Scalping_My Way with ACV

is your indicator available to plug into NT charts yet?

BTW, MarketDelta looks nice...I would love to see that type of charting in NT to go along with the DOM

I have yet to find a charting package I would be happy with (looking at Ensign, Sierra, I/RT) though I/RT comes close and MarketDelta looks to be mostly geared towards the information I am interested in...that being the depth of the market data, points of control and volume profiles....I/RT has been working hard in that area too.
 
Hi Scalper

do you measure order arrival rate in your system?I heard greek letter called lambda to measure it do you have any idea of such a thing?Thanks
 
how do you send the data captured from NT at realtime to tradestation to draw the indicator.

I need to pass data to tradestation ( too draw indicator ) at realtime , which I capture from broker API.
 
Be careful using ACV.
I attended one of Bill's webinars and bought from his company a couple indicators. He was gracious enough to allow me to also join him in a training room for a couple days. He seems to be a very good guy and a knowledgable trader.

Using ACV, however, can be trickier than it seems at first. Bill's advice on the subject at it's core is a theory of:

When the ratio of ask volume size for accumulated quotes (level 0-4) vs bid volume size is greater than 2:1, go long. Prices should rise.

Vice versa to go short.

In actual practice, I have coded this in NeoTicker with level 2 order book data and charted it with some of the E-mini's.

The results are as follows: *often*, when the ACV hits 2:1 for the first time after being inconclusive (ratio < 2:1) or chopping around (or even weighted in the other direction), it will result in a quick, sharp move of 3-10 ticks. Since Bill himself admits that he uses this method to "scalp for afew ticks" (he actually says that he only goes for TWO ticks usually), I can honestly say that in testing and live usage, he is generally RIGHT. HOWEVER, if you are scalping for 2 ticks, you could likely catch them using one of a hundred other methods that are at least as dependable, possibly even moreso.

The DANGER with ACV is that in my testing and usage, once the ratio hits 3:1 or more (and it does, believe it or not) or after it has stayed >2:1 for an extended period (which probably was a nice trending move), the price is equally likely to experience a LARGE and FAST reversal. So you must be nimble and not get greedy, or you will get caught in a reversal and give up far more ticks than the scalping gained you.

The PROBLEM is that without charting the ACV (just going by the streamed Ninja data) there is no way for you to know how long the ratio has been at 2:1. Unless you are staring at it every second of the day :) Therefore if you look at it and see a 2:1 ratio, you can't tell if that ratio has held true for how long.....and believe me, the longer it stays there, the more likely of a reversal. In my own trading, I have found it more productive to look for 3:1 or greater ratio's, and look for an imminent reversal to 1:1 or greater in the OTHER direction. Just my .02.
W
 
Thanks for the 30,000 foot view, ishallreturn99;
there's real interesting info in this thread
but I was having trouble relating before your post.
 
Quote from ishallreturn99:

Be careful using ACV.
I attended one of Bill's webinars and bought from his company a couple indicators. He was gracious enough to allow me to also join him in a training room for a couple days. He seems to be a very good guy and a knowledgable trader.

Using ACV, however, can be trickier than it seems at first. Bill's advice on the subject at it's core is a theory of:

When the ratio of ask volume size for accumulated quotes (level 0-4) vs bid volume size is greater than 2:1, go long. Prices should rise.

Vice versa to go short.

In actual practice, I have coded this in NeoTicker with level 2 order book data and charted it with some of the E-mini's.

The results are as follows: *often*, when the ACV hits 2:1 for the first time after being inconclusive (ratio < 2:1) or chopping around (or even weighted in the other direction), it will result in a quick, sharp move of 3-10 ticks. Since Bill himself admits that he uses this method to "scalp for afew ticks" (he actually says that he only goes for TWO ticks usually), I can honestly say that in testing and live usage, he is generally RIGHT. HOWEVER, if you are scalping for 2 ticks, you could likely catch them using one of a hundred other methods that are at least as dependable, possibly even moreso.

The DANGER with ACV is that in my testing and usage, once the ratio hits 3:1 or more (and it does, believe it or not) or after it has stayed >2:1 for an extended period (which probably was a nice trending move), the price is equally likely to experience a LARGE and FAST reversal. So you must be nimble and not get greedy, or you will get caught in a reversal and give up far more ticks than the scalping gained you.

The PROBLEM is that without charting the ACV (just going by the streamed Ninja data) there is no way for you to know how long the ratio has been at 2:1. Unless you are staring at it every second of the day :) Therefore if you look at it and see a 2:1 ratio, you can't tell if that ratio has held true for how long.....and believe me, the longer it stays there, the more likely of a reversal. In my own trading, I have found it more productive to look for 3:1 or greater ratio's, and look for an imminent reversal to 1:1 or greater in the OTHER direction. Just my .02.
W
More...

Hi 99'...

good input...

I don't use either NTrader or <b>ButtonTrader but i do know that Button Trader has an alert that you can set on the ACV to go off by your input parameters...</b>

so if it hits 2>1 one alert goes off...
if it hits 3>1 another... etc...

i don't know if you can chart the ACV in ButtonTrader but i was impressed by their alerts...

cj...

:)

__________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
Interesting topic.

Does Tradestation provide access to the complete order book? I am a Esignal user and currently only the bid/ask price and size are available.
 
Yeah,
I had been told about buttontrader and it's alerts - very nifty indeed. In fact, someone (possibly Bill, can't recall) told me they had requested that feature from Ninja (only because button is only for IB users last I looked) and supposedly they are "working on it". In any event, I have alerts set up in NeoTicker that accomplish the same thing, and the advantage of using Neo to do it is that the data streams for all five level 2 levels on each side are not only plottable in a chart but saved for deeper analysis and usable for indicators.
W
 
Van Halen,
Yes, eSignal does have the entire limit order book data available (streamed only, you can't get historical from them), for levels 0-4. It DOES require subscription to their CME/eCBOT level 2 data service, which is pretty expensive. If you *do* get it (and I have it myself), the key is to use software that can capture and store the streams (stuff like Ninja just shows the streaming limit book, and the numbers change lightning-fast). I know NeoTicker can do it down to 1 second resolution, not sure what else can.
W
 
Quote from ishallreturn99:

Yeah,
I had been told about buttontrader and it's alerts - very nifty indeed. In fact, someone (possibly Bill, can't recall) told me they had requested that feature from Ninja (only because button is only for IB users last I looked) and supposedly they are "working on it". In any event, I have alerts set up in NeoTicker that accomplish the same thing, and the advantage of using Neo to do it is that the data streams for all five level 2 levels on each side are not only plottable in a chart but saved for deeper analysis and usable for indicators.
W
More...

I use NeoT real time to... send the code please ... thanks...

just kidding... :D

cj...

________________
HAVE STOP - WILL TRADE

If You Have The Vision We Have The Code
 
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