Recent content by txuk

RedDuke, please post the feeds that you recommend. I've looked at numerous futures datafeeds over the years to feed some customized tools I've built, but each has had limitations leaving me looking for something better. Thanks

I didn't see this but it may very well have been a strong early warning, I'm curious to hear other opinions. I tend not to even look at squ/str the first 5-10 minutes. My approach is to let the market settle down and then eyeball a neutral FV (I no longer look to indexarb as a starting point)...

I think you're onto something with this. I used 60 today (can't remember if I started w/ that or if I adjusted down to that in the morning -- I need to start logging my adjustments). Not saying 60 was the best number to use, but it was sufficient for me. I believe you mentioned previously...

inputs: DataSeries1( Close of data1 ), DataSeries2( Close of data2 ), Offset(0) ; vars: IntraBarPersist diff(0), IntraBarPersist hiextreme(0), IntraBarPersist loextreme(0), IntrabarPersist Bar_Number(0); diff = DataSeries2 - DataSeries1 - Offset; if BarNumber <>...

Spyder has made several detailed posts this month discussing this, and many others have posted images showing that if setup properly you do not get bars as you describe. Going back to the beginning of the month would be a good place to start your research.

WG, you can ignore the High/Low values of YM and INDU. You want to always work with the immediate spread of YM minus INDU minus Offset. At the beginning of each 1min bar, reset your sq/str extreme variables. With each passing tick re-calc the spread. If the spread is at its highest or lowest...

In tradestation I'm able to hold the extreme values of each bar in a variable and plot them as separate lines on the chart. In the attached pic the thin portion of each bar represents the extremes and the thick portion represents the last value, which fluctuates with each tick. Also look at...

Mak, I would love to see what you SEE. When I observe a flaw on my squ/str, such as reading neutral when YM has just BO on inc vol, then I know my offset needs adjusting. But this is a manual process that requires looking at the right place at the right time. Does your tool simplify this?

Thanks for the reply Spooz, much appreciated. I've been watching squ/str long enough now that I'm comfortable with manually determining an offset that is sufficient, and then adjusting the value when flaws appear. But the ability to auto-audjust would be ideal and I'm glad to hear this method...

Spooz, this comment sounds like you are calculating the offset rather than manually setting it? If so do you mind describing your method for doing so. Thanks

I agree with Spyder that squ/str is best viewed as a histogram. See if you can set your chart that way. Also, due to the spread changing so quickly, it would be difficult for us to compare squ/str charts at the end of the day. The value can change significantly from one second to the next, so...

Here's a simple TS indicator to get you started. Create a 1min chart of $INDU. Add symbol YM. Insert this indicator. Format the indicator to style histogram. Adjust the offset parameter as needed.

That is the key question. I only took a brief look at the site, but if the underlying data store is relational then it seems the primary advantage of this product is ease of coding (i.e. it handles the object to relational mapping for you), but would still have the performance disadvantages of...

I've been waiting for this to be released before looking into HDF5. Thanks for the notice.

My approach is to plot a channel using adjacent bars and use it as long as price is operating within the lines (see gray lines on chart). Quite often, as shown here, the FTT and the following bar do not form a channel that will hold for very long. When price breaks the gray lines I am looking...