Big Traders Volume tracking ? Size filtering ?

[RJay]

Same Chart, Flat.

What version NT are you using?

[eDanny]

Had it on a 1 min ES chart during regular hrs and was a flatline.

[jcash]

Same Chart, Flat.

What version NT are you using?

Version 6.5.1000.9

you have the parameter set to 1. with 1 the indicator would only filter trades of less than 1, giving you a flat line.

[eDanny]

Same version.

[jcash]

maybe it was my foggy logic when i wrote the code, but the parameter you put in it would be as such: a value of 11 would mean you wanted the indicator to plot the net volume traded at the bid (a negative value) and the offer (a positive value) of all executions of 10 and less.

[ctrlbrk]

one question i have re the video is the narrator explains that the "dumb money" indicator only updates in real-time, but the "smart money" indicator was plotting previous to the start of the "dumb money" indicator. so if the indicators are the same just filtering out trade size why is the "smart money" indicator plotting with historical data? never explained.

jcash,

I made the assumption that he had started the other indicator manually as well earlier in the session and it was collecting data, not that the other indicator also didn't require real-time bid/ask/level 2 in order to function.

Thanks for your indicator, will check it out!!

Mike

[RJay]

Hey All,

I got the indicator to work. Once the indicator is loaded to the chart, you have to reload ninjascript on that chart to get it to work.

RJay

[ctrlbrk]

Now we just need it to collect the bid/ask data in a file like the gromcd stuff, and I think the indicator is supposed to filter trades ABOVE a certain size not below, so only show trades larger than XX size.

Then the weight of the line can be adjusted from 1px, 2px, etc based on how many multiples of the filter are being executed.

Then put it in oscillator format 0 to 100, and viola!

(all beyond my skills, sorry!)

Mike

[Ninja B]

maybe it was my foggy logic when i wrote the code, but the parameter you put in it would be as such: a value of 11 would mean you wanted the indicator to plot the net volume traded at the bid (a negative value) and the offer (a positive value) of all executions of 10 and less.

Please, is there any chance you can code it the other way also? or anybody

where it filters trades/executions only 10 and above. or whatever adjustable number

that would be great to combine the two.

Thank you jcash

[jcash]

volume traded at bid ask greater than X

here is a greater than version. this only works in real-time. and the indicator will filter all executions greater than your parameter input and plot the net of vol at the bid and ask.

[jcash]

another problem with watching this indicator, besides all mentioned by rt6176, is lets assume everyone trading in lots of 100 or more on ES are single prop traders at banks, hedge funds, whatever, not working any order flow for clients. if you are using a filter for greater than 100 contracts, what if the large trader enters his posn with a 100 lot, but exits with 20 lots or 50 lots or 1 lots. your filter is missing his exit.

[eDanny]

Actually what I want to see is the long or short entries above a certain lot size. How the trades are exited is no concern at all and shouldn't be in the equation at all. I think this was the goal of this thread but I could be wrong.

[kapatsos1968]

Just Ideas

Hi there guys,

I think the indicator there is somethnig like an oscillator of a kind that takes in account 2 3 or 4 streams of trade sizes, so lets say 100 lot and 10 lots etc.. so its like an oscillator type indicator that takes sometime to catch up but that Does catch up and hovers in values between + and - from a "0" line. These are the entries or exits. At least for the splitter
IMHO. from what i see at least. So it looks like a good idea to try this with the Klinger oscillator to start with if anyone is up to the task guys, i mean the klinger for me is one if not the best volume indicator, so if we could weigh its values with not just length but also or only with a volume filter for inputs as well it would be i think close to the concept.
Again brilliant group its setting up to be, hope i could program.

[jcash]

i like everyones ideas for further development of these vol filters.

determining if a specific execution is an entry for the buyer or seller cannot be determined with a vol filter alone. is there a real-time data feed for OI???

one piece of info that can be gleaned from the filters is the immediate urgency of the buyers and sellers. if a trade over X contracts is done at the bid, then the seller would be considered active (with a market-type order) and the buyer passive (with a limit order). and just opposite with a trade at the offer.

[Ninja B]

Thank you jcash. Much appreciated