Order Flow indicators (www.tradingphysics.com)

A

abattia

Is there anyone on ET familiar with order flow indicators (from TradingPhysics, or from elsewhere) willing to make some suggestions or provide some guidance?

I have spent some time over the last few months investigating Order Flow indicators (which “measure the current book and its dynamics in time”) from www.TradingPhysics.com.

Specifically, I have looked at MarketIndicator.Sell.Executed.AgeA, and MarketIndicator.Buy.Executed.AgeA to investigate whether the above two indicators could be incorporated successfully in an automated intraday equity trading strategy; so far, I have not found any compelling case for including them, and so want to seek help from other ET users.

I have looked at:

a) Could the above indicators be used in automated strategies TO CONFIRM OTHER ENTRY SIGNALS?
• whenever the value of MarketIndicator.Sell.Executed.AgeA [MarketIndicator.Buy.Executed.AgeA] crosses a threshold (determined through backtest/optimization), using this signal to indicate that a rising [falling] price trend might shortly turn down [up], to confirm another indicator looking at trend changes.
• I found that MarketIndicator.Sell.Executed.AgeA / MarketIndicator.Buy.Executed.AgeA didn’t significantly improve the performance of the other indicator as an entry signal, across the 100 or so instruments that I focus on.

b) Could the above indicators be used in automated strategies TO CONFIRM OTHER EXIT SIGNALS?
• In two automated intraday strategies that I use, I looked at whether MarketIndicator.Sell.Executed.AgeA / MarketIndicator.Buy.Executed.AgeA could be used as additional signals to exit a position.
• For the 100 or so instruments that I focus on, the performance of the strategies (% return, profit factor, % winners) was not improved by incorporating these indicators.

I don’t yet want to give up on these order flow indicators, but am struggling to determine where to go from here.

Is there anyone on ET familiar with order flow indicators (from TradingPhysics, or from elsewhere) willing to make some suggestions or provide some guidance?

Thank you in advance.

PS. Incidentally, I posed the same questions to www.TradingPhysics.com, but received no response.
 
Quote from abattia:

I have looked at MarketIndicator.Sell.Executed.AgeA and MarketIndicator.Buy.Executed.AgeA to investigate whether the above two indicators could be incorporated successfully in an automated intraday equity trading strategy; so far, I have not found any compelling case
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I tested the Market Physics indicators for three months forward and found no mutual information with future price changes on any time scale.

Worthless, IMHO.
 
Quote from Kevin Schmit:

I tested the Market Physics indicators ... and found no mutual information with future price changes on any time scale.

Worthless, IMHO.
More...
Thanks. My experience, too.
 
Institutional trading was at one time somewhat correlated to amount of smaller and larger orders (blocks), with middle-sized orders not correlated. Of course, institutions might have changed their purchase sizes since then, once they realized they were giving themselves away. The only way to know for sure is, check the quarterly ownership statements (SEC form 13-F).

Caught On Tape: Predicting Institutional Ownership With Order Flow (2004)
http://ideas.repec.org/p/wpa/wuwpfi/0405012.html
 
Quote from Stoxtrader:

Institutional trading was at one time somewhat correlated to amount of smaller and larger orders (blocks), with middle-sized orders not correlated. Of course, institutions might have changed their purchase sizes since then, once they realized they were giving themselves away. The only way to know for sure is, check the quarterly ownership statements (SEC form 13-F).

Caught On Tape: Predicting Institutional Ownership With Order Flow (2004)
http://ideas.repec.org/p/wpa/wuwpfi/0405012.html
More...

Many thanks.
 
Quote from abattia:

Thanks. My experience, too.
More...

It is refreshing to see people actually TEST the stuff they follow rather than become believers in it. If you two were projected onto the rest of ET, and they saw how useless almost all classical TA is by performing rigorous testing on it, there would be a lot of people getting closer to actually learning how to trade.
 
Quote from Stoxtrader:

Caught On Tape: Predicting Institutional Ownership With Order Flow (2004)
http://ideas.repec.org/p/wpa/wuwpfi/0405012.html
More...
Stoxtrader, Thanks. An interesting read.

Two points particularly surprised me:
a) Trades that are either under $2,000 or over $30,000 in size are very likely to be initiated by institutions, whereas intermediate size trades are relatively more likely to be individuals.
- the lower limit is far lower than I expected for institutional trading.
- I guess I'm also surprised that the upper limit isn't a higher number, too; if I've understood correctly, this suggests few retail share traders will ever place more than $7,500 on a single stock daytrade (assuming a 25% intraday margin requirement); I expected this boundary would be higher.

b) Institutions tend to buy at the ask and sell at the bid, or buy on upticks and sell on downticks, suggesting that they demand liquidity rather than provide it.
- Also, not what I expected ...

Thanks again.
 
Have anyone tried to get real-time data from them?
I receive heartbeats but do not receive any so-called "tick" updates.
Support is silent.
 
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