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Higher Edge within a Single Candlestick

  • #1,841
  • Nov 25, 2017 5:25am Nov 25, 2017 5:25am
Quoting VEEFX
{quote} You are right. I don't understand as I have not spent enough time on tick data as well as volume spread analysis.
You really don't understand if you think this somehow relates to VSA, volume or tick charts……. I didn't believe I said anything about using any of those things……...
What I said was: "Demand" can be read from the frequency of times a price has been used........

Unless you're conflating volume and demand. Volume is loosely related to demand. However, Volume is not a direct indication of demand. I will come back and explain the difference between volume and actual demand.

Quoting VEEFX
Please enlighten us but also allow me to quote some of what you said You have no edge when you're trading using "outside info" >> I tend to disagree with this based on my limited knowledge of "price over time". This is quite the bold statement ruling out all fundamental traders who rely on news and 'outside' information to successfully trade.
I was speaking within the context of the topic of thread , "Higher Edge within a Single Candlestick"

While yes, both "candlesticks" and "fundamentals" are outside info……………..
I'm not sure how the topic of the thread went from "candlesticks" to "fundamentals" The use of fundamentals or candlesticks usually differentiates Traders from Investors……I can address that, in another post

Quoting VEEFX
What you are inferring is "Edge only exists in Tick Data without volume data". This can't be true in a decentralized retail FX world but probably the reason why MT4 platform does not support continuous Tick charts making it harder/impossible to reveal such an edge.
No, that's what you're inferring…….I think your conflating volume with demand again

I did say "The market is reported as ticks, Price and the time in which it occurred" …...I said nothing about trading with or using tick charts

I also quoted that OHLC (live market quotes) data are not formulated into a statistically measurable and logically sound arrangement of data which provides information…..

You don't have an edge when the data you use for analysis & charting is not formulated into a statistically measurable and logically sound arrangement of data which provides information. If your data is not statistically measurable, provides no tradable info, and non representative of market generated data/info (candlesticks) you have no edge….

"Market Generated Data (MGD) is the market’s transactional data organized so that price and price-over-time are displayed. The market variables are thus price and time. Price and time are well understood; price-over-time measures value. MGD is the source of the data used for analysis. When one plots price against time, it is clear which prices are most traded, i.e. are most popular and valued.

Transactional data comes in the form of ‘ticks’. A tick is created at each price change. Trading at a given price will not generate a tick. A tick carries two pieces of information, price and time when it occurred. Throughout the trading day, there is a steady stream of ticks. The simplest way to present tick action is in a bar chart with equidistant times or in a point figure chart. Neither are ‘market generated data’ because MGD must display price and time".- Donald L. Jones CISCO-Futures
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If the only data you have available to you is OHLC what you need to do is "un coerce"/reformat the data back into a market generated format. Data that has both a "price" column and a column that marks "time".

My diagram was an example how to reformat OHLC into it a market generated price*time format for analysis……………..

All we need to know that during a 30m segment of time that price was used. It doesn’t matter if the same price was quoted 150 times during that 30m segment of time it still counts as 1 tpo/time price event. Frequency "Counts" of each time a price is used

By breaking the market into it's components/units: TPO's... "price*time events", "time price opportunities", "time that price occurred" , all the same. You now have a data set that is quantifiable & measureable is unbiased by observer TF (objective data).

Every time a price is "used"/quoted is an opportunity for trade. By breaking the data into tpo/events you have equal, quantifiable, "units of measure" for analysis……...

Frequency "Counts" of each time a price is used over time Gives you a single multidimensional distribution/display of prices .
"Demand" can be read from the frequency of times a price has been used........

By keeping a tally/count how many times a "price" is used at each 30m interval your data now has a "price" column and you have a count of the "times" a price was used in a "time" column. you have then restored your data to it's original market generated Price*time format. Now you have a display of MGD that displays both price and time in which you can now use for analysis….
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Markets are not efficient, rather they are effective - Jones
  • #1,842
  • Nov 25, 2017 10:36am Nov 25, 2017 10:36am
Quoting mzvega
{quote} You really don't understand if you think this somehow relates to VSA, volume or tick charts……. I didn't believe I said anything about using any of those things……... What I said was: "Demand" can be read from the frequency of times a price has been used........ Unless you're conflating volume and demand. Volume is loosely related to demand. However, Volume is not a direct indication of demand. I will come back and explain the difference between volume and actual demand. {quote} I was speaking within the context of the topic of thread , "Higher...
MsVega, every time you post, I think, there goes that trading Hottie again!

Okay, so this time I am serious. Are what you are saying is that demand is created by the amount of instances a price point is tested and then rejected to the upside? Not so much as when as much as how often?
If you are good at something, never do it for free--Joker
  • #1,843
  • Edited 12:41pm Nov 25, 2017 11:46am | Edited 12:41pm
Quoting mzvega
{quote} You really don't understand if you think this somehow relates to VSA, volume or tick charts……. I didn't believe I said anything about using any of those things……... What I said was: "Demand" can be read from the frequency of times a price has been used........ Unless you're conflating volume and demand. Volume is loosely related to demand. However, Volume is not a direct indication of demand. I will come back and explain the difference between volume and actual demand. {quote} I was speaking within the context of the topic of thread , "Higher...
Thanks Vega for you effort to provide further detailed explanation. I think i understand where you are going with this but i am still at a loss how you would trade this price level at the highest frequency count depicting demand? I am a complete noob when it comes to supply/demand, order book, volume and ticks. Only until recently I discovered that ticks are not just prices where orders occur. Tick represents price changes also which boggles my mind. Question still remains in my mind on how to decipher directional bias from this highest frequency count level and convert all this information into a tradeable strategy. I am just questioning the practicality of applying this information which remain unclear. I also know that there are usually a ton of fake price moves on the orderbook made by Lagos and hft firms to front run or trick order flow traders in non FX markets. In FX. It's even more wild wild west situation translucent to us retail traders. I am still struggling to understand these fundamental aspects.
Staying in my lane...
  • #1,844
  • Nov 25, 2017 12:54pm Nov 25, 2017 12:54pm
Quoting jmn5611
{quote} MsVega, every time you post, I think, there goes that trading Hottie again! Okay, so this time I am serious. Are what you are saying is that demand is created by the amount of instances a price point is tested and then rejected to the upside? Not so much as when as much as how often?
Here's my struggle. Its not just how many times and at what threshold does frequency turn into demand? It needs to quantified in order to make use of this extremely DYNAMIC information. And how would we quantify ? How would we collect statistical evidence that x visits will generate in a move of y pips. That historical validation will require huge infrastructure first before it can be transformed into a robust a d reliable strategy. Another big pill for me to swallow with this (and with ticks, volume, order flow, SD etc ) is all these are NOT BROKER INDEPENDANT. Our strategy Needs to be broker independant. Switching brokers or pairs or timeframes should be neutral to our account's relative performance (to an acceptable and measured extent) i learnt this lesson the hard way and try to stay away from uniqueness and specificity. It needs to work till the end of time or all your effort spent is a complete waste of time. I know my calculated and measured edge just by referring to candle closing prices. The measure might vary from time to time but it will always exists forever or as long as the supporting economies remain in existance ( or bitcoin takes over USD lol)
Staying in my lane...
  • #1,845
  • Nov 25, 2017 10:56pm Nov 25, 2017 10:56pm
Quoting VEEFX
{quote} Here's my struggle. Its not just how many times and at what threshold does frequency turn into demand? It needs to quantified in order to make use of this extremely DYNAMIC information. And how would we quantify ? How would we collect statistical evidence that x visits will generate in a move of y pips. That historical validation will require huge infrastructure first before it can be transformed into a robust a d reliable strategy. Another big pill for me to swallow with this (and with ticks, volume, order flow, SD etc ) is all these are...
I have no idea how that you would do that VEE. I looked at this back when I was with the similarity project. I could not make heads nor tails of it as far as price revisits go when trying to make a robust strategy. I finally concluded that this information could be used as decision points but that is about it. I think I have my trading project for this weekend.

Now I see why this thread caught the eye of MzV. Check this out. This would a good way to look at a higher edge in a single candlestick. And you are right MzV. TPO charting is not that hard to understand if you sit down and actually read the stuff!
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If you are good at something, never do it for free--Joker
  • #1,846
  • Nov 26, 2017 3:11am Nov 26, 2017 3:11am
Quoting jmn5611
{quote} I have no idea how that you would do that VEE. I looked at this back when I was with the similarity project. I could not make heads nor tails of it as far as price revisits go when trying to make a robust strategy. I finally concluded that this information could be used as decision points but that is about it. I think I have my trading project for this weekend. Now I see why this thread caught the eye of MzV. Check this out. This would a good way to look at a higher edge in a single candlestick. And you are right MzV. TPO charting is not...
Thanks Man. I had to google TPO charting to understand lol. It's pretty much similar to dozen other charting types that tell the same information from a different point of view imo. In this case, it will draw more during consolidation and less during sudden spikes/compelling momentum. Nothing great that the naked eye cannot see. Just my opinion and I am very much opinionated against using charts lol I cannot think of any edge for entries. Maybe suitable for when to exit.

All these charting tools allow you to see the "inside of the inside" with convenience via inception. That's all there is to it. The real meat is how to process the information, research if an edge exits and then convert that edge into a strategy. A minimum 10+ yr journey... add another 10 yrs if we keep on getting intrigued with learning and researching fancy new tools we come across. This entire industry is geared towards making the trader go in circles by "trying new things".
Staying in my lane...
  • #1,847
  • Nov 26, 2017 3:55am Nov 26, 2017 3:55am
Quoting jmn5611
{quote} MsVega, every time you post, I think, there goes that trading Hottie again! Okay, so this time I am serious. Are what you are saying is that demand is created by the amount of instances a price point is tested and then rejected to the upside? Not so much as when as much as how often?
No, what I am saying is demand can be measured by the amount of times a price used. Each time a price is used it's counted as a tpo "event". A unit of measure.

Each x or letter signifies that that price was traded at least once in the specified half-hour. An x or letter is called a TPO (Time Price Opportunity, or That Price Occurred). No matter how many times a particular price trades in a specified half-hour period, only one TPO is recorded. A TPO has nothing at all to do with volume.

Many people think that the "volume of ticks" somehow relates to "volume of trades" or "volume of contracts". They often take the word "Volume" and use it interchangeably with the word "Demand" to mean the same thing.

The volume of trades is not a direct indication of actual "Demand".
The kind of "Demand" that moves the market, is created from traders willing to hold their positions overnight. (i.e…….open interest)

Lets say you have 100 traders all enter the market creating a High volume of activity intraday.
98 of those traders are buyers, and only 2 are sellers, combined you have a high volume of activity.
Does that mean if you have a higher volume of buyers intraday that prices will go higher? No.
If 98 of those traders (buyers) exit the market before/at the close, there is no actual buying demand created that will cause the market to move higher. If the 2 sellers are holding their positions beyond the close, the only actual demand created was "Selling demand". The demand is determined by the 2 sellers still holding positions, who still actually have skin in the game.

"Volume" is not a direct indication of actual "Demand".
High volume = Liquidity (not actual Demand)
The word "Volume" is not interchangeable with the word "Demand"
Intraday traders (day traders) provide liquidity, but have little to do with actual "Demand".

While the short timeframe participants transact up to 90% of the volume, their presence does not change the market.
What percent of the volume of transactions are a result of intraday "speculation"? What percent of the volume of transactions result from a genuine need/demand for a product/currency?

Volume = activity
My concern is "Demand".

How much of that activity contains "actual demand" created by traders willing to hold their positions overnight? Volume doesn't solve the "Demand" equation.

As a trader I am interested in measuring Demand. Who, how & where prices are being used is of interest to me. Traders with the intention of holding positions overnight, with the most skin in the game, operate in places most advantageous to them. Not the same high volume areas most valued by intraday traders with no actual skin in the game, who ultimately end the day flat, creating zero demand.

And as volume is not a direct indication of "actual demand", it has little or no value to me personally as a spot forex trader. supply & demand moves the market, not volume (activity)
Markets are not efficient, rather they are effective - Jones
  • #1,848
  • Nov 26, 2017 4:21am Nov 26, 2017 4:21am
Quoting VEEFX
{quote} Thanks Man. I had to google TPO charting to understand lol. It's pretty much similar to dozen other charting types that tell the same information from a different point of view imo. In this case, it will draw more during consolidation and less during sudden spikes/compelling momentum. Nothing great that the naked eye cannot see. Just my opinion and I am very much opinionated against using charts lol I cannot think of any edge for entries. Maybe suitable for when to exit. All these charting tools allow you to see the "inside of the inside"...
My personal view is that we have all of these tools. Thousands of them. What we spend a big part of our careers learning is which tools do what, and why? For example, in my case, these TPO charts allowed me to see price action in a different way. Those letters over there do not just appear randomly. There is a pattern to them. Okay, but I was able to do that because I had a blueprint which filters every tool I select. I think a lot of traders have a lot of tools, but no blueprint. So, they keep swapping out tools. Going back to look over MzVega's threads I realize I had looked at this earlier in 2014. At that time I was still working on my blueprint and so Market Auction Theory made no sense to me whatsoever. Bunch of letters, in a heap. Today those letters look different. I can see the price action they are trying to represent. So what's the strategy? Well, like you said, it's the meat. TPO let's you see where the beef was the day before. And oddly enough, it was not in the body of the candle like many chartists think. It was in the wicks. There are a bunch of ways a trader can use that information. Stop placement and position sizing are two that come immediately to mind.
If you are good at something, never do it for free--Joker
  • #1,849
  • Edited 4:49am Nov 26, 2017 4:25am | Edited 4:49am
Quoting VEEFX
{quote} Thanks Vega for you effort to provide further detailed explanation. I think i understand where you are going with this but i am still at a loss how you would trade this price level at the highest frequency count depicting demand? I am a complete noob when it comes to supply/demand, order book, volume and ticks. Only until recently I discovered that ticks are not just prices where orders occur. Tick represents price changes also which boggles my mind. Question still remains in my mind on how to decipher directional bias from this highest...
One example of how to use market generated info is "TPO count" . This is done by isolating the point of control (the longest line closest to the center of the range), summing all the TPOs above it and comparing that number to the total number of TPOs below it. Single print tails are excluded from the count, because their implications are clear and have already been considered when examining activity on the extremes. Remember, the point of control is significant, because it indicates the price where the most activity occurred during the period selected and is, therefore, the fairest price (price x time = value).

The total TPO figure above the point of control represents other (LTF) timeframe traders willing to sell and stay short above value, while total TPOs below the point of control represent other (LTF) timeframe traders willing to buy and stay long below value. The resulting ratio is an estimate for buyer/seller imbalance.

For example, a ratio of 30/47 breaks down to 30 selling TPOs above the point of control, and 47 buying TPOs below. Note that a value area is not specifically calculated. Rather, the methodology of the TPO count, implies value and an estimate of demand.

This utility works best in bracketing markets. When the market's condition is bracketing if you know there is an imbalance of tpo's in favor of buyers. If your short you may consider exiting a position. You may want to consider trading with the imbalance. You might position yourself for a break into trend on the side of the imbalance. You can monitor it for change……if the market condition hasn't changed, tpo count below is increasing you have an increase of buying activity……………………..
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Markets are not efficient, rather they are effective - Jones
  • #1,850
  • Nov 26, 2017 4:41am Nov 26, 2017 4:41am
Quoting mzvega
{quote} The total TPO figure above the point of control represents other (LTF) timeframe traders willing to sell and stay short above value, while total TPOs below the point of control represent other (LTF) timeframe traders willing to buy and stay long below value. The resulting ratio is an estimate for buyer/seller imbalance.
If TPO's Upper > TPO's lower, why is it represent that traders willing to sell, not the other way - to buy?
TPO's upper shows that there are more traders above TPO's center.
I think we need consider where is a Bid now. If it is above or below center.
  • #1,851
  • Nov 26, 2017 4:47am Nov 26, 2017 4:47am
Quoting IenDzi
{quote} If TPO's Upper > TPO's lower, why is it represent that traders willing to sell, not the other way - to buy?
because "sellers" respond to higher prices, and "buyers" respond to lower prices
Markets are not efficient, rather they are effective - Jones
  • #1,852
  • Nov 26, 2017 5:00am Nov 26, 2017 5:00am
Quoting VEEFX
{quote} Thanks Vega for you effort to provide further detailed explanation. I think i understand where you are going with this but i am still at a loss how you would trade this price level at the highest frequency count depicting demand? I am a complete noob when it comes to supply/demand, order book, volume and ticks. Only until recently I discovered that ticks are not just prices where orders occur. Tick represents price changes also which boggles my mind. Question still remains in my mind on how to decipher directional bias from this highest...
By breaking the market into it's smallest components/units: TPO's... "price*time events", "time price opportunities", "time that price occurred" , all the same. You now have a data set that is quantifiable & measureable is unbiased by observer TF (objective data).

Total tpo's /divided by prices steps in auction market analysis = "trade facilitation factor" (TFF). It's a measure how well the tpo's are distributed at each price (frequency distribution) The greater num of tpo's at each price, that means that price has been used more frequently over time. If price is frequently being used over time, revisiting the same prices over time, it means price is auctioning up & down "2 way trade" what you might consider "choppiness" the greater the # of tpo's at each price, the greater the rotation of price/auctioning, 2 way trade. (choppiness)

When there are 3 or fewer tpo's per price it tells you price didn't spend much time trading at those prices, if price spends little time trading at each price in the distribution it's a "moving" market/no longer auctioning up & down.

By breaking the market into it's smallest units: TPO's You now have a data set that is quantifiable & measureable……

You now have a measure of how well the market is facilitating trade. Is it auctioning up & down (choppy)? Or is it moving?. You can now monitor your data for changes. You can measure if it's increasing, or decreasing, by how much & to what degree

1.0 = 1 perfect trend. Greater than 3.0 it starts to slowly increase rotations. (Chop)

So the total "time price events", divided by price steps (ticks/price steps) = trade facilitation factor

Tpo's above and tpo's below the poc tells you if there is an imbalance of selling "time price opportunities" (tpo's) over buying "time price opportunities", it can give you a directional bias in what would be considered balanced conditions, etc...That just scratches the surface of auction market analysis……..
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Markets are not efficient, rather they are effective - Jones
  • #1,853
  • Nov 26, 2017 5:00am Nov 26, 2017 5:00am
Quoting mzvega
{quote} No, what I am saying is demand can be measured by the amount of times a price used. Each time a price is used it's counted as a tpo "event". A unit of measure. Each x or letter signifies that that price was traded at least once in the specified half-hour. An x or letter is called a TPO (Time Price Opportunity, or That Price Occurred). No matter how many times a particular price trades in a specified half-hour period, only one TPO is recorded. A TPO has nothing at all to do with volume. Many people think that the "volume of ticks" somehow...
I learned this the hard way. It explains way you can have tall candles on little volume and vice versa.
If you are good at something, never do it for free--Joker
  • #1,854
  • Nov 26, 2017 8:17am Nov 26, 2017 8:17am
Quoting mzvega
{quote} By breaking the market into it's smallest components/units: TPO's... "price*time events", "time price opportunities", "time that price occurred" , all the same. You now have a data set that is quantifiable & measureable is unbiased by observer TF (objective data). Total tpo's /divided by prices steps in auction market analysis = "trade facilitation factor" (TFF). It's a measure how well the tpo's are distributed at each price (frequency distribution) The greater num of tpo's at each price, that means that price has been used more frequently...
Vega, where is the rest of the Iceberg?
If you are good at something, never do it for free--Joker
  • #1,855
  • Nov 26, 2017 12:13pm Nov 26, 2017 12:13pm
Quoting mzvega
{quote} No, what I am saying is demand can be measured by the amount of times a price used. Each time a price is used it's counted as a tpo "event". A unit of measure. Each x or letter signifies that that price was traded at least once in the specified half-hour. An x or letter is called a TPO (Time Price Opportunity, or That Price Occurred). No matter how many times a particular price trades in a specified half-hour period, only one TPO is recorded. A TPO has nothing at all to do with volume. Many people think that the "volume of ticks" somehow...
Now we are in 100% alignment. I am intrigued to research further after reading this post
Staying in my lane...
  • #1,856
  • Nov 26, 2017 12:29pm Nov 26, 2017 12:29pm
Quoting mzvega
{quote} By breaking the market into it's smallest components/units: TPO's... "price*time events", "time price opportunities", "time that price occurred" , all the same. You now have a data set that is quantifiable & measureable is unbiased by observer TF (objective data). Total tpo's /divided by prices steps in auction market analysis = "trade facilitation factor" (TFF). It's a measure how well the tpo's are distributed at each price (frequency distribution) The greater num of tpo's at each price, that means that price has been used more frequently...
Thanks MZ. I envy your gift to articulate and break this down for us.

You said the golden phrase...."By breaking the market into it's smallest units: TPO's You now have a data set that is quantifiable & measureable" >>> My entire Strategy and overall automation is based around this core principle. I am able to break down the entire currency market of 28 pairs cross all timeframes into a directional trade (35 million candle analysis in a given month) just by analyzing closing prices and ignoring OHL. I now have the framework to do this type of analysis quickly and conveniently for any combination of indicators or strategies in a plugnplay format. I can confirm and agree with what you are saying based on my experience and now I would want to proceed with validation (as I am intrigued and I see confluence with my current strategy to help pinning down my entries further and more importantly, my exits which are far superior and complex than most I have read on forums)

With that said, could you please point me to a MT4 indicator (prefer source code so I can understand the inner workings) that will measure this TFF number on your diagram? I saw several on FF. Also/ do you trade via MT4? if not, which platform do you use for spot fx?

Also/ Do you use Market Profile/AMT/TPO analysis via Multi-TF or top down?
Staying in my lane...
  • #1,857
  • Nov 28, 2017 12:20am Nov 28, 2017 12:20am
Quoting jmn5611
{quote} Vega, where is the rest of the Iceberg?
https://www.forexfactory.com/showthread.php?t=482744
Markets are not efficient, rather they are effective - Jones
  • #1,858
  • Nov 28, 2017 12:33pm Nov 28, 2017 12:33pm
Quoting VEEFX
Aren't you worried about flash crashes or ISP outages that could wipe out your account literally in minutes?
There you go VEEFX... today's mini flash crash...
As I said I am well prepared and trained for flash crashes.
I can smell them from a mile away.

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  • #1,859
  • Nov 28, 2017 12:41pm Nov 28, 2017 12:41pm
Quoting CrucialPoint
{quote} There you go VEEFX... today's mini flash crash... As I said I am well prepared and trained for flash crashes. I can smell them from a mile away. {image}

I made excellently off of it as well. Flipped it a few times for roughly 250 pips.(not counting the ~100 on it earlier today).
"The fun is in the hunt. Not the kill."
  • #1,860
  • Nov 28, 2017 1:00pm Nov 28, 2017 1:00pm
Quoting CrucialPoint
{quote} There you go VEEFX... today's mini flash crash... As I said I am well prepared and trained for flash crashes. I can smell them from a mile away. {image}
did you catch that 90 pip jump 30 min before that crash?
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