Search results

This notion of comparing volume against an average on the basis of time-of-day is interesting and I can see the value in it. I often glance at a 60min chart during the day and examine relative volume level for the current bar versus the same bar over the last several days. However, the...

martys, I don't know about smart, but they certainly have far less tolerance for risk than bigger and better capitalised traders. The other point to consider here is that the small guys can trade whenever they want. The larger guys don't have that luxury because they need to have sufficient...

xxxskier, Excellent post - thanks for that. Dalton has a new book out soon which I can't wait to get my hands on. bolter

hi mikesch, In my experience it is coincidental with price - not leading and (importantly) not lagging. Hence it has not anticpatory properties. I have found that the best heads-up that a truning point maybe in the making is when this indicator goes sideways for a few bars. But only gradual...

Another interesting footprint from todays action on the bund. After a nasty selloff following the NFP number it managed a weak bounce before the following chart played out. As you can see it hit a vaccuum and dumped ten ticks in a blink on very little volume. Hard to imagine on a contract as...

One of the niceties of MD is that it enables you study the action retrospectively to help understand how markets behave under extreme conditions. In real-time is often plays out far too quickly to accurately observe the dynamics. This was the bund today on the NFP announcement. Interesting...

toe, More or less correct. Market delta is the net of the volume at the offer minus the volume at the bid. You can display it in various different forms, including the footprint chart and the volume breakdown indicator. With the VB you can choose to accumulate it as you suggest, either todays...

hi toe, Good to hear from you - how's life? Great question. Let's see what dcraig has to say. regards, bolter

dcraig, Wow, you are doing some fantastic work on this delta stuff. I particularly like the order book delta. I said back in a post on page 2 of this thread: I guess you are the enetrprising individual trader I made mention of. Nice work. bolter

ticktrade, Thanks for that - seems rather obvious when you point it out. Sometimes it's the little things that defeat me. FYI - Chad sent the following to me earlier, possibly in response to your comments. Obviously he's keeping a sneaky little eye on this thread. "I've added the ability...

Here's the response from Trevor/Chad, "Trades that occur at or above the ask are considered ask volume. Trades that occur at or below the bid are considered bid volume. Trades that occur between the bid and ask are handled in a proprietary manner which considers the distance between the bid...

dcraig, Great research. That's the sort of stuff you instinctively know to be the case but never actually get around to proving it or indeed capturing the stats. Well done - thanks for sharing that with us. All the best, bolter

paul, I believe you are correct, although I'll confirm this with Chad. It's not that they don't have any significance but it is impossible to infer whether it was likely a buy or sell transaction. On a liquid market with a decent tick size (eg: ES) the spread will be a fairly consistent 1...

ticktrade, I'll echo cj's comments - excellent post. Your chart clearly shows what I made reference to in an earlier post, and that is, the "retail" guys are not necessarily the cliff jumping lemmings that conventional wisdom would have you believe. Whatever, I guess the important point...

paul, One point of clarification from whisters post for those not familiar with tick data. Data vendors supply tick data in a format such as: date, time, price traded, volume, bid, ask with 1 record for each "trade". So by examining the price traded relative to the prevailing bid and...

hi whister, xxxskier, Glad to see you guys posting here. Thanks for your contributions. bolter

cj, Great post thanks. Can you clarify your following statement please: bolter

Nice setup this morning on the Nikkei 225 (SGX). Market gapped down over 150 points but was met with plenty of buying interest. As you can see from the chart below, with the beneift of MD the trade was a no-brainer. The tick based chart does a great job of showing the shape of the market action...

martys, I think if you keep experimenting you will find differences between how the big guys and the little guys trade. MK had some good suggestions. Good luck. Please post your findings so that we may all benefit from your hard work. bolter

Hi Eric, Tells you very little. If it wasn't a negative number you would have found the holy grail or (more likely) you have over-fitted your system. You might want to look at the higher order moments (skew and kurtosis) to determine the shape of your distribution. That will give you more...