Scalping_My Way with ACV

[VSTscalper]

Quote from Cazza La Randa:

VSTScalper,

Since you are working with NINJA for your indicators, may I ask you why Ninja Dom does not have the RATIO?

What they think?

Thanks

Cazza La Randa,

Ninja already has the ACV....for Bid_Ask....so it should be easy for them to add the Ratio. I talked to Ninja about this....believe I sent them a Picture....of how I would like to see it on the Dome. The problem is....the more they add to the Dome....the bigger the Dome gets....Top to Bottom. I want them to add the Ratio....make it a True_False option....True_to add it....False_not to add it....to the Dome....that way traders have a choice.

Bill
(in beautiful Seattle)
VSTscalper

 

[VSTscalper]

Quote from Charly:

<<<
.....................................................

could someone give me the a.m. website and/or e-mail address??

Thank you for your help.

Charly

Charly,

Not sure what you mean by "a.m." website. If you are asking for my website....I won't put my website URL in this forum....not looking for business. If you want to contact me....please send me a Private Message.

Good trading to you.

Bill
(in beautiful Seattle)
VSTscalper

 

[5Pillars]

Quote from VSTscalper:

Cazza La Randa,

Ninja already has the ACV....for Bid_Ask....so it should be easy for them to add the Ratio. I talked to Ninja about this....believe I sent them a Picture....of how I would like to see it on the Dome. The problem is....the more they add to the Dome....the bigger the Dome gets....Top to Bottom. I want them to add the Ratio....make it a True_False option....True_to add it....False_not to add it....to the Dome....that way traders have a choice.

Bill
(in beautiful Seattle)
VSTscalper

VST,


I will be talking to the NinjaTrader folks also next week, and I will pass on my interest also for the addition of the "ratio" to their DOM. I will send you a PM about my contact and how we can work to get this feature added.

BTW, great discussion everyone.....I love to learn new angles to pick Goldman's pocket!

 

[dcraig]

Quote from BlowFish:


I watche the accumulated volume on the DAX yesterday and it seemed t flit about a bit, I couldnt really get a handle on it.

You might find the attached DAX chart interesting. Each bar is just 10 'ticks' from IB data feed. From top to bottom we have:

1. Ordinary candlestick price plot.

2. MarketDelta type plot where each price is coloured according to the traded volume at bid / traded volume at ask difference.

3. Histogram showing traded volume at bid - traded volume at ask for bar.

4. Candlestick plot showing the ratio of total number of contracts offered in the book to total number of contracts at bid plus total number of contracts at ask.

5. Smoothed representation of 4. (H+L+C )/3 of each bar smoothed.

The white line on the top plot is the VWAP - of no particular significance on this example, but IMHO frequently an important S/R level.

I think the chart speaks for itself, so I'm not going to elaborate on it.

I've studied the so called ACV over a number of futures markets, and have come to the conclusion that it is quite real in all the stock index futures I have looked at. For Globex forex futures it is far less obvious. Why this should be so is an interesting and important question.

 

[BlowFish]

DC very interesting thank you for sharing!

I have emailed you as I wanted to ask a couple of things that aren't apropriate to the thread. Hope you don't mind.

Cheers,
Nick.

 

[sandygray66]

Dcraig -

Very interesting chart indeed!

I've never seen anyone chart the ratio of the contracts offered at highest bid and lowest ask to the full 5 level DOM (which is what I understand #4 to be). Do peaks above a certain level (say 70%) signify exhaustion in the move?

These look like some useful ways of looking at supply and demand in the marketplace.

What charting program is this?

Thanks for providing a different perspective.

Sandy

 

[TGM]

Quote from Cazza La Randa:

Not bad for scalping the BID/ASK difference Levels

but needs chart.....IMO

What DOM are you using? I have never seen that before. It appears to have the same functionality as TT.

 

[TGM]

Quote from dcraig:

You might find the attached DAX chart interesting. Each bar is just 10 'ticks' from IB data feed. From top to bottom we have:

1. Ordinary candlestick price plot.

2. MarketDelta type plot where each price is coloured according to the traded volume at bid / traded volume at ask difference.

3. Histogram showing traded volume at bid - traded volume at ask for bar.

4. Candlestick plot showing the ratio of total number of contracts offered in the book to total number of contracts at bid plus total number of contracts at ask.

5. Smoothed representation of 4. (H+L+C )/3 of each bar smoothed.

The white line on the top plot is the VWAP - of no particular significance on this example, but IMHO frequently an important S/R level.

I think the chart speaks for itself, so I'm not going to elaborate on it.

I've studied the so called ACV over a number of futures markets, and have come to the conclusion that it is quite real in all the stock index futures I have looked at. For Globex forex futures it is far less obvious. Why this should be so is an interesting and important question.

This looks like the New CQG stuff. What software program are you using with IB's data?

 

[dcraig]

Quote from sandygray66:

Dcraig -

Very interesting chart indeed!

I've never seen anyone chart the ratio of the contracts offered at highest bid and lowest ask to the full 5 level DOM (which is what I understand #4 to be). Do peaks above a certain level (say 70%) signify exhaustion in the move?

These look like some useful ways of looking at supply and demand in the marketplace.

What charting program is this?

Thanks for providing a different perspective.

Sandy

Exhaustion at above 70% ? If only ! As with just about everything else on charts, I think it depends on context which of course is what makes trading difficult. I tend to look at the level, change in level and rate of change in level.

It's my own charting software - all written in Java.

 

[dcraig]

Quote from TGM:

This looks like the New CQG stuff. What software program are you using with IB's data?

As I said above, it's my own software. I just had a look at the CQG website today and instantly thought "Where have I seen this stuff before ?"

I should add that I use the free open source charting library JFreeChart from http://www.jfree.org , with enhancements to improve realtime performance, add extra plot renderers and so forth.