Big Traders Volume tracking ? Size filtering ?

[RJay]

newninja,

I have been working on this big trader volume issue again.

I have been able to seperate the large traders from everyone else.

Knowing why their trades are taking place is still a problem.

when large traders trade, they can either slow down, reverse or accelerate the market.

Big traders are at battle with each other.

Today, I am working on indicators displaying supply liquidity to the markets.

Trading futures markets is like playing black jack. Big traders and small traders play. They do play against each other but mostly, they play against the dealer.

The "dealers" supplies the liquidity to the market. Dealers are visible in the level 2 display. (SuperDome).

Sound strange. I agree.

I just may be full of crap chasing the wind.

You decide,

RJay

[Yigal]

Hi everyone!

Here are attempts to create replicas for TS. Would greatly appreciate conversion to NT. Otherwise might give some fresh ideas to coders.

Regards

[newninja]

Thank you for the thoughts rt6176.
Can you upload the indicators which seperate large players ?
does this indicator workable in NT 6.5?
I am very curious because right now I use effective volume to
do the job, and I can not find a EV indicator for NT yet!

Also , it is so exciting to hear that you are developing demand and
supply indicator(if my understanding is correct).
Hope you can develop a new weapon like this:

http://www.theinsidetrader.com.au/?siteid=1&action=page&page=smartmoneytutorial.html

If we can see not only the big money movement but also supply/demand
changes, we will see the reason behind big players' movement, and they
can confirm each other. We have this weapon we will move in front of
the market. Big players always know sth we don't.

I believe you and somebody on the this forum can do that.

newninja,

I have been working on this big trader volume issue again.

I have been able to seperate the large traders from everyone else.

Knowing why their trades are taking place is still a problem.

when large traders trade, they can either slow down, reverse or accelerate the market.

Big traders are at battle with each other.

Today, I am working on indicators displaying supply liquidity to the markets.

Trading futures markets is like playing black jack. Big traders and small traders play. They do play against each other but mostly, they play against the dealer.

The "dealers" supplies the liquidity to the market. Dealers are visible in the level 2 display. (SuperDome).

Sound strange. I agree.

I just may be full of crap chasing the wind.

You decide,

RJay

[newninja]

Yigal,
Could you please explain what these 2 indicators are and how to use them?
Thank you!

[rt-trader]

Hi,

When attempting to track or filter large trades there is (I think) something important to consider.

Exchanges report trades as filled on the passive side (if this is not right please correct me here).

This means a large lot buy trade of say 100 could be made up of say 40, 30, 20 & 10 from the sell side, so if a filter for 100 would miss this.

However the 'event' can be observed the T&S window as these trades all have the same timestamp and so are more likely than not to be the same order.

This happens many many times a day and in order to overcome it (in the interests of accuracy) then some way of aggregating same time stamp trades is needed.

This then raises a separate problem, that of time granualarity and right now as I understand it, NT doesnt timestamp to the millisecond (and wont in the early stages at least of NT7 according to a recent post reply from Dierk).

Just something to bear in mind....

[warrior]

rt6176 and others thanks for your efforts. Please also take a look at great work done by gomifromparis where his framework that other developers can use to make buy/sell tick/volume data work historically i.e. on a persistent basis.

http://www.ninjatrader-support2.com/vb/showthread.php?t=16006&highlight=gomifromparis

He also has a indicator (not an oscillator though) to plot delta on buy/sell volume along with a optional filter that I guess can be used further to develop what you are trying to build: http://www.ninjatrader-support2.com/...omparis&page=2

[Yigal]

Yigal,
Could you please explain what these 2 indicators are and how to use them?
Thank you!

Hi,

Here is a link to where it’s been coded an explained http://www.traderslaboratory.com/forums/f56/volume-splitter-5824.html . Anyhow it’s a vol splitter macd smoothed (if I got it right), an attempt to replicate EOT Vol splitter.

Regards

[eDanny]

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

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

Here is a picture I forgot to post.

[toulouse-lautrec]

can anyone who uses such an volume filtering indicator comment on how it improves his trading?

[eDanny]

I use it as a filter to confirm trade entries or warn of bad entries. Come check it out.

[Yigal]

can anyone who uses such an volume filtering indicator comment on how it improves his trading?

Well, it really helps to identify turning points, vol/price div., continuations and simply helps not to stand in a way of a heavy volume.

BR

[FulcrumTrader]

Tracking Commercial Trade Activity

The best way by far to track the "Supply & Demand" picture within the futures markets is by use of Cumulative Delta studies. You can set a Cumulative Delta study to any size contract filter you select (if your imported study to NinjaTrader has that capability). I have found in all my years of trading using the Cumulative Delta information as my main trading tool, that tracking ALL contracts traded with no filters is by far the most optimal.

[xiaohunhun]

can you upload this file?

newninja,

I have been working on this big trader volume issue again.

I have been able to seperate the large traders from everyone else.

Knowing why their trades are taking place is still a problem.

when large traders trade, they can either slow down, reverse or accelerate the market.

Big traders are at battle with each other.

Today, I am working on indicators displaying supply liquidity to the markets.

Trading futures markets is like playing black jack. Big traders and small traders play. They do play against each other but mostly, they play against the dealer.

The "dealers" supplies the liquidity to the market. Dealers are visible in the level 2 display. (SuperDome).

Sound strange. I agree.

I just may be full of crap chasing the wind.

You decide,

RJay

[kapatsos1968]

Help with promising EFFECTIVE VOLUME indicator

http://www.ninjatrader-support2.com/vb/attachment.php?attachmentid=6258&d=1247079819

Hi there guys,

I tried this indicator on Renko Charts and it looks amazing.
The problem is that Live it creates trades that do not match the Green (EffectiveVolUp) and Red(EffectiveVolDown) that exist in the language.

Can somebody make 2 seperate signals that can be called from a strategy
like EffectiveVolUp and EffectiveVoldown, as the effectivevol by it self is hidden as transparent and allthough it is still profitable in Live trading circumstances, ( as i have tried in a basic strategy on 15 markets) intradeay i cant match the Green and Red plots that look Way way better.

Sincerelly,

Thanks for all the amazing guys and help in here

Kapatsos

[luxurious_04]

Hello jcash flat line also in my test. Well you please send me your updated version in this email [email protected]? Thanks.