Jigsaw Trading's Peter Davies - Ask Me Anything (AMA) - Vendors and Product Reviews | futures io social trading
futures io futures trading


Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)
Updated: Views / Replies:78,761 / 382
Created: by Big Mike Attachments:70

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 70  
 
Thread Tools Search this Thread
 

Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

  #21 (permalink)
Elite Member
Atlanta GA USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: Futures
 
Sazon's Avatar
 
Posts: 148 since Feb 2013
Thanks: 552 given, 251 received

Hi Peter,

I have been trying to find more information on the beta version of the new strength meter. You posted some information here about it:

https://futures.io/trading-journals/26168-day-trading-using-basis-mack-s-pat-teachings-48.html#post360630

I understand what the top meter is doing. However, I'm still can't make heads or tails of what I'm looking at for the other two meters. For instance, sometimes it appears that the pulling/staking values of the meter do not agree with what's on the depth & sales when I add up the numbers in my head....unless I'm looking it at all wrong.


Could you clarify what the pulling/stacking meter and bids/offer meter are calculating?

Also, how does the "Meter Levels" setting affect their calculations.

Thanks


Last edited by Sazon; October 22nd, 2013 at 07:14 AM.
Reply With Quote
The following user says Thank You to Sazon for this post:
 
  #22 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 303 received

>>Peter Davies:blue/bullish side - Any +ve numbers from the bid snapshot plus any -ve numbers from the offer snapshot (but the absolute value). Reverse for red/bearish side.
Me: Aahhh, thanks. The absolute addition happens across BOTH sides - that's what threw me. <<

Sazon, ref Snapshot query

Above is Pete's answer on the Jigsaw forum where I asked same question. Due to data sync issues (we cannot avoid) the background Jigsaw calculation and foreground action seen on D&S will still be out of sync a little sometimes!

Hope that helps. Pete is supposed to be taking a few days holiday so felt I had better comment here.

Richard
Hong Kong
Reply With Quote
The following 2 users say Thank You to RichardHK for this post:
 
  #23 (permalink)
Elite Member
Atlanta GA USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: Futures
 
Sazon's Avatar
 
Posts: 148 since Feb 2013
Thanks: 552 given, 251 received



RichardHK View Post
>>Peter Davies:blue/bullish side - Any +ve numbers from the bid snapshot plus any -ve numbers from the offer snapshot (but the absolute value). Reverse for red/bearish side.
Me: Aahhh, thanks. The absolute addition happens across BOTH sides - that's what threw me. <<

Sazon, ref Snapshot query

Above is Pete's answer on the Jigsaw forum where I asked same question. Due to data sync issues (we cannot avoid) the background Jigsaw calculation and foreground action seen on D&S will still be out of sync a little sometimes!

Hope that helps. Pete is supposed to be taking a few days holiday so felt I had better comment here.

Thanks for that clarification.

Reply With Quote
The following 2 users say Thank You to Sazon for this post:
 
  #24 (permalink)
Elite Member
copenhagen
 
Futures Experience: Beginner
Platform: ninjatrader
Favorite Futures: ES
 
Posts: 88 since Jun 2013
Thanks: 8 given, 41 received

Can the jigsaw trader also be used for stocks?

Reply With Quote
The following user says Thank You to humseper for this post:
 
  #25 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,491 since Nov 2010
Thanks: 752 given, 7,641 received
Forum Reputation: Legendary


humseper View Post
Can the jigsaw trader also be used for stocks?

It can - BUT there are a few gotchas

- Recon Tape, Summary Tape will work fine
- Depth & Sales is a vertical display - 1 line per price. So for high priced stocks like AAPL, there are lots of empty lines because of the larger spread. For $0-$80 stocks that are actively trader (> 500,000k per day) it will still work well
- NinjaTrader have a problem with eSignal depth data right now and so you cannot rely on Ninja DOM or Jigsaw D&S to display the correct depth.
- NinjaTrader have a problem with IBs Totalview data so same as above for IB data
- Kinetick data works fine with Ninja but Kinetick don't provide totalview.

For those that do not know what total view is.

Level 2 data on stocks shows the BEST bid and BEST offer for each participant or exchange. So if there is a bid at 49.99 on ARCA for 50 lots and a bid at 49.98 for 5000 lots, then only the 50 lots will appear.

Totalview is a sort of 'extended' Level 2 that shows EVERY bid/offer for each participant or exchange. So you see full depth.

TotalView is for NASDAQ.

So - you have a situation where Ninja cannot handle Any Level 2 data from eSignal or TotalView data from IB. Both issues have been reported to Ninja and Ninja has flatly refused to fix these issues despite the fact that in both cases, depth data is reported incorrectly. eSingal is just plain wrong and for IB, they say that "TotalView is not supported", although you only get to find that out if you report the issue.

Whilst Kinetick and L2 on IB are OK - they only show best bids/offers per participant and if that's enough for you, then you are OK. I personally prefer to have a full view of depth.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to DionysusToast for this post:
 
  #26 (permalink)
Elite Member
copenhagen
 
Futures Experience: Beginner
Platform: ninjatrader
Favorite Futures: ES
 
Posts: 88 since Jun 2013
Thanks: 8 given, 41 received

So will I be able to view the level ll totalview, if I got IB at the broker and use another dataprovider than IB or Kinetick?


Last edited by humseper; November 2nd, 2013 at 03:44 AM.
Reply With Quote
The following user says Thank You to humseper for this post:
 
  #27 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,491 since Nov 2010
Thanks: 752 given, 7,641 received
Forum Reputation: Legendary


humseper View Post
So will I be able to view the level ll totalview, if I got IB at the broker and use another dataprovider than IB or Kinetick?

Sure - but I'm not sure which data provider you can use.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following user says Thank You to DionysusToast for this post:
 
  #28 (permalink)
Elite Member
Tampa, FL
 
Futures Experience: Beginner
Platform: NinjaTrader, Sierra Chart
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: 6E, M6E, 6J
 
Xav1029's Avatar
 
Posts: 1,374 since Dec 2011
Thanks: 1,452 given, 3,335 received

Cumulative Snapshot Strength Meter

Hey Pete,

Any way to add a "cumulative" option to the snapshot strength meter? This is actually something I had been working on, but hadn't had much time. I think it is valuable information to know how the limit orders have been holding up over a bigger time span than just an individual spread, specially in thinner markets. For example if there is a run up, and during that run up, the ask had been getting pulled and the bid had been getting stacked, but then a certain point is reached where players quit pulling their limits and start cashing out.

Great update as always,

Xav

London Calling
Reply With Quote
The following 2 users say Thank You to Xav1029 for this post:
 
  #29 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,491 since Nov 2010
Thanks: 752 given, 7,641 received
Forum Reputation: Legendary


Xav1029 View Post
Hey Pete,

Any way to add a "cumulative" option to the snapshot strength meter? This is actually something I had been working on, but hadn't had much time. I think it is valuable information to know how the limit orders have been holding up over a bigger time span than just an individual spread, specially in thinner markets. For example if there is a run up, and during that run up, the ask had been getting pulled and the bid had been getting stacked, but then a certain point is reached where players quit pulling their limits and start cashing out.

Great update as always,

Xav

I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.

This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.

So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.

You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.

For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 2 users say Thank You to DionysusToast for this post:
 
  #30 (permalink)
Elite Member
Tampa, FL
 
Futures Experience: Beginner
Platform: NinjaTrader, Sierra Chart
Broker/Data: Mirus Futures/Zen-Fire
Favorite Futures: 6E, M6E, 6J
 
Xav1029's Avatar
 
Posts: 1,374 since Dec 2011
Thanks: 1,452 given, 3,335 received



DionysusToast View Post
I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.

This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.

So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.

You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.

For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.

Well its the same principle as CD, but more like Level II Delta. The numbers do get big(I had a working cumulative level II delta tool coded up, but it was a resource hog), but they scale VERY close to PA. I actually like when the numbers got big, because they quit looking so jumpy on a cumulative chart. Another idea could be time based accumulation,,,say the past N-minutes. This is just something I had been experimenting with, but could not got lean code.

London Calling
Reply With Quote
The following user says Thank You to Xav1029 for this post:

Reply



futures io > > > > Jigsaw Trading's Peter Davies - Ask Me Anything (AMA)

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Introducing iSystems with Stage 5 Trading

Apr 27

*NEW* FIO Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

May

Prototyping Python Strategies (part 2) w/Ran Aroussi

Elite only

Ask Me Anything w/Raymond Deux @ NinjaTrader

May 3

An Afternoon with FIO member Softsoap

Elite only
 

Machine Learning & Data Mining Bias w/Kris Longmore @ Robot Wealth

Elite only

Brannigan Barrett (TBA)

Elite only

FIO member Gomi (TBA)

Elite only

FuturesTrader71 (TBA)

Elite only

EasyLanguage Programming w/Chris @ ABC Trading Group

Elite only

Portfolio Diversification w/Brendon Delate

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
KJ Trading Systems Kevin Davey - Ask Me Anything (AMA) Big Mike Vendors and Product Reviews 278 17 Hours Ago 05:00 PM
Jigsaw Trading & RapidTraderPro, www.jigsawtrading.com MWinfrey Vendors and Product Reviews 221 April 13th, 2017 09:29 AM
DeCarley Trading's Carley Garner (Senior Strategist/Broker) - Ask Me Anything (AMA) Big Mike Brokers and Data Feeds 24 December 24th, 2013 02:15 PM
Spot FX Day Trading: The Jigsaw mokodo Trading Journals 242 November 18th, 2013 04:18 PM
DeCarley Trading's Carley Garner (Senior Strategist/Broker) - Ask Me Anything (AMA) Big Mike Options on Futures 1 March 6th, 2013 06:00 PM


All times are GMT -4. The time now is 11:00 AM.

no new posts
Page generated 2017-04-27 in 0.09 seconds with 20 queries on phoenix via your IP 54.198.188.116