Support Board
Date/Time: Fri, 22 Nov 2024 15:56:51 +0000
[User Discussion] - Trade Intensity/Pace of Tape indicator for SierraChart?
View Count: 31630
| [2013-04-14 08:35:32] |
| T44 - Posts: 363 |
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Joshtrader, surely if the assumptions cannot be or are not proven then it is dangerous to continue a theory through the point of allocating capital without testing these assumptions, and if the assumptions are not testable.... Perhaps having a graphical representation would be of assistance not to prove the theory but to quickly falsify it so the aspiring trader can move on to investigating areas which may be more productive. I've looked quickly at the bigmike, traderslab, and trade2win threads about this indicator and the screenshots provided there should be enough to "falsify" the hypothesis that this technique in isolation is of any assistance whatsoever in picking reversals. The great thing about programs such as Sierra and the support provided on this board is that it allows non-technical/non-programmer people to express themselves in ways which would not otherwise be possible. The potential downside of this is that there are so many theories and ideas put forward that a lifetime could be wasted testing each in turn to see if it contains the holy grail, at the cost of neglecting more productive approaches. It is for the individual to discern what is relevant and those who can do this will be richly rewarded. The marketplace is competitive and therefore there are significant barriers both to discovering a successful strategy and to implementing it in size. If this study alone did provide an edge, too many people would discover or copy the strategy and hammer out the edge. Trying to use the same pace of trade / tick volume indicator as a mass of other people is almost guaranteed to remove any edge there may have been. So if anyone here does design the "magic indicator" it would be wise to trade it up to the liquidity limits of the instrument and timeline being used (for as long as the opportunity lasts) and not to share it on the Internet. Of course human nature being as it is, people will continue to try to systemize in ways which are unlikely to work, and further argue that they want this indicator not because they can prove it to work but because it somehow 'supports' or 'gives confluence to' their other (untested, unproven) entry criteria. All one can do is suggest some questions and try to point in an alternative direction, but the human condition being as it is few will find a path to consistent success in trading. This is how it has to be. To bring this thread back to a slightly more relevant point: surely how the exchange matches and reports trade volumes is going to be a significant input in deciding which instruments this study will be of any use on. For example, some years ago the CME changed how their time and sales feed was composed. Previously, the size of the aggressor order was reported, and currently the price and size of all trades are reported. So in the prior case, by intent of the aggressor order, a market order sell 50 in ES would have reported a single entry of 50 lots in the time and sales, whereas now what will be reported is the contracts at best bid who filled the 50, which can be either a single bid of 50, 50 bids of 1, or anything in between. This is an issue affecting anyone who previously used tick based charting in that instrument. So this proposed study will show different results depending on how the exchange reports time and sales data. Is the OP and others who use the strategy aware of these concepts and how it would affect their results? There is no easy money in this business, and if there is you're getting paid short odds. |
| [2013-04-15 05:47:24] |
| pe1111112 - Posts: 35 |
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The general idea is that the faster orders are being filled, the more likely you are to be at a key point. If you watch the orders throughout the day sometimes there is a few seconds between fills. No one really cares what is going on there. And other times many orders get filled nearly at the same time because something important is happening. If you do not have a way to measure how fast trades are taking place, instead what you have to do is use a constant volume bar (or tick bar) and measure how quickly each bar forms. This is a sort of alternate way to measure kind of the same thing. If, for example, two constant volume chart candles appear with the same timestamp, it's because many orders were just filled in a short period of time (less than one second). Compare that against two constant volume candles with 2 minutes difference in their timestamp in which case orders were filled much more slowly. The Bar Time Duration study lets you measure this. Due to SierraChart's time limitations, however, you can only be accurate to one second (or zero seconds). So for your signal you have to look for candles where the Bar Time Duration shows a time of zero, or one second, and that must be matched with an appropriate volume or tick candle. For example, if you use 5,000 constant volume candles on the ES, there will almost never be any signals because it will always take more than 1 second for the bars to complete. So 5,000 constant volume candles are too slow. If you use 50 constant volume candles, almost every bar will have a signal, because it won't take more than one second for most of the candles to form, so this chart is too fast. All I did in the screenshot I posted was use a worksheet to put a point on the candle when the Bar Time Duration was less than one second (which would be zero seconds), and then I played around with the chart settings until I found one that wasn't too fast (signal on every bar) nor too slow. |
| [2013-04-15 13:08:54] |
| joshtrader - Posts: 488 |
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and the screenshots provided there should be enough to "falsify" the hypothesis that this technique in isolation is of any assistance whatsoever in picking reversals.
If this study alone did provide an edge
Maybe some will want to use this in isolation, but nothing in isolation that is systematic in nature will work, because it will quickly be taken advantage of, as you say. But I certainly didn't propose using it in isolation. they want this indicator not because they can prove it to work but because it somehow 'supports' or 'gives confluence to' their other (untested, unproven) entry criteria.
Yes, absolutely. "Entry criteria" is very interesting because some who are very systematic in nature (who don't really trade, but who do math instead) need fixed entry criteria. Others can look at a DOM and trade effectively this way, and use context and other "unprovable" criteria (in the sense that it is not mathematically quantifiable, it cannot be programmed and cannot be tested or proved in the general sense). The indicator proposed here may provide a visual help for some who trade this way, as one possibility. surely how the exchange matches and reports trade volumes is going to be a significant input in deciding which instruments this study will be of any use on.
Of course, which is why a tick chart is far inferior in this case to a volume chart, which does not take into account orders but volume only, so that changes such as the one you mentioned, which affected quite a few people, would not affect someone who does not care about what a "trade" is but rather about traded volume. I do not use this "pace of tape" indicator, and in fact all one needs to really see this is to put up a small time-based chart with a volume histogram, or program (as I did) a simple indicator to be used on a volume chart that shows the same thing. Is the OP and others who use the strategy aware of these concepts and how it would affect their results? There is no easy money in this business, and if there is you're getting paid short odds.
I would hope the OP is aware -- most traders know about the CME changes you referenced, and it's not rocket science. Absolutely there is no easy money, in the sense that profitable "dumb" strategies which do not rely on unique human expression of thought and which are quantifiable in nature are few and far between, and don't work for long without being modified. In contrast, using logic, intuition, and simple tools can often be quite rewarding. Date Time Of Last Edit: 2013-04-15 13:09:45
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| [2019-03-27 19:52:37] |
| whats1thingnow - Posts: 407 |
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in fact all one needs to really see this is to put up a small time-based chart with a volume histogram, or program (as I did) a simple indicator to be used on a volume chart that shows the same thing
regardless of tick or volume chart add volume study add bar duration study add study subgraphs divide/ratio (input study 1: volume & input study 2: duration) this will effectively give you volume/sec (better than trades/sec imo) |
| [2020-01-31 02:09:57] |
| User681812 - Posts: 2 |
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The version of sot above is currently not being supported. Could you please provide an updated version of sot.dll
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| [2020-01-31 07:07:47] |
| ganz - Posts: 1048 |
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User681812 sure, it will be done. |
| [2020-02-05 17:06:15] |
| ganz - Posts: 1048 |
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v.2040 x64 bit
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 sot64.dll - Attached On 2020-02-05 17:05:43 UTC - Size: 885 KB - 975 views |
| [2020-02-06 01:10:50] |
| User681812 - Posts: 2 |
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Thank You so much Ganz !!!
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| [2020-03-06 07:52:14] |
| ycomp - Posts: 316 |
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the 64 bit version shows 0 for the current bar - is that normal?
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| [2020-06-02 18:41:18] |
| j4ytr4der_ - Posts: 938 |
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I've been looking for a SoT indicator like is available in Jigsaw, but I've played with this one and it doesn't seem to be at all similar. Maybe it's due to the lack of resolution below 1 second, I'm not sure... but I can't figure out what the histogram here is actually supposed to be indicating. Can anyone provide some insight?
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| [2020-10-23 12:47:15] |
| NotIll - Posts: 118 |
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Yeah im afraid that version of Ganz paints on the close of the bar
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| [2021-04-20 10:23:12] |
| CoryW - Posts: 16 |
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Ganz - Would you be willing to compile this for the latest version of SC? Truly appreciate your work on this! I find it to be such a fascinating concept... not always directionally predictive, but definitely predictive of inflection points where movement is going to happen.
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| [2021-04-20 10:36:27] |
| ganz - Posts: 1048 |
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CoryW sure. but it might takes a week or so. |
| [2021-04-20 10:55:39] |
| CoryW - Posts: 16 |
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Wow how kind of you! No hurry at all! I've mostly been working with Zpy's volume/second study but I assume it's not nearly fast enough. But I am finding some decent success with autotrading it with several parameters.
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| [2021-04-20 12:19:19] |
| NotIll - Posts: 118 |
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@GoryW, Which study are you refering to in #38? |
| [2021-04-20 12:22:44] |
| NotIll - Posts: 118 |
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Also @Ganz, I remember that ur study only painted when the candle closed. Is there a posibility it does it realtime? |
| [2021-04-20 12:35:12] |
| ganz - Posts: 1048 |
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NotIll OK. I'll try to improve it. |
| [2021-04-20 12:38:27] |
| NotIll - Posts: 118 |
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Thank you for ur time!
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| [2021-04-20 12:56:13] |
| User907968 - Posts: 823 |
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You can get pace of tape study here too - twofox.co.uk/free
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| [2021-04-20 13:00:46] |
| CoryW - Posts: 16 |
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I am referring to this; if it's not in this bundle, you have to register on his forum but it is a free. It is his "Speed: Vol/Sec" study but I'm guessing it's probably easy to code: https://www.sierrachart.com/UserControlPanel.php?page=StudyStore&SCDLLName=zyp_download_free |
| [2021-04-20 14:52:07] |
| NotIll - Posts: 118 |
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I am a member and have 2 or 3 bundles already but I dont seem to have that one.. Also cant seem to find it on the forums. Could you please be so kind and direct me to it? I have been bugging Ackin for this also and I dont want it to be my mistake of not seeing it somehow. Date Time Of Last Edit: 2021-04-20 14:56:31
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| [2021-04-20 15:23:25] |
| Ackin - Posts: 1865 |
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I am a member and have 2 or 3 bundles already but I dont seem to have that one..
Also cant seem to find it on the forums. Could you please be so kind and direct me to it? I have been bugging Ackin for this also and I dont want it to be my mistake of not seeing it somehow. Speed study is a Members study (not in the basic free package). There are over 1000 studies on the forum divided into three groups: Free, Members, Club Free: There are most of them in Free and everyone who comes to the forum has them Members: Members can also be free of charge for at least one year if the conditions of the number of posts are met, read the conditions on the forum ... Club: The club is by invitation only and there can be no one who wants .... |
| [2021-04-20 15:25:02] |
| Ackin - Posts: 1865 |
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NotIll) I'm currently in the hospital, I'm coming back in two days, then I'll look at the Tape study and put it in the Free group .... Time and Sales in general there will be several new studies during the next week ... |
| [2021-04-20 15:37:30] |
| ganz - Posts: 1048 |
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NotIll, CoryW looks like you've found what you need already Ackin it's nice to see this activity. it makes me comfortable as well. thnx. |
| [2021-04-20 15:47:52] |
| CoryW - Posts: 16 |
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I'm so sorry I thought it was in the free bundle. It is truly outstanding though! Super grateful for all of you and your amazing skills!! Gosh Ackin I hope you feel better soon my friend! It appears these two are very similar FYI: https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=50418 Date Time Of Last Edit: 2021-04-20 15:54:16
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 Vol Sec Pace of Tape.jpg / V - Attached On 2021-04-20 15:52:56 UTC - Size: 29.04 KB - 626 views |
| [2021-04-20 15:48:48] |
| CoryW - Posts: 16 |
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Ganz: but it was my impression you were able to get metrics less than a second interval. Seems like the whole concept revolves around the millisecond level. Did you not?
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