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I use Multicharts.NET, but any platform or API that provides tick-by-tick resolution data would work. If you are talking about EuroFX, the lack of liquidity could make my particular algorithms less effective. I believe NinjaTrader can deal with actual tick by tick data in NT8, but I'm not a NT user, and my knowledge there is all second hand.
yep NT 8 and NT 7 with many providers give you tick by tick data feed
but the strategy needs to be written to in NT script and that's another story I guess
Putting this together in NT8 wouldn't be difficult. However, trading the 6's with orderflow is a different story all together. I don't watch it too tightly, but I have a chart of 6J up because it has high correlation with ZB. I've seen days where price moved down all day, and cumulative delta moved up all day.
Personally, I correlate the ES/NQ/ZF/TN with the ZB. If you add correlation to the strategy you end up with a much higher win rate(high 90's), but the downside is you may only see 1 trade per week that satisfies all the thresholds on every correlated instrument.
If we're talking about equity indexes, I only look at ES because it's the only one broad enough. There's definitely correlation, but that correlation changes based on the situation. If it's risk on/off driving the move then they're inversely correlated. If it's inflation or "easy money" based, they tend to move together. They also don't move at the same time. The best moves happen in the treasuries first, and then equities follow. Today was a good example. The reversal happened in in treasuries first, and ES followed moments later. ES only sold a little while ZB went on a crazy run. It was a good bet that later on ES would fade again to new lows, and sure enough it did. If inflation is a big driver then CL can play into it too. However, I haven't watched it too much lately because CL's action currently has much more to do with oil itself.
module, have you looked at situations or times or conditions in which high volume on the book attracts orders vs repels orders? What order type are you using for entry and exit?
Modu... I'm talking the relation about profit and Losses don't know your current stops actually we are developing several scalpers running into NT7 but since multi charts and nt8 have better granularity we are thinking migrate ideas there very soon
I was digging thru footprint charts / order flow looking for ways to identify following 3 scenarios
1) absorption
2) exhaustion
2) acceleration
Now it became clear why a footprint chart make sense . I ended up modifying my program to plot footprint style chart. Implementing this in chart is not very optimized for Tradestation, I ended up using DataGrid and addign columns to the grid for plotting footprint. Currently it is a 4500 tick chart but program can be adjusted for range / time or TICK based plots.
i had the vol ladder up for years, as well as vol on a 1min chart.I had the same thought...when is vol being absorbed vs acceleration?I think the vol ladder ,theoretically, is an amazing tool...but, so much info for me is very overpowering, and i would just get caught up in it, seeing the leaves and not the forrest.I always thought ,that i just want to trade with order flow...trying to be on the correct side of the trade.,and not getting run over.....I like the direction you are going...Good work!
. I ended up modifying my program to plot footprint style chart. Implementing this in chart is not very optimized for Tradestation, I ended up using DataGrid and addign columns to the grid for plotting footprint. Currently it is a 4500 
