Real time volume histogram

Quote from murray t turtle:

================
The guts of market profile are helpful;
use a variation of it, the underlying principals fortunately are older that me or MP
:cool:

Mike80;
Dont take this too personal, or nitpick,are you absolutely sure there are no absolutes in the market????

In a practical way, use enough close limit orders for entry in derivatives;
absolutely will have some unfilled, but use/prefer them anyway.

Plenty of absolutes to use;
open , high , low close,regular hours.Not that all data providers agree .LOL

Agree with you last statement on many changes ''more dynamic'
:cool:
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Murray,

I guess I made an absolute statement about there being no absolutes in the market:). Which is an oxymoron...

No I am not sure about that. I wouldn't know where to find any absolutes in real time - the past of course has absolutes and history does repeat itself - maybe we can call that an absolute?

Dynamic hedging is great example of there being no real time absolutes. Market neutral models fall apart constantly, they are fragile in this sense because the assumptions are just that, assumptions. I may be getting overly philosophical here, but, how can we be sure that price discovery serves the purpose we believe it does - whos to say that next year a new pricing theory won't revolutionize the way we trade? After all, capitalism is an organic mechanism, constantly changing with new technology and new ideas.
 
In about 6 years of backtesting data, I have found several market delta correlations that cause certain price movements over 96% of the time....that was definitely and absolutely good enough for me. :)
 
Quote from 5Pillars:

In about 6 years of backtesting data, I have found several market delta correlations that cause certain price movements over 96% of the time....that was definitely and absolutely good enough for me. :)
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5Pillars,

I am not 100% sure what you mean by market delta that you speak so often of. Is this a generic term that covers a whole range of indicators? I am assuming at least one of them it's the difference between the traded volume on the bid vs ask?

This past Wednesday(7/19) in the morning, the ratio of total traded volume (for the entire first 30 minutes of trading) on the ask to bid is around 1.25 at one point or even slightly higher. This is way over the average imbalance for that time frame; normal range is about 1.1 to -1.1 from my observation so far. This ratio imbalance confirmed aggressive buying. On smaller time frames, < 5 minutes, the range of ratio can be much higher. By the end of the day. the ratio return to 1.04 for the entire day. So as time goes by this ratio imbalance is also likely to approach neutral, 1? If this phenomenon is true for > 90% of the time, it can be very useful in gauging market momentum and direction. The question in my head is how and what time frame to use this indicator, or what should be my entry and exit strategy, programmable strategy that is, next time I encounter such an imbalance over a 15 or 30 minute time frame. :D
 
Quote from piggie:

5Pillars,

I am not 100% sure what you mean by market delta that you speak so often of. Is this a generic term that covers a whole range of indicators? I am assuming at least one of them it's the difference between the traded volume on the bid vs ask?

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I am mainly talking about if the market is "net" LONG or SHORT from the market opening period and on. Is there more selling or buying volume, and who is holding the most since the 09:30 est open. As the day goes on the delta changes constantly, but there are ratio's of net LONG to SHORT volume traded that are significant.
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I just realized that I have inadvertently become a seeker and a student of the 'Market Profile', the term was first used by Steidlmayer. I programmed the real time histogram based on the intuition that useful information should be buried in price/volume relationship; and the histogram over time should quantitatively display what experienced tape readers are being tracking in their minds. There is much to read and catch up on this subject. And it just so happens that there is already this thread - 'Trading with Market Profile'.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=9727&perpage=6&pagenumber=1

Thank you guys for pointing me to the right direction.

Harry
 
I'm a bit confused aren't net long positions always equal to net short? (In the futures markets at least).

I just started the MD trial this week week interesting tool. I have already made several useful observations.

I'm very Interested how others are using it, funnily enough I think some of the premises are reverse to how things are in reality. (e.g. 'smart' money tends to buy passively not aggressively)

Cheers,
Nick

Quote from 5Pillars:

5Pillars,

I am mainly talking about if the market is "net" LONG or SHORT from the market opening period and on. Is there more selling or buying volume, and who is holding the most since the 09:30 est open. As the day goes on the delta changes constantly, but there are ratio's of net LONG to SHORT volume traded that are significant.
More...
 
Quote from piggie:

I just realized that I have inadvertently become a seeker and a student of the 'Market Profile', the term was first used by Steidlmayer. I programmed the real time histogram based on the intuition that useful information should be buried in price/volume relationship; and the histogram over time should quantitatively display what experienced tape readers are being tracking in their minds. There is much to read and catch up on this subject. And it just so happens that there is already this thread - 'Trading with Market Profile'.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=9727&perpage=6&pagenumber=1

Thank you guys for pointing me to the right direction.

Harry
More...

Another good MP thread:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=63202
 
You are pretty close to something useful.

Just as a snowball accumulates momentum as is rolls down a hill, so the market responds to orders to buy or sell. Not just to absolute numbers but also to the speed at which the transactions occur.

So what you want to do is to characterize how quickly you get to a certain threshold volume in the first 1, 2 and 3 minutes. If you can detect momentum that way, you will be able to get on board for the moves that have some follow through.

Good luck
Steve
 
Quote from nickali:

I'm a bit confused aren't net long positions always equal to net short? (In the futures markets at least).

I just started the MD trial this week week interesting tool. I have already made several useful observations.

I'm very Interested how others are using it, funnily enough I think some of the premises are reverse to how things are in reality. (e.g. 'smart' money tends to buy passively not aggressively)

Cheers,
Nick
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NO they are not equal from the 09:30 market open to the 16:15 day session close..........the net long or short bias (delta) changes constantly through out the day. You can almost see a trend day creation right before your eye's when tracking the delta of each day.........the characteristics of trend days are measurable from the delta. The delta can also help to guide your decisions in how to play S/R levels or MP levels.....you will see if a move actually has any commitment.

And this statement shows you are picking up the nature of bigger players and how they acquire inventory at times......... "I'm very Interested how others are using it, funnily enough I think some of the premises are reverse to how things are in reality. (e.g. 'smart' money tends to buy passively not aggressively)"
 
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