Trade Intensity

[UrmaBlume]

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.

This chart shows a similar spike in the intensity of trade

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

 

[rathcoole_exile]

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

 

[UrmaBlume]

"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.

 

[rathcoole_exile]

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 ?

 

[TheBramble]

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?

 

[rathcoole_exile]

poorly disguised spam

yes, you're right, i became a T2W Advisor based solely on my ability to stealthily punt spam

 

[UrmaBlume]

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]

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]

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.

 

[TheBramble]

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]

If that is the standard and level of technical disucssion here then me, my technologies and my indicators are probably wasting our time.

...or ours....

 

[UrmaBlume]

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.

First - Intra-Session means inside the session, inter-session means between sessions. So an better understanding of English terminology on your part would help a lot.

Second - There is a difference between the intensity I have demonstrated and any other post I have found here - chould you please provide some links.

Third - In my posts here and similar post on TL I have and will always provided clues as how to reconstruct my indicators. From this same post several readers on TL were able to re construct this same indicator on several different platforms - guess you are missing something they got. Sorry, my post are meant to provoke thought and not to do all the work for code leeches.

Forth - I reject and take offense at your suggestion that my posts are spam. None of my indicators or services are available to the public, we are a private group of traders, programmers and poker players. I have mentioned no site or company and we offer no service or product to the readers of this board.

Fifth - As to a more enlightened approach, I can't think of how to bring someone who is plainly out of thier depth and has trouble with the language up to this level.

Sixth - If you don't get it sorry, others do and I receieve a lot of thanks, questions and pms from similar posts and I am happy to help forward looking, positive thinking traders looking to work outside the box.

 

[rathcoole_exile]

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.

you obviously have no clue what goes through the pit. I suggest you take a gander

 

[rathcoole_exile]

Third - In my posts here and similar post on TL

you're obviously wasting your time here, trying to fault Tony on his English when his question in parentheses was the clear demonstration of his superior understanding in the first place.
I suggest you pick up your ball and toddle off back to TL where you seem happier

 

[UrmaBlume]

you obviously have no clue what goes through the pit. I suggest you take a gander

I know the S&P pit on the Merc very well. Have made at least 50 visits to the Merc and the Board of Trade over the years and I say again - commercial equity index trading does NOT take place in that pit it takes place on the electronic market for the emini S&P.

I don't believe that any audio subscription will help, don't believe that your advice is sound or born of pit experience and don't think pit audio is a very high level technical tool.

Pretty high level technical stuff there rathcoole.

 

[rathcoole_exile]

well it's good enough for me to earn a f_cking fortune and I suggest it's good enough for most traders on T2W

why not limp back to TL with all the other Nerds who over-complicate and over-analyse to compensate for their lack of success ?

 

[UrmaBlume]

well it's good enough for me to earn a f_cking fortune and I suggest it's good enough for most traders on T2W

why not limp back to TL with all the other Nerds who over-complicate and over-analyse to compensate for their lack of success ?

How professional. Your high level technical advice is to buy an audio service for pits that don't carry commercial trade. I doubt you have ever even been on the floor of the Merc and I can only find weak buschwa, comments off topic and no real technical content in any of your THOUSANDS of posts.

That you with your unprofessional language, approach and content free posts are some kind of advisor here speaks volumes.

Lets just agree to disagree and forget this low-level hogwash.

cheers

 

[rathcoole_exile]

your attitude seems to be that technical is good, that's it's the be-all and end all.
my assertion is that getting too technical is bollox and a waste of time, effort and money
I have every right to make that assertion on a thread devoted to TA

I just don't understand why you get so defensive about your own position. ultimately i believe you will be revealed as a vendor of some kind.
meanwhile. good luck with your intense, stressful technical gobbledeegook, I'll stick to flipping a coin

but will continue, as is my right, to question technical approaches on a technical thread

 

[TheBramble]

First - Intra-Session means inside the session, inter-session means between sessions. So an better understanding of English terminology on your part would help a lot.

That was my understanding. I was wondering how you could get extremes outside of a trading session. It’s not so much the grasp of language or the terminology that was the problem, more an indication of your understanding of how the markets work. For future reference, if an instrument is not being traded, it’s very difficult for it to make extremes of anything.

Second - There is a difference between the intensity I have demonstrated and any other post I have found here - chould you please provide some links.

Which others have you found here – you provide the links. I suspect you haven’t done much, if any, research at all and like most newbies, are expecting others to do the hard yards for you.

Third - In my posts here and similar post on TL I have and will always provided clues as how to reconstruct my indicators. From this same post several readers on TL were able to re construct this same indicator on several different platforms - guess you are missing something they got. Sorry, my post are meant to provoke thought and not to do all the work for code leeches.

Fair enough. I’ll slither off over to TL right now to catch up on the latest developments. Not. Your posts certainly provoke thought.

Forth - I reject and take offense at your suggestion that my posts are spam. None of my indicators or services are available to the public, we are a private group of traders, programmers and poker players. I have mentioned no site or company and we offer no service or product to the readers of this board.

Reject and take offence as you wish. Don’t think I mentioned Spam, but if that’s what comes to mind, I’ll let you run with it. Your website indicates you are a commercial operation, regardless of how you and your recruits spend their leisure time, you do provide commercial services and products – do you not? Your profile mentions your site and your company so don’t play stupid.

Fifth - As to a more enlightened approach, I can't think of how to bring someone who is plainly out of thier depth and has trouble with the language up to this level.

Getting weaker. As for having trouble with the language it’s ‘their’ not ‘thier’.

Sixth - If you don't get it sorry, others do and I receieve a lot of thanks, questions and pms from similar posts and I am happy to help forward looking, positive thinking traders looking to work outside the box.

Oh, but I do get it. Really. LOL.

As a parting thought, which your posts have provoked, as you stress the absolute need for all these fine trading signals to be run automatically via trading-bots, why do you go to the trouble of creating colourful, glossy indicators and charts that are of mere eye-candy use to humans? All the bots need is the code, surely.

 

[TheBramble]

I can only find weak buschwa,

It's bushwa.