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best answer I found (after several failed attempts): http://www.pretentiousname.com/timesync/index.html

My guess: He's probably looking back beyond the current contract (he's been following the market down for months), and he also primarily trades in the direction of the major trend (down), mixed with some fundamental analysis that we ain't done going down yet (based on his older posts in other...

I gave this some thought, and came to a few conclusions... - Some unknown fraction of the traders defending S/R levels will rollover their positions to the new contract, and place their stops near the S/R levels of the old contract. This stop placement will tend to reinforce the same S/R...

The idea is that the longs will attempt to defend and add to their positions... until they don't. CD alone only tells you somethiing about where the key S/R levels are at, and what strength they may have, but you have to watch price action and higher time frame trends to judge whether a...

Seems like rollover will either involve a lot of work (or loss of info), OR it involves very little additional work and I don't understand some very important things about it. Any enlightenment would be appreciated. :)

So you just assume all the active S/R inventory is held across rollover? And are not waiting for open interest to stabilize on the new contract before using it to build new S/R levels? Rollover was another reason why I had shied away from this approach in the past, but I guess I was...

Very nice post AMT. Couple of minor things... - With respect to who it is that is establishing these positions, I was referring to "commercials" and "large speculators" in the way they are designated in the COT report (i.e., not to retailers). The broader point is that your approach...

So the problem is that, even though one can identify clusters of buying or selling in a price area the first time* it is encountered, one doesn't know what fraction of these trades are new positions vs. positions being exited. But if the area is retested, and the cumulative delta has changed...

Ahh, I see now the connection to auction market theory: levels are not established until tested, and their strength is then related to the accumulation of positions, which can be estimated by differences in cumulative delta at a particular price. But then this has nothing to do with...

Are your sure that's what he means (i.e., that a disparity develops between price and net contracts)? In that case it has nothing to do with commercials vs. speculators. I thought what he meant is that part of the -100K also persists since it is due to commercial hedgers who stick to their...

So the commercial hedgers stake out relatively fixed positions that are large enough to create "bumps" in the cumulative delta that are not completely obscured by the speculators. Have been reviewing my COT notes from years ago, which I had discounted for purposes of intraday trading. Would...

Thanks again AMT! I had previously discounted this approach since one can't really know when a buy/sell at one level and time offsets a sell/buy at another (i.e., cancelling inventory), but it appears that tracking cumulative delta at each price across days is nonetheless useful, even if it...

Before diving into an AMT-like approach, I was curious what data sources AMT and others are using to collect all this volume and price data 24 hours a day? Do you guys have any reliance on an historical data source, or are you doing all of the collecting in realtime with custom programs? thanks

Yes, I already know a lot about the API, but not whether all the SmartRouting Configuration stuff done in TWS automatically applies to API-based quotes and executions. I can actually see now that the quotes gotten via the API are affected, but am still interested in whether anyone has verified...

When making changes in TWS to the SmartRouting Configuration, do these changes also affect API-based quotes and executions? If, for example, you've excluded an exchange for SMART executions in the TWS, and you enter a SMART order via the API, does that exchange filter work with the API...

Time frames also matter. Even if you found something that consistently led by a second or two, it may have nothing to do with the movement you're trying to capture in a larger time frame.

macro: okay, I see from your previous posts what you are doing...

curious as to which "markets" you are referring to, and how you knew the money was "foreign"?

These numbers are misleading unless you include factors such as tick size, tick value, and margin requirements. For example, one could argue that trading 2 YM contracts (about same risk) would provide more flexibility for scaling in and out than 1 ER2 contract. What really matters is: 1...

"very visual and relative comparisons against price/volume" Are you sure that you're not even using 1 bar of hindsight? In other words, is the "S" labeling being done before the close of its bar, or one bar after, when the (reversal) pattern is obvious?