Trade Intensity

This is a discussion on Trade Intensity within the Technical Analysis forums, part of the Methods category; In most markets and certainly in the equity index futures markets there is a small set of very big traders ...

Reply
 
LinkBack Thread Tools Search this Thread
Old May 5, 2009, 3:05pm   #1
Joined Apr 2009
Trade Intensity

In most markets and certainly in the equity index futures markets there is a small set of very big traders whose entries into the market often have an immediate and very tradeable impact on price.

These traders go to great lengths to disquise their trade - they have automated routines to send a series of small transactions to the market at intervals close to 1000th of a second.

Because many of these traders operate from price based models they must get their execution within a very narrow price/time range which means they must execute as much of the volume they want as fast as they can while price is in that range. This results in a huge spike in what we call the intensity of trade.

To calulate the indicator shown below you must have a very expensive and almost zero latency data feed and be able to measure time in 1000ths of a second. The calculation of the indicator is merely so much volume over so little time.

The charts shown are in TradeStation. While TradeStation by itself doesn't have the ability to get nearly as granular with time the are dll's etc that can enable that most able platform for this work. This software is NOT for sale or lease.

To trade this indicator at optimal levels requires automated execution.

These plainly visable spikes in short term trade intensity occur between 12 and 30 times per session in the S&P.

Notice the time axis on the bottom of this first chart - the whole chart is a look inside 1 minute of trade.


Click the image to open in full size.

This chart shows a similar spike in the intensity of trade


Click the image to open in full size.


The same spikes happen at tops - this trade was good for 5 points in only 3 minutes - a great days trade in only 3 minutes

Click the image to open in full size.
UrmaBlume is offline   Reply With Quote
Old May 5, 2009, 3:35pm   #2
 
rathcoole_exile's Avatar
Joined Jun 2007
or you could always subscribe to tradersaudio.com for about 90U$ per month and get the action live from the pit .....which is where small set of very big traders still enter into the market
__________________
my Opinion is never "humble "

karl6666: 'Why doesnt anybody like you R_E, is it because you shout?'
rathcoole_exile is offline   Reply With Quote
Old May 5, 2009, 4:14pm   #3
Joined Apr 2009
UrmaBlume started this thread "or you could always subscribe to tradersaudio.com for about 90U$ per month and get the action live from the pit .....which is where small set of very big traders still enter into the market"

I am new to this board and don't know whether the above is a joke or poorly disguised spam. World commercial trade, the trade that drives price in all major markets is executed electronically, not by open outcry. The most liquid equity indexes don't even have a pit, so either you are joking or you are talking about the exchanges of the third world.
UrmaBlume is offline   Reply With Quote
Old May 5, 2009, 4:46pm   #4
 
rathcoole_exile's Avatar
Joined Jun 2007
Quote:
Originally Posted by UrmaBlume View Post
The most liquid equity indexes don't even have a pit, so either you are joking or you are talking about the exchanges of the third world.
S&P 500 ring any bells ?
__________________
my Opinion is never "humble "

karl6666: 'Why doesnt anybody like you R_E, is it because you shout?'
rathcoole_exile is offline   Reply With Quote
Old May 5, 2009, 5:03pm   #5
Joined Jul 2003
Quote:
Originally Posted by UrmaBlume View Post
Because many of these traders operate from price based models they must get their execution within a very narrow price/time range which means they must execute as much of the volume they want as fast as they can while price is in that range. This results in a huge spike in what we call the intensity of trade.
The explanation and accompanying graphs (and those samples you provide on your website) are all fairly standard chart patterns and formations (breakout from channels etc.)

That which you describe here as ‘Trading Intensity’ is Volume/Price analysis at its most basic. There’s nothing wrong with that of course and you appear to have a portfolio of quality products and services for the professional trader, but other than stressing the sub-1 minute timeframe you’re addressing, I’m not clear on what your point is.

You’re clearly and explicitly not marketing to members of this site so I wonder what it is you imagine we should be ‘getting’ from your post?
TheBramble is offline   Reply With Quote
Old May 5, 2009, 5:18pm   #6
 
rathcoole_exile's Avatar
Joined Jun 2007
Quote:
Originally Posted by UrmaBlume View Post
poorly disguised spam
yes, you're right, i became a T2W Advisor based solely on my ability to stealthily punt spam
__________________
my Opinion is never "humble "

karl6666: 'Why doesnt anybody like you R_E, is it because you shout?'
rathcoole_exile is offline   Reply With Quote
Old May 5, 2009, 7:55pm   #7
Joined Apr 2009
UrmaBlume started this thread
Quote:
Originally Posted by rathcoole_exile View Post
S&P 500 ring any bells ?
Of course it does - but the pit volume in the S&P full contract is NOT what the commercials trade. They trade the emini and the execution is electronic. Virtually no serious commercial trade in any major index or stock is executed in a pit. There seems to be a major time warp between your post and the reality of commercial trade today.
UrmaBlume is offline   Reply With Quote
Old May 5, 2009, 8:22pm   #8
Joined Apr 2009
UrmaBlume started this thread
Quote:
Originally Posted by TheBramble View Post
The explanation and accompanying graphs (and those samples you provide on your website) are all fairly standard chart patterns and formations (breakout from channels etc.)

That which you describe here as ‘Trading Intensity’ is Volume/Price analysis at its most basic. There’s nothing wrong with that of course and you appear to have a portfolio of quality products and services for the professional trader, but other than stressing the sub-1 minute timeframe you’re addressing, I’m not clear on what your point is.

You’re clearly and explicitly not marketing to members of this site so I wonder what it is you imagine we should be ‘getting’ from your post?
I know of NO software provider that shows trade intensity at the granularity represented here. I have seen NO discussion on this board about spotting the intense automated trade that often forms intra-session extremes - this is NOT volume/price analysis at it most basic and my purpose here is to point out to the traders here that there are indicators of value that go far beyond the price based, time based, buschwa that is the normal discussion here.
UrmaBlume is offline   Reply With Quote
Old May 5, 2009, 8:30pm   #9
Joined Apr 2009
UrmaBlume started this thread
Quote:
Originally Posted by rathcoole_exile View Post
yes, you're right, i became a T2W Advisor based solely on my ability to stealthily punt spam
Like I said, I am new to the board. But if you bacame a T2W Advisor for giving advise like subscribing to an audio service to detect electronically executed trade on a board that is supposed to be about technical analysis, I must question the selection criteria.

I don't believe that noise from a pit that doesn't execute ANY meaningful commercial trade is a useful technical tool.

If that is the standard and level of technical disucssion here then me, my technologies and my indicators are probably wasting our time.
UrmaBlume is offline   Reply With Quote
Old May 5, 2009, 9:52pm   #10
Joined Jul 2003
Quote:
Originally Posted by UrmaBlume View Post
I know of NO software provider that shows trade intensity at the granularity represented here. I have seen NO discussion on this board about spotting the intense automated trade that often forms intra-session extremes - this is NOT volume/price analysis at it most basic and my purpose here is to point out to the traders here that there are indicators of value that go far beyond the price based, time based, buschwa that is the normal discussion here.
I believe I commented on your sub-1 minute TFs which as you say, is at a level of granularity somewhat finer than most trade. Given that you’re looking at shorter TFs than the majority here trade was what led me to ask what sort of discussion you were hoping to generate.

Intense automated (or otherwise) trade that forms ‘intra-session extremes’ (I’m not sure how it could cause extremes outside of a session, but that’s a minor point) is covered by a significant number of threads relating to Volume and Price Analysis. Perhaps you would benefit by researching the discussions already covering this subject before stating a (quite erroneous) opinion on the quality and coverage of content this site makes available.

If as you say you’re trying to point out ‘indicators of value’ – you’ve done so. But without offering an insight into their construction and use or else coming straight out and suggesting they contact you directly with their credit cards at the ready, what else is there really to say?

You may find a more enlightened approach to personal communication would generate the discussion you probably want to have here as I fear your current attitude may be standing in the way of any further intelligent response.
TheBramble is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Trade Journal and Trade Diary bobflem First Steps 14 Jun 2, 2013 12:55am
Help please!!!! Intraday Intensity index oscillator luca1982 Trading Software 0 Mar 20, 2009 2:01pm
Safer way to trade the carry trade? PeterPG Forex 19 Aug 18, 2008 9:29pm
Opinion on a day trade or swing trade NH538DB8 Stocks 0 Mar 27, 2008 4:19pm
looking for future demo trade or free charting to paper trade?? doctrader Technical Analysis 3 Dec 3, 2005 4:07pm

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)