Real time volume histogram

Quote from nickali:

Yes it was intense Friday. I was trading the DAX at the time which can be a charging rhino without much provocation. Played short through the volatility though long could have made money too. That was a bit before the US open if I remember. guess I should check out when reports are due, shows up on screen soon enough :-)

A couple more questions if I may. Your bracket trade. Do you usually take that from just after the open or later in the day also? (for example if the 5 minute has been consolidating for a while later in the day). Is this a longer term trade than the scalps? Just curious.

***********************************************************************

A) - I slightly adjust the bracket trade if the "delta" is fairly significant at the open - like yesterday.

***********************************************************************

I presume the scalps are generally in the direction of the daily trend. Do you wait for pullbacks? Do you use delta to actually tune precise entry levels?

***********************************************************************

A) - Yes, yes, and yes.....to take a scalp against a threshold daily "delta" level that I monitor, I need to see a very specific set-up that I have developed.

***********************************************************************

Finally I presume as the day (or perhaps I should say trend) progresses the absolute value of the delta becomes less important and relative amount becomes more important (as it moves from + to - for example).

***********************************************************************

A) - Very true.......there are threshold levels where I have additional trade set-ups to take if I want to......not scalps either, something more similar to my bracket trades (a variation of).

***********************************************************************

Appreciate all your insights and enthusiasm for MD.

Cheers,
Nick.
More...


The MD information during the day can add precision to trade entries and be used for the basis of a solid trade methodology.
 
Hi Piggie,

I am struggling to use to data I receive from IB (activex connection within matlab). I need help in order to use the real time data to plot it or store it in a vector. Do you know an easy way to handle it?
Many thanks in advance


Quote from piggie:

I am in the process of learning how to day-trade the ES. I am using Matlab with IB's datafeed to look at the data in different ways in real time.

The very first tool I designed is the real time histogram plots of the traded volume, updates every 5 seconds, at different time frames, < 1, 1, 3, 5 and 15 minutes, and the entire day.

Red is the trade on the ask, and blue on the bid. The yellow number on each panel is the ratio of the red to blue. This is the plot for 7-19-2006 at around 4pm.

The plots might look cool, but I have not been able to extract useful short-term trading information from them. I humbly welcome any ideas and comments. Thank you.

harry
More...
 
teuffy,

I started my programming project from this thread in IB's TWS API forum.

http://www.interactivebrokers.com/discus/messages/2/33586.html

The two files to get are connect_ib.m and TWSevents.m. This is for the ActiveX approach. You have to download from IB and install the API's. The concept is to first initiate the ActiveX component connection between Matlab and IB TWS, and then process the incoming events in Matlab. The callback function processes the events from TWS.


Quote from teuffy:

Hi Piggie,

I am struggling to use to data I receive from IB (activex connection within matlab). I need help in order to use the real time data to plot it or store it in a vector. Do you know an easy way to handle it?
Many thanks in advance
More...
 
Nick,

My programming project has been going well. I got true tick by tick data and am happy with the accuracy of my MD plots. 5Pillars is correct, IB's snap shot can be misleading at times, but this does not mean that you can't build a profitable strategy using IB's feed.

I am moving into strategy development phase of my project, and just by chance through EliteTrade.com, I have the opportunity to join a trading firm to do the same thing. I will see how it goes, and hope to learn good and solid strategies from the traders in the firm.

best,

-p

Quote from nickali:

Hi Piggie,

Hows your project going?

I have been messing round with making my own MD tools using Multicharts (Tradestation clone). Unfortunately it does not have an easy way of outputting an bbb X aaa type display but I figure I might have a crack at getting that into Excel.

Still running the MD trial and will give RT a try after that. I have to say i much prefer to buy an outright licsence than the month by month drip.

5pillars do you pay any attention to delta from the overnight session? I guess it gets 'wiped out' pretty quickly. What bar size do you use for your 'main' daily trend? 30 minute looks like it might be kinda useful.

Cheers,
Nick
More...
 
Piggie,
Thank you.
As you can see I started with the same files. I have problem to hande the data I can see coming into matlab as I do not know how to save it or use it in real time. Can you show an easy example (chart or storing close in a vector or matrix wth the time).
Cheers

Quote from piggie:

teuffy,

I started my programming project from this thread in IB's TWS API forum.

http://www.interactivebrokers.com/discus/messages/2/33586.html

The two files to get are connect_ib.m and TWSevents.m. This is for the ActiveX approach. You have to download from IB and install the API's. The concept is to first initiate the ActiveX component connection between Matlab and IB TWS, and then process the incoming events in Matlab. The callback function processes the events from TWS.
More...
 
The lines below are from the TWSevents file, containing the ActiveX callback function TWSevents.

The incoming events are first assigned to variable sd, based the id and message type, and then stored in global variable ticker, which is a structure array, and can be access in other functions using the global variable declaration. The id corresponds to the stock symbols (ie ibm or aapl) you assigned to it. Type would be tickprice or ticksize, etc.

It is in the other functions that you access the elements in each field of the structure, ticker, for further analysis. The Matlab help files have great examples on global variables and structures. Hopefully from this point on the code will become more transparent and self-explanatory.

Be bold and creative on testing the codes. Knowing how to read the error message is important. I am not a computer science major, but happen to enjoy programming and have never been afraid to run the code and tackle the bugs one by one until everything makes sense to me.

The Matlab news group is also a very useful site.

http://groups.google.com/group/comp.soft-sys.matlab

best of luck.


-h


%%%%%%%%%%%%%%%%%%%%%%%%%
function TWSevents(varargin)

global ticker account data p doprint

data.doprint=1

% parse stream
sd = varargin{length(varargin)-1}; % ?!
% Use Type because EventID may change over time !!!
switch sd.Type
case 'tickPrice'
% tickers are identified by id
switch sd.tickType
case 1
ticker(sd.id).bidprice=sd.price;
myfprintf('BidPrice: %f\n',sd.price);
case 2



Quote from teuffy:

Piggie,
Thank you.
As you can see I started with the same files. I have problem to hande the data I can see coming into matlab as I do not know how to save it or use it in real time. Can you show an easy example (chart or storing close in a vector or matrix wth the time).
Cheers
More...
 
Piggie,
I try do disturb you one more time.
Many thanks again for the details. I got to this point already (I apologize I was not clear enough).

For Instance here is what I have within matlab

>>ticker(1).bidprice

ans

101.20

then I have the updates coming ...
I don't how to collect the information into a variable that I can query or do calculation on (for instance Is it possible to have all the bidprice that are coming + the time stamp stacked into a variable or vector?).
If you can show me that I will really, really appreciate.
Many thanks in advance
Cheers
 
You must log in or register to reply here.
Back
Top