I think the charts show the indicator name having CPM in it. I'm fairly sure that's Contracts Per Minute. I think that is mentioned in a post on TL as well.
If you mean historically, that might be correct. However, UB himself mentions two popular ways of doing it:
1) trade at bid, trade at ask
2) up/down/same (upticks & downticks)
and then states that he uses neither of those. There are many other possibilities of varying level of sophistication. UB doesn't say what he uses (I would really like to know). If there is any significant value in UB's indicators, I think primarily it comes from this one thing: the accurate assessment of bid/ask pressure. If you can do that, all the rest is just doing that calculation in various ways.
That's interesting. If you want up/down ticks, right... I can see what you mean--though you could do it on a 1 tick chart (wouldn't be so bad if it would let me squish it up more).
However, if you want to do trade at bid/ask, then you need an unfiltered feed like zen-fire. Tradestation snapshots bid/ask so it would not be accurate to try to calculate trade at bid/ask in it. Of course, unfortunately, you can only do trade at bid/ask in realtime and not historical except possibly on certain platforms (at least I think I've heard it done somewhere).
analyzing orders pulled might be a tough one, as there are systems out there placing orders automatically in the book on various levels with the purpose to beat the queue (remember, orders are being matched FIFO).
so, basically, in case something/someone decides to actually trade a specific price, then there will already be an order sitting there at that level with a high probability of being executed.
The following user says Thank You to toulouse-lautrec for this post:
Hi, I read this great post.
I am trying to plot wat you describe on multicharts, but i need indicator described in the topic:
Time Histogram "time histogram" tools and
Volume Stop for currency futures
deanzs level 2 indicator L2/DOM imbalance
buy/sell volume imbalances,
Hi there..... could you get into a little concepts...i have seen your charts on the net probably using NT. I gather you were able to mimic the results. Were you however able to determine if it was a buy or sell....and at what point were you able to determine the spike
the Pace of Tape was just the beginning, that leds to many different experiments all focusing on volume. What I have now is quite different from pace of tape.
I've been very busy with my consulting business (which provides a lot more stable income than trading!). I can only trade the last couple hours and I only trade when the market is moving and when I have a good big picture context so it's rare. I haven't had a good setup in almost 2 weeks, I tried a risky one today and stopped out. Need to be patient. The results are good but I need more experience before I will be comfortable increasing size. I should update my blog.
I tried to duplicate what they had and I felt I was close but.. I got to know the guy and he gave me some hints but he said what I was doing was going in a different direction. I actually liked what I was doing so I decided to pursue it and stop chasing his ideas to focus on my own.
For buy or sell, it's easy to post cherry-picked examples showing an indicator catching the top or bottom of the day. I don't try to do that at all. I look for the market to move and I just look for a low-risk point to hop on and take a small piece. So it's a very different way than what Trade Point was doing.
BTW their website isn't working. Anyone know what they're up to?