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  • #3,481
  • Aug 25, 2011 11:06pm Aug 25, 2011 11:06pm
Quoting needpips
u said wang...hehe
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,482
  • Aug 25, 2011 11:07pm Aug 25, 2011 11:07pm
Quoting Larseg
By Wang Duan Caixin
Wonder if he's related to gator's cousin, Duane Cajun?
  • #3,483
  • Aug 25, 2011 11:09pm Aug 25, 2011 11:09pm
Hey OQ...

I see you drop yer L2 market stats now n again...

Do you have volumes that carried through at price levels as well?

I know, it wouldn't be the full on market, but a good representation though right?
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,484
  • Aug 25, 2011 11:17pm Aug 25, 2011 11:17pm
Quoting Magix
Hey OQ...

I see you drop yer L2 market stats now n again...

Do you have volumes that carried through at price levels as well?

I know, it wouldn't be the full on market, but a good representation though right?
They've started putting out reported vol at price, but I don't know the tag to get it via API yet. Don't store the painted ECN sizes beyond a buffer that keeps about 5 min or so before it overwrites - it'd be like 100 meg a day.

Were experimenting with using them a few months ago, and while it looked promising, didn't pursue it too far.

Do you mean, like, total size painted at, say, 4406 over the last x hours, each side? That would not be hard to do because it would be cumulated. Time stamping each paint is what takes the huge storage.
  • #3,485
  • Aug 25, 2011 11:23pm Aug 25, 2011 11:23pm
Quoting OldQuant
They've started putting out reported vol at price, but I don't know the tag to get it via API yet. Don't store the painted ECN sizes beyond a buffer that keeps about 5 min or so before it overwrites - it'd be like 100 meg a day.

Were experimenting with using them a few months ago, and while it looked promising, didn't pursue it too far.

Do you mean, like, total size painted at, say, 4406 over the last x hours, each side? That would not be hard to do because it would be cumulated. Time stamping each paint is what takes the huge storage....
Cumulated totals...adjustable TFs

Just wondering about the value of a VWAP vs EMAs and cross refing with supply and demand levels...

Kinda like what I got posted in this chart, but one that would actually track market, not be a representation of volume through broker.
Attached Image (click to enlarge)
Click to Enlarge Name: vwap.jpg Size: 263 KB
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,486
  • Aug 25, 2011 11:24pm Aug 25, 2011 11:24pm
Quoting Magix
Sheppards pie for dinner. I ate so much, I cannot get hydrated.

I am all fat n bloated, a little gassey and would just like to sleep off the rest of the week.

Got the docs appt tomorrow...FINALLY.

Only been waiting since MARCH!

At this point, I would love to just walk into his office, have him cut my guts open, replace it with anything and stitch it up with binder twine...Almost a full year of feeling like a bag of shit...hopefully there will be a little silver lining...or platnum, gold...really any of the previous metals...diamonds, cheeseburgers,...
I feels like shit all the time really. Dont think anything will cure it but early retirement. Everytime I go to the doctor, he basically tells me to stop doing just about everything I'm doing. Hope things go well bro...
Look Sharp/Trade Tight
  • #3,487
  • Aug 25, 2011 11:28pm Aug 25, 2011 11:28pm
Mag, those "vol" numbers, I think, have a huge amount of information in them. I posted some shots of them earlier during the move this AM. When the move started, the sizes just exploded, running in the 2B range as it fell. Then, when it was bouncing around the bottom, they dropped to virtually nothing, and then picked up again in the B range lifting out of the 70's.

Whether they lead, of course, is another thing, but that can be seen in the ECN paints and the "dance" between the bids and offers.

But like I said, I don't know how to get them out of the feed's events right now.
  • #3,488
  • Aug 25, 2011 11:30pm Aug 25, 2011 11:30pm
hey Magix, see your boy Mr.Breakout is back...
Look Sharp/Trade Tight
  • #3,489
  • Aug 25, 2011 11:30pm Aug 25, 2011 11:30pm
quit being a lil biach and get through 17
  • #3,490
  • Aug 25, 2011 11:35pm Aug 25, 2011 11:35pm
Quoting fxjawn
quit being a lil biach and get through 17
I'm watching 13/14, which is the projected 23.6 fib, the bastard seems to get respect during Asia, and will often cap a move...it less of a bastard one Europe comes in, however..

PS..9/10 is the upper lip of yest/mid mofu...
Look Sharp/Trade Tight
  • #3,491
  • Aug 25, 2011 11:35pm Aug 25, 2011 11:35pm
Quoting OldQuant
Mag, those "vol" numbers, I think, have a huge amount of information in them. I posted some shots of them earlier during the move this AM. When the move started, the sizes just exploded, running in the 2B range as it fell. Then, when it was bouncing around the bottom, they dropped to virtually nothing, and then picked up again in the B range lifting out of the 70's.

Whether they lead, of course, is another thing, but that can be seen in the ECN paints and the "dance" between the bids and offers.

But like I said, I don't know how to...
I agree completely.

As I study session trading, as one of my methods of finding support/resistance using traded range and roll over, and I know that sessions overlap...I would like to take the idea of incorping a VWAP from the individual sessions to follow forward, giving me an idea of what and where the money is flowing in and when it stops.

I like to have a fair view of market, and I like to do this from a lot of different angles...will it ever give me the holy grail or any true market edge? Probably not, but I am still curious...

Example...From Chino previous roll to current...VWAP at current price...Valueable data based on the session, a possible line of resistance? Curious....
Attached Image (click to enlarge)
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Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,492
  • Aug 25, 2011 11:37pm Aug 25, 2011 11:37pm
Quoting Magix
Cumulated totals...adjustable TFs
Oh, yeah. That's doable, if they were "bucketed" rather than timestamped. What I mean is, say, buckets 1000-1005, 1005-1010, etc every 5 min as "columns," and ticks 4401, 4402, 4403 ... as rows.

Right now, we're seeing 5.10M / 11.34M at 1.44150 at 0035 EST. So those sizes would be added to the 0035-0040 bucket column, at the 4415 row. Then, if you wanted the total sizes at 4415 for the 0000-0100 1H, those 12 buckets would be added on the fly.

Is that what you're thinking of?
  • #3,493
  • Aug 25, 2011 11:39pm Aug 25, 2011 11:39pm
Quoting PayTheLimit
hey Magix, see your boy Mr.Breakout is back...
lol...

I don't hunt the guy...I am not some freakish stalker...

It's just when I trip over his name and another rediculous posting that I feel the need to chime in...

The world needs them people...

I am just not sure, what for yet....
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,494
  • Aug 25, 2011 11:41pm Aug 25, 2011 11:41pm
Quoting OldQuant
Oh, yeah. That's doable, if they were "bucketed" rather than timestamped. What I mean is, say, buckets 1000-1005, 1005-1010, etc every 5 min as "columns," and ticks 4401, 4402, 4403 ... as rows.

Right now, we're seeing 5.10M / 11.34M at 1.44150 at 0035 EST. So those sizes would be added to the 0035-0040 bucket column, at the 4415 row. Then, if you wanted the total sizes at 4415 for the 0000-0100 1H, those 12 buckets would be added on the fly.

Is that what you're thinking of?
Yes, exactly...

From there, building an ACTUAL meaning full Volume Weighted Average Price and track data on that. I have been working a little with the VWAP in the Stock Market and haven't really found its value over what I currently look for, but on a market with more mass and a 24 hour day, individual sessions, it might prove to show a little more then what I already see...
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,495
  • Aug 25, 2011 11:45pm Aug 25, 2011 11:45pm
OQ...

The bars are of some interest...but the VWAP as applied to session...

Ya can't really see it much on the previous chart I got posted, but here is the current one based on Chino previous roll...

Price toed the line...and stops...

Some freakish coincidence? Actual resistance?

M5 and M1 views.
Attached Image(s) (click to enlarge)
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Click to Enlarge Name: vwapb.jpg Size: 231 KB
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,496
  • Aug 25, 2011 11:45pm Aug 25, 2011 11:45pm
One aspect of the banks' behavior you can see very plainly on ECNs is the pure market making at work. PTL could tell you in detail how the guys in the pits did and do the same thing: if 15M offers at, say 44155, disappears, and then the market downticks, often 15M +/- will instantly appear bid at 44150 a few seconds later.

Too often the sizes line up very closely or exactly. Market making. But that really doesn't mean true supply or demand...or does it?
  • #3,497
  • Aug 25, 2011 11:50pm Aug 25, 2011 11:50pm
Quoting OldQuant
One aspect of the banks' behavior you can see very plainly on ECNs is the pure market making at work. PTL could tell you in detail how the guys in the pits did and do the same thing: if 15M offers at, say 44155, disappears, and then the market downticks, often 15M +/- will instantly appear bid at 44150 a few seconds later.

Too often the sizes line up very closely or exactly. Market making. But that really doesn't mean true supply or demand...or does it?
you can see it plan as day on Globex, because there is very little paper that is right on the market..
Look Sharp/Trade Tight
  • #3,498
  • Aug 25, 2011 11:51pm Aug 25, 2011 11:51pm
Quoting OldQuant
One aspect of the banks' behavior you can see very plainly on ECNs is the pure market making at work. PTL could tell you in detail how the guys in the pits did and do the same thing: if 15M offers at, say 44155, disappears, and then the market downticks, often 15M +/- will instantly appear bid at 44150 a few seconds later.

Too often the sizes line up very closely or exactly. Market making. But that really doesn't mean true supply or demand...or does it?
As far as I am concerned...L2 study can be the mother of all head faking, and really is only of value to see stacks bid and ask in the stock markets...of course, that is only my opinion from a very limited standpoint...

When price is printed, that's when the information becomes value..
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
  • #3,499
  • Aug 25, 2011 11:57pm Aug 25, 2011 11:57pm
Quoting Magix
Price toed the line...and stops...

Some freakish coincidence? Actual resistance?
No, I don't thing a lot of it is coincidence at all. It goes to what emas are measuring. Think of it this way:

You can actually construct an ema using the same kind of bucketing we were just talking about, only instead of volume, add up "decaying" price. It's like if a price paint has a half-life. Then, every click of the clock, you decay all the previous instances of the shown price, and add the current shown price to the proper bucket.

So then, as you go, say, at 4415, you had 235 touches over the last 8 hours. But the decayed value of those is now only 187.4. Add these all up correctly, and you get an ema; the decay ("half life") parameter corresponds to the length of the ema.

What that means is an ema actually involves (a) how many times each level has been touched, and (b) how far back in time each touch occurred. If you disaggregate those, that's real life support and resistence.

I don't know if this makes sense, cause I'm just writing off top of my head, but I've actually done it.
  • #3,500
  • Aug 25, 2011 11:59pm Aug 25, 2011 11:59pm
PTL...

That breakout guy...just too easy...

http://www.forexfactory.com/showthre...83#post4903883
Money Can't Buy Happiness. Poverty Can't Buy SHIT! You Choose!
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