Time & sales

Quote from accutrader:

Hi Jimmy s. Btw, my first name is Jim and my last name starts with a S. Weird, huh?

I recently read an ebook on tape reading by Wycoff. Based on that, I am looking for something that will help me decide if there is pressure for the next bar to go up or down. Maybe a DOM analysis tool would help. If you or anyone else has any suggestions, please post them.
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maybe your my doppelgänger :)

well we are apparently trying to do something similar.
first I was trying to analyze the DoM but as several people, including cvds16, have noted, there is to much bluffing going on to make a judgment that is solely based on DoM reading.

so now i am trying to visually 'organize' the tape data in a certain way to see if sup/res levels hold or brake. this because i don't have the ability to interpret the raw data as is (i am just not good/fast enough).
As my experience goes in the FGBL market i can't decide on directionality from the DoM screen, i have had more success from the tape (trades, not depth changes).

which instrument are you on?
This ebook you speak of, is it free?
 
true, but does this mean that your tape only gets updated in snapshots or that your tape only gets snapshots of all the trades?
 
i have no idea..but i think that it it's not going to be complete data with all trades.
definitely not all bid\ask\size changes.
there is a group on yahoo called TWSAPI -try to search over there.
as far as i remember-there was some talk about it. maybe you will find some info about how to collect ticks too. i remember someone did write something for it.

sorry for poor english..not my native language.
 
Quote from Bob111:

i have no idea..but i think that it it's not going to be complete data with all trades.
definitely not all bid\ask\size changes.
there is a group on yahoo called TWSAPI -try to search over there.
as far as i remember-there was some talk about it. maybe you will find some info about how to collect ticks too. i remember someone did write something for it.

sorry for poor english..not my native language.
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Thanks for the reference, I'll check it out.
I thought that the IB data feed did show all the trades but that it did not do this in real time but in snapshots. so that every few tenths of a second you get updated with the trade data since the last snapshot update.
(Can someone correct me if I'm wrong)

And don't worry about the writing, I can't even write well in my native language :)
 
Hey Mr. Doppelganger:

The ebook was sent to me by a trading friend. I would be glad to send it to you. I have sent you an email using Elite Trader.

I used to day trade the emini S&P, symbol ES. When the VIX went into the 80’s, I moved to the electronic 30 year U.S. bond, symbol ZB. I like ZB a lot. This morning, for example, there was one good move at opening which made the whole day.

I know nothing about the Bund. Is FGBL a good instrument to trade? Are you in Europe?

Your comment that there is too much bluffing with the information on a DOM is probably correct. If you would like to share the way you organize the tape data, I would be interested in working with you on an approach.

Regards


Accutrader
 
Quote from accutrader:

Hey Mr. Doppelganger:

The ebook was sent to me by a trading friend. I would be glad to send it to you. I have sent you an email using Elite Trader.

I used to day trade the emini S&P, symbol ES. When the VIX went into the 80�s, I moved to the electronic 30 year U.S. bond, symbol ZB. I like ZB a lot. This morning, for example, there was one good move at opening which made the whole day.

I know nothing about the Bund. Is FGBL a good instrument to trade? Are you in Europe?

Your comment that there is too much bluffing with the information on a DOM is probably correct. If you would like to share the way you organize the tape data, I would be interested in working with you on an approach.

Regards


Accutrader
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I also have a look at the ES coupled with its underlying sometimes. mostly to know market direction for equities in the short term. And the same for ZB but then coupled to FGBX (30y D-bond) so i can have a feel for the American and European/German yield curve.

At the moment it's the market i feel most comfortable with together with the estx50 futures (eurostoxx 50 futures). very liquid, good and mostly not to fast price movements.
I live in Belgium so that's nextdoor to Germany, about an hour and a half drive from the DTB.

and for organizing tape data. at the moment they are all little drawings on old pieces of printing paper. i have many ideas, but don't have the skill's (knowledge of excel, vba and stuff) to implement them :(. So I'm reading up on it.
but I'm always interested in discussing them.
 
Quote from jimmy s:

true, but does this mean that your tape only gets updated in snapshots or that your tape only gets snapshots of all the trades?
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Your wasting your time with T&S data. Dead end street.
 
Quote from jficquette:

Your wasting your time with T&S data. Dead end street.
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could you elaborate?

Price and volume are (in my eyes) logically the basis of every market move.
with volume i mean of a trade, not in the DoM.
 
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