's really important, cause he doesn't care what the market will do tomorrow.

if you use a volume splitter you assume:

1 - big traders are right
2 - they're trading like you

another example, they could be hedging a stock porfolio. They could be playing a spread, buying ES and selling something else.

Overall I couldn't find any edge there. Doesn't mean one doesn't exist.

Personally,

I see no difference between large and small traders @ level 0 bid and ask.

I also don't have to know what the "smart traders" are doing. ( defining smart traders has little to do with trade size. My Opinion!!!)

My volume/tick splitters are available for free here in the VIP area.

With the volume and/or Tick splitters, I can see the carnage taking place.

I can see the market makers tricking the traders over and over again.

If you were in control of a market, when would you reverse the market to your benefit?

I have a pretty good idea.

Not tested yet, Still in research mode.

Plain as day on my splitter charts.

No, I'm not going to share.

I've given you the tools. Check it out for yourself

RJay

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 kronie 
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pedroxp View Post
Well, I'm a trading for 3 years now on ES, just started out with tradestation and I've lost mutch money on the markets so I almost give up, but then I found EOTPro trading room witch I think is great and started up again "now on SIM" and on Ninja. But because I have my normal job it's difficult for me to trade, so I started to make an automated strategy on Ninja to trade the EOTPro system that Bill is using in the trading room.

I've been seeing talking very well about EOTPro indicators and the trading room here, so I think I can contribute with some ideas of this system and how it works. The first initial version I made simply uses the EOTPro indicators to enter and exit the market automatically.
I'm constantly testing it on market replay for this year 2009 and fixing issues and things I find by the way. The system is based on what Bill uses in the room.
I know that is extremely difficult to make a profitable short term system because the markets are always changing but since Bill uses almost a mechanical system to enter and exit the trades i think its possible to do this.

You can check the AMP webinar about EOTPro that Big Mike recorded here. So I'm going to post some screens of it and some stats of course. I don't know if it's somewhat profitable or not, for July I have $3475 profit with 3 contracts. Thanks for everything and for your good posts that helped me doing this. Thanks again!!


just tried the torrent download and its not available, it was found, but no activity or bandwidth to download,

is there another location or revised one?

thanks Big Mike!!

woof,! woof!

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 roonius   is a Vendor
 
 
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cunparis View Post
We have. I have one. Do I use it? No. Why? Doesn't work consistently.

For one they're often wrong. Second, they can split orders so they don't appear to be a big trader. They have different goals, timeframes, etc. On a daily someone sees a setup and buys 1000 contracts. He doesn't care that the market goes down 8 ticks in the next second. But for a scalper it's really important, cause he doesn't care what the market will do tomorrow.

if you use a volume splitter you assume:

1 - big traders are right
2 - they're trading like you

another example, they could be hedging a stock porfolio. They could be playing a spread, buying ES and selling something else.

Overall I couldn't find any edge there. Doesn't mean one doesn't exist.

Just my 2 cents:

Most data feed providers are stacking ticks in order to save bandwith.
Even CME itself (I believe CME only recently decided not to stck ticks any more)

Volume is very very important, but all these "volume splitters" does not make a sense at all.

You might see a "block of 100 es contracts at ask price" and think: oh well... someone
"big and smart" is buying and I am going to be a smart boy and go with the flow.

And there is a huge possibility, that 100 contracts at ask price were nothing else, but 100 trades (stacked by CME) made by "small dumb" traders and you are joining the "dumb crowd"

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 cory 
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roonius View Post
Just my 2 cents:

....
And there is a huge possibility, that 100 contracts at ask price were nothing else, but 100 trades (stacked by CME) made by "small dumb" traders and you are joining the "dumb crowd"

so back to the question which crowd is this?

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cory View Post
so back to the question which crowd is this?


I don't care, but crowd is always dumb

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 Silvester17 
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roonius View Post
I don't care, but crowd is always dumb

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.

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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.


My apologies - I did not mean to offend anyone.
My point is strictly that "large blocks" absolutely does not mean a SINGLE trade

It only tells you, that there is a pressure.
Your fine black line in panel 2 ABSOLUTELY does not mean "trades bigger than 100 contracts",
it only means that volume was 100 contracts or more from trades which occured at the same price and were at bid or at ask consequently within predetermined period of time.
It could be 100 single contract trades, or 1 trade of 100 contracts or 4 trades 25 contracts each.

In any case it shows buying or selling pressure and your indicator "predicted" the upmove.

On my chart sometimes Moving Averages crossover predicts that too.:yield:

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 Silvester17 
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roonius View Post
My apologies - I did not mean to offend anyone.
My point is strictly that "large blocks" absolutely does not mean a SINGLE trade

It only tells you, that there is a pressure.
Your fine black line in panel 2 ABSOLUTELY does not mean "trades bigger than 100 contracts",
it only means that volume was 100 contracts or more from trades which occured at the same price and were at bid or at ask consequently within predetermined period of time.
It could be 100 single contract trades, or 1 trade of 100 contracts or 4 trades 25 contracts each.

In any case it shows buying or selling pressure and your indicator "predicted" the upmove.

On my chart sometimes Moving Averages crossover predicts that too.:yield:

sorry can't agree to that.

cme does not bundle trades together. on my chart those are "trades bigger than 100 contracts". checked it with time and sales. if it would be the way you say, it would be a much bigger value.

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Silvester17 View Post
sorry can't agree to that.

cme does not bundle trades together. on my chart those are "trades bigger than 100 contracts". checked it with time and sales. if it would be the way you say, it would be a much bigger value.

What is time and sales? Same data from the same feed

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 cunparis 
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Silvester17 View Post
sorry can't agree to that.

cme does not bundle trades together. on my chart those are "trades bigger than 100 contracts". checked it with time and sales. if it would be the way you say, it would be a much bigger value.

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.

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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.

Nobody exactly knows, but I believe CME is more granular now.
here is a quote from eSignal officials:


Quoting 
As of Sunday 10/4, we are seeing a signifcant increase in the # of ticks being sent by the CME on contracts like ES. There was a change announced by the CME for last Sunday but the behavior change doesn't match the description in that announcement.

As an example, we compared a period of time from 9/29 vs 10/6 on ES #F. The overall volumes were within 10-20% of each other (indicating fairly similiar activity) but the amount of ticks on 10/6 was more than double what we saw on 9/29. We are in contact with the CME and will post further information this week.

This is mostly a heads-up for those that look closely at tick counts or use tick bars (200T for ex) and follow contracts like the e-mini. The aggregrate volumes match the CME's site so we don't believe there's any overall issue. It just appears that where they were combining trades in the past, they are now sending more granual precision.

More to come.

Thanks.


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 pedroxp 
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I'm putting the webinar available again. The indicators cost $233 monthly. you can also check my blog at fialhotrading.com

Keep up!

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 Silvester17 
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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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 cunparis 
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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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 pedroxp 
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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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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.

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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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 Blz17 
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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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 cunparis 
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Silvester17 View Post
interesting. now it makes sense to me to use vol spitters. since everything is unbundled.

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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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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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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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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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 Silvester17 
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Blz17 View Post
Are they public indi's or propietary?

Thanks again,
Blz

self made. but I don't want to publish something useless.

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

Not any more I don't. And I still feel the same way. The new data is more 'raw', and raw data is better than cooked data any day. Yes, that means that people that 'pulse' lots of small orders to hide their size need to be dealt with. And, they can, since no one can stop me from re-bundling what they've unbundled.

Just because the game changes, there is no reason to complain as so many have done. The markets change and traders must adapt.

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 cunparis 
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Silvester17 View Post
interesting. now it makes sense to me to use vol spitters. since everything is unbundled.

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Silvester17 View Post
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.

I do not believe that is correct.

Your example would increase the trade size from 50 to 500. What I have shown is that the avg order size has decreased by roughly 50% (maybe 2.5x).

So what it'd show now, using your original example, 5 orders to buy 25 shares at $10 and 5 orders to buy 25 shares at $10. In this case you do not know the two orders came from the same trader, and both orders do not meet the volume split minimum of say 50 shares. So your splitter will show two "dumb" transactions and zero "smart" transactions.

I think the correct way to use volume is to compare the volume at the bid & ask. 50 shares is 50 shares, doesn't matter if they come from the same trader or 50 traders. In the market it's the order flow that moves price, not the trade size.

To place more importance on some transactions than others is to assume way too much about those transactions. As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

Also the large trader categories are separated into commercial hedgers & speculators. They do not trade together inside each category. The early (smart) speculators are now selling to the late-comer (dumb) speculators. So even in a large trader group there is "smart" and "dumb".

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 cunparis 
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Richard View Post
Not any more I don't. And I still feel the same way. The new data is more 'raw', and raw data is better than cooked data any day.

Hi Richard,

Can you explain how the data was cooked before this change and how it's more raw now? I have the opposite opinion. I have the impression that orders were not bundled before and now they're broken up into smaller pieces.

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 cunparis 
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Silvester17 View Post
self made. but I don't want to publish something useless.

Can you post some a couple days worth of charts with your volume splitter indicator? Then we can see if you cherry picked an example or it if really does predict turning points.

Blz - volume splitters have been posted here before, just do a search.

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cunparis View Post
Can you post some a couple days worth of charts with your volume splitter indicator? Then we can see if you cherry picked an example or it if really does predict turning points.

What I tried to explain to people many times on traderslaboratory is that predicting turning points is not what the splitter is all about. I think you were even participating during that time, cunparis. As larger orders are the majority of the volume anyway, the delta profile of the larger orders looks nearly identical to the overall "unsplit" delta. The most useful analysis also included the intensity of the large order activity (the thickness of the splitter line) in combination with what price did (the old VSA cliche: effort vs. results).

I mean, really, the majority of accumulation and distribution logically happens on the limit-order side of the trade anyway, which isn't what delta indicators measure. So, it's just not a proxy for actual big trader activity, no matter how much people want it to be.

But no one paid attention to me then and I don't expect anyone to listen to me now. Looking for a magic turning point predictor indicator is a fruitless task that no doubt is why so many people get sour on indicators.

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cunparis View Post
Can you explain how the data was cooked before this change and how it's more raw now? I have the opposite opinion. I have the impression that orders were not bundled before and now they're broken up into smaller pieces.

This is the way I understood the news release...

The CME used to see 1000 1-contract orders pulsed in rapid succession for example, and they would bundle it and report a single 1000 contract trade. They were cooking the data and giving you a summary. Now, they don't bundle those trades anymore, and just give you the data raw.

It's not that the CME takes in a market order for 1000 contracts, and then reports 1000 1-contract trades. At least, that's not the way I read the news. (although, even if they did break up large trades, I still wouldn't cry about it because you would see 1000 1-contract orders coming across your datafeed in very short timeframe, and could "re-bundle" it yourself with ease)

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 cunparis 
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Richard View Post
What I tried to explain to people many times on traderslaboratory is that predicting turning points is not what the splitter is all about. I think you were even participating during that time, cunparis.

Yes I was participating in that thread. I used some of the code to write a volume splitter for Tradestation and also adapted my volume indicators to use only large trade sizes. I found what you have stated, that the majority of the time the large trader activity mimicks the small 1 lot trader activity. And sometimes when one lead another, the small traders would be more correct and sometimes the other large traders would be more correct.

In theory I said it should not work because of the reasons I've mentioned in this thread and others. But I wanted to prove it to myself. So I did. And I found zero edge with it. Maybe it's something everyone needs to prove to themselves. And if that's the case I don't mind helping out by asking for a few days of charts.

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cunparis View Post
And sometimes when one lead another, the small traders would be more correct and sometimes the other large traders would be more correct.

If by 'correct' you mean pointing in the direction price headed next, then to me that's still expecting delta to lead price enough to make money following it. But, delta indicators will never be that kind of leading indication.

But, just like a hammer sucks at making toast, and a toaster sucks at driving nails, that does not mean they are useless tools. It just means you need to use them for their intended purpose. Which in the splitter's case, no one ever seems to want to do.

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 cunparis 
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Richard View Post
This is the way I understood the news release...

The CME used to see 1000 1-contract orders pulsed in rapid succession for example, and they would bundle it and report a single 1000 contract trade. They were cooking the data and giving you a summary. Now, they don't bundle those trades anymore, and just give you the data raw.

It's not that the CME takes in a market order for 1000 contracts, and then reports 1000 1-contract trades. At least, that's not the way I read the news. (although, even if they did break up large trades, I still wouldn't cry about it because you would see 1000 1-contract orders coming across your datafeed in very short timeframe, and could "re-bundle" it yourself with ease)

Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:

https://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf


Quoting 
Previously, data from a trade event involving multiple orders at the same price were reported mostly in
two data blocks. Now, trade events are reported with greater granularity. For a single trade event, a
trade data block will be sent for each resting order. This provides customers with better visibility into
market activity.

Now I understand Sylvester's point that a volume splitter could work better now than it did before (Putting aside the theories of why large traders are not always smart).

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 Big Mike 
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Richard View Post
Which in the splitter's case, no one ever seems to want to do.

having read (most) of the TL discussion, ain't that the truth!

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  #52 (permalink)
Richard
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It is definitely a sea change, in that you get insight into the resting orders that you didn't have before, at the expense of seeing less summarized "big trade" events. But, if you are watching every tick go by, you can re-bundle the trades yourself and still get at the improved information. It's one of the things I'm starting to work on.

There are lots of ideas to try, not the least interesting of which is to ignore all of the "block" trades that are still on the tape. Why? Because then you know that a big market order matched a big limit order... and from a delta perspective you might say that two "big" traders cancelled each other out. It should be fun.

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Richard
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cunparis View Post
As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

Also the large trader categories are separated into commercial hedgers & speculators. They do not trade together inside each category. The early (smart) speculators are now selling to the late-comer (dumb) speculators. So even in a large trader group there is "smart" and "dumb".

Yeah I definitely agree with you on these points. One thing that always made me cringe was the way Bill would talk about smart and dumb money in EOT's marketing materials, and how he'd keep saying "volume leads price." It wasn't slick marketing, as some people suggested. I know from talking to him that he really does think about the indicator this way. But to me it's an over-generalization that would hurt our reputation with people that knew better. It's also why my splitter wasn't just a delta profile... if all I cared about was the delta I wouldn't bother splitting the trade sizes out in the first place.

Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.

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 cunparis 
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Richard View Post
Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.

Thanks Richard, I enjoyed the exchanges and I learned something about the way CME renders its tick data.

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 Silvester17 
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cunparis View Post
Can you post some a couple days worth of charts with your volume splitter indicator? Then we can see if you cherry picked an example or it if really does predict turning points.

Blz - volume splitters have been posted here before, just do a search.

sorry I can't post older charts and I can't cherry pick them either. all those indicators are only real time. no historical data.

ps I never said and I never use it to predict turning points.

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 Silvester17 
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cunparis View Post
Thank you for your explanation. This is the first I've heard that CME was previously bundling trades together into one tick. I just went to CME and found this:

https://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf



Now I understand Sylvester's point that a volume splitter could work better now than it did before (Putting aside the theories of why large traders are not always smart).

richard just used the same example as I tried to do. only he can explain better. glad he could clear that up.

re: To place more importance on some transactions than others is to assume way too much about those transactions. As I mentioned in a previous post. the S&P is widely used for hedging. Someone could take off a spread or a hedge and you'd see a big transaction. That doesn't mean that the trader had a directional bias on the S&P.

I mentioned that in another thread. that's exactly why I think a cot report is useless. and as I mentioned before also, I'm not looking at vol splitter as a signal to go long or short when I see a big order. I use it to identify if there's program activity. you can see that by the intensity. prob doesn't make sense.

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 RJay 
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Richard View Post
Yeah I definitely agree with you on these points. One thing that always made me cringe was the way Bill would talk about smart and dumb money in EOT's marketing materials, and how he'd keep saying "volume leads price." It wasn't slick marketing, as some people suggested. I know from talking to him that he really does think about the indicator this way. But to me it's an over-generalization that would hurt our reputation with people that knew better. It's also why my splitter wasn't just a delta profile... if all I cared about was the delta I wouldn't bother splitting the trade sizes out in the first place.

Anyway, sorry to hijack the thread, and I hope you know I'm not singling you out, cunparis. I just try to get the word out whenever I can: splitters are neither holy nor grail-shaped.


Hi Richard,

I guess you have read my volume splitter thread in the VIP area.

Do my tick and volume splitter indicators look accurate to you?

I was on a mission to prove or disprove those EOT Utube videos.

I primarily use volume indicators to determine trade entry and exit points.

If my system tells me the market is trending up and the market begins a short term correction, I wait until there is a large volume spike in the direction opposite to the trend.

That is my entry point. Exiting trades is similar, exiting on volume exhaustion/ reversal spike.

With your trading experience, Do you think this is a good trading strategy???


Thank you for sharing your thoughts here on this forum.

RJay

P.S. Have you tried out my NoGapRangeBars???

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 cunparis 
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RJay View Post
P.S. Have you tried out my NoGapRangeBars???

Are these just visual or does it change the bar formations compared to normal range bars? Are you just adding an extra tick to make it touch the previous close? I'm curious how that works. I currently use range bars but haven't tried your no gap variety.

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Richard
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RJay View Post
I guess you have read my volume splitter thread in the VIP area.

Do my tick and volume splitter indicators look accurate to you?

Sorry, haven't seen it. But if you have any specific questions maybe I can help. If by 'accurate' you mean similar to the EOT splitter: The original EOT splitter's delta value was just dominant-cycle length SMA of the split delta (not cumulative, just of each bar's delta). The thickness of the line was a bit more complicated calculation, but the goal was to notice 'lots' of big trades per unit of time.



RJay View Post
If my system tells me the market is trending up and the market begins a short term correction, I wait until there is a large volume spike in the direction opposite to the trend.

That is my entry point. Exiting trades is similar, exiting on volume exhaustion/ reversal spike.

I do think exhaustion is a real phenomenon, but I'm not sure I'd try to isolate big trader exhaustion. The VSA folks have this idea of 'stopping volume' which to me is just another word for the same thing. If you just look at a plain volume histogram on a range chart you can see it at times. So, I think a good trading plan could be built around it. I've not done that, but it sounds good to me.

To me, the reason to use a splitter is to spot places where the bigger traders seem to be making a liquidity grab (as opposed to a single entity adjusting huge hedged positions). So, you watch block trade delta, and you look for the intensity to spike, and you look for price to start moving. It's a pretty short-term phenomenon, so it's more of a scalping thing than anything else.



RJay View Post
P.S. Have you tried out my NoGapRangeBars???

Are those the ones that make the open of a bar == the close of the previous bar? If so, that was a good idea, and the charts I've seen look cleaner than ninja's range charts. When I made "point-o" bars that was one of the things I liked about them. Lately, though, SbsRenko is my favorite non-minute bar. I think it's fantastic.

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 Big Mike 
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Thanks Richard.

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