Big Traders Volume tracking ? Size filtering ?

[Ryan.nz1]

thanks jcash, ive just loaded up the Gtr & Less Then indicators into the same pannel with >11 & <10 in Snp premarket trade, its already showing the <10lot traders are on the wrong side of the trade, many thanks for the new toys

[RJay]

Just an observation, these two indicators are not zero sum indicators.

They are also not time limited.

They will walk away from zero over time and need to be reset periodically.

RJay

[Ninja B]

Just an observation, these two indicators are not zero sum indicators.

They are also not time limited.

They will walk away from zero over time and need to be reset periodically.

RJay

What do you think would be the best way to resolve this? make it based on all periods/time freames

I mean the all the trades over ten whatever time period you're using. say 5 minutes. The indi will count over ten and plot it. the next bar it will start fresh. I'm sure this is not a new idea but would be nice to have in an indicator.

[RJay]

Ninja B,

I was considering going through the other volume indicators here and see which ones would be adaptable to the more than/ less than characteristics.

Then pick one or two to test with that don't have this problem...

Its going to take a little while becouse of the nonhistoric requirements.

RJay

[RJay]

Here's a thought, instead of greater or lesser than a size, how about trade size ranges. 1-5, 6-20, 21-80, 81 and up.

[spyro]

maby someone can take this bid/ask pressure indicator and mixed it with the BAVolCounterGtr so we got everything in one indicator

[warrior]

thanks spyro and rt. Another suggestion if one can have both the input parameters and plots for them (BAVolCounterGtr and BAVolConterLess) on the same indicator panel (should be possible since it is a osscilator now) then one can look at some interesting divergences along with audio alerts when that happens e.g. when the small trader line (BAVolCounterLess) line crosses large trader line (BAVolCounterGtr) - creating a one heck of a indicator. And with audio alert for this cross one can focus on the price action and not have to monitor this cross.

[e-man]

someone mentioned early in the thread about a Klinger Volume Oscillator ... i didn't see one for Ninja, so i found an article with the tradestation "formula" (cf. http://trader.online.pl/ELZ/t-i-Klin...scillator.html)

if anyone is familiar with the indicator, can you give this a look and let me know if i got it right, pls.

looking forward to cracking open the rest of the code in this thread and having a peek at this concept and recent suggestions.

cheers,
-e

EDIT: posted the KVO in its own thread:

http://www.ninjatrader-support2.com/vb/showthread.php?t=16615

[cwineria]

Do any of you know how to thicken the line on the filter when the frequency of large traders at filtered price is fast? I am having trouble coding on my own.

See here: http://www.youtube.com/watch?v=MM-GMkOqGhw at 1:12 through the video.


Thanks in advance.

[eDanny]

First you have to decide how you are going to filter the traders. It could be if there are more big traders this bar than last, it could be by using a StdDev. Plotting is secondary to filtering.

[fish21]

Can we make this Cumulative

the volume becomes static after some time rather than adjusting, so we can see the volume moving above and below zero??

[cwineria]

First you have to decide how you are going to filter the traders. It could be if there are more big traders this bar than last, it could be by using a StdDev. Plotting is secondary to filtering.

I would like to filter to 2 times the traders over 50 contracts participating on this bar than the last. But am a noob programmer so do not really know what to do.

[eDanny]

the volume becomes static after some time rather than adjusting, so we can see the volume moving above and below zero??

It doesn't become static but it is cumulative and therefore moves away from zero and movement becomes hard to see. You need to make the output into an oscillator (hint MACD).

[eDanny]

You can see an indicator like this in this trading room:

http://www.5280tradinggroup.com/Hunt/Huntchuks.html

Come check it out.

[newninja]

This is a great question. Yes, Jcash you are right.
big players like to hide their trades. when big money move in ,they like to
split the big order into lots of smaller orders, but normally at least 100,
and they do the same thing when exit.
But the time to excute the order is a factor I believe, if they exit with 1 lots, it gonna take too long to fill, which is not practical, normally big orders have to finish their position within 2 weeks or less.
maybe we need to add some "time frequency" factor with lots number
100 or more within a certain timeframe.

I believe when a indicator detects lots order 100 or more with high frequency no matter buy or sell, maybe we can catch what big players are doing.

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.