Hi Brian, I agree with your comments.
Unfortunately, I can't remember the place I saw the IB priority treatment. Maybe into the IB site or into an IB forum. Where can we get in touch with the genie ? I am sure that I can convince him to give good advices... Best Regards MAVIRK a écrit : > > Question to the stock market genie: Which is the best volume indicator? > > *From:* brian_z111 <mailto:[EMAIL PROTECTED]> > *Sent:* Wednesday, November 12, 2008 6:13 AM > *To:* [email protected] <mailto:[email protected]> > *Subject:* [amibroker] Re: What is your favorite Volume based > indicator, or... > > Luckily you find a magic lantern ... upon reciting the magic words "I > believe in free markets" the stockmarket genie appears to grant you > one wish ... the genie will answer one and only one mutliple choice > question: > > - the price of the S&P500 future at tomorrows close will be ..... > OR > - the volume of the S&P500 at tomorrows close will be ..... > > Which question do YOU want the genie to answer? > > brian_zentrader > > --- In [email protected] <mailto:amibroker%40yahoogroups.com>, > "brian_z111" <[EMAIL PROTECTED]> wrote: > > > > A very interesting discussion because data issues aren't really > > discussed anywhere in the trading text books and IMO sooner or > later > > we are confronted by the subject and digging out some truth, based > on > > our collective observations, is one of the few ways we have to > learn > > anything about this subject. > > > > > > I posted 'against' Gerard's indicator because people are forming > > opinions, based on our discussions, and it is in their interest to > > hear the counter arguments.... for that reason (referencing some of > > the comments so far). > > > > My position is that I can't act as if the data I am acquiring is an > > accurate depiction of the 'real' world of trading (whatever that is > > and if it exists) ... I accept that the data I am getting is only > an > > approximation (it is called tolerance of ambiguity and IMO that is > > what separates the brilliant traders from the rest): > > > > a) I don't fully understand the US exchange system but I believe > that > > for some instruments trading is occuring on different exchanges, > and > > in some cases is carried out electronically (privately?) > > between 'authorised participants' ... that data is not coming to > one > > central place in the sequence that the trades were actually > made ... > > it can be held up for various reasons and even manipulated for the > > benefit of some. > > > > b) computers aren't infallible or almighty ... they have hardware > and > > software issues and limitations .. processes have to work around > > those limitations and within budget.... how many companies can > > afford to keep redundant capacity, for extreme future events, 100% > of > > the time. > > > > c) there is no international standard, or policeman, regulating > > exchanges, let alone data providers. > > > > d) the data is passing through several hands before we get it and > > they can be manipulating it in various ways (does the exchange > > filter/backfill/post error corrections, or not, and so on down the > > line). > > > > e) voluntary compliance by exchanges/data providers is a business > > sensitive issue ... unlikely that their dirty washing will ever be > > aired in public. > > > > > > Reinsley - I agree that it is highly likely that the data is > > manipulated to suit the business needs of the participants.... for > my > > own preservation I act as if that is the case. > > > > During the Oct rush I saw a video interview with the director of a > > leading US exchange and he was reassuring the public that during > the > > days of extreme price falls the exchange was delaying the flow of > > sell trades to allow buyers in the market time to respond ... just > to > > help stabilise things. On reflection I found this hard to believe > and > > tried to find the video again to make sure I hadn't heard > > incorrectly ... I was going to post a link but couldn't find it the > > second time around. > > > > Herman has already posted discussion, and examples, where backtests > > of high frequency trading differed if the intraday data was live, > or > > downloaded at the end of the day i.e. later backfilling of data > > affected the outcomes. > > > > > > Reinsley - where did you hear that IB delays vol data to keep the > > pipes open for the more important bid/ask etc? ... quite possible > > IMO.... no I don't believe the EOD data is 'right' either ... it is > > right enough but impossible to keep within +_ 2% maybe even more > than > > that. > > > > > > My reponse to data ambiguity: > > > > I find it surprizing that so many algorithmic traders put so much > > faith in data ... especially as they push into smaller and smaller > > time frames. > > > > I work around 5 min bars where the fine grained errors aren't so > > telling and I am not entirely dependent on backtested outcomes > anyway. > > > > One of my 'brokers' is a spread better in drag and only uses data > > derived from the underlying e.g. their contracts settle the month > > before the underlying, so that they don't get caught on their > > hedging ... when they moved to Australia they become more like a > > traditional derivatives dealer in order to get regulatory approval > to > > operate here. > > > > I wish they would move to a international safe haven and operate > > purely as an international spread better ... no need to comply with > > shorting bans or market up/down limits and no need for order > filling > > issues or slippage ... you get exactly the price that you dealt at > > i.e. the price on the screen in front of you ... if you are making > > money that is real and if not that is real too! > > > > Re volume indicators: > > > > IMO volume is the most enigmatic of all of the indicators > > I have given reasons in the past why I don't use it .... so far I > > haven't seen one vol indicator that I can't critique sufficiently > to > > make me feel nervous about it. > > > > IMO we would be better focussing on supply and demand ... if both > are > > high at the same time == extreme vol, then the price won't go > > anywhere.... in fact if they are balanced then price won't go > > anywhere on any vol. > > > > If they are imbalanced then price can go anywhere on any amount of > > vol. > > > > I spent some time playing around with supply/demand indicators (as > > usual I made my own up and kept it simple) ... it was interesting > but > > I didn't come up with anything I care to use (for now). > > > > In fact momentum is the outcome of supply/demand imbalance and that > > is what I am trading so I leave volume out of it ... one less thing > > to worry about.... you can buy and sell momentum (volatility) but > you > > can't buy and sell volume. > > > > > > How do we know that the volume data is correct? > > > > We don't ... how can we? > > Where is the international standard that we can use to measure our > > data against? > > > > In past discussions someone said 'compare it to your brokerage > > record' ... well say I am only trading the ES, and nothing else, > even > > if I trade it a few times a day that is hardly a substantial > > statistical sample of the millions of trades that are occurring > > around the world. > > > > > > Dennis ... interesting that you are using vol and see it as a > leading > > indicator .. can you expand on that without giving away the > farm ... > > I can't get anything out of vol but I am interested to think about > it > > some more. > > > > > > IMO if we start to believe that the market is free and manipulated > > then some intersting trading opportunities open up. > > > > Reinsley (some personal help for you .. and naughty OT talk to boot) > > > > - you are correct. > > > > The persona we show to the world is a not who we really are ... > that > > applies to organizations as well as individuals (the collective > > unconscious - Jung) ... so scepticism (science) is a reasonable > > starting point ...scepticism is not unhealthy cynicism ... the > > initial confrontation with truth, that reality affords the little > > ego, usually manifests as existential angst ... where do you go > from > > there? ... you move completely outside your culture whilst > remaining > > fully immersed in it (the Outsiders .. Colin Wilson)..... the trick > > is remaining optimistic and ethical whilst holding that > position ... > > compassion is the bridge that allows us to cross that divide > > (reference Guatama). > > > > brian_z > > > > > > --- In [email protected] > <mailto:amibroker%40yahoogroups.com>, Dennis Brown <see3d@> wrote: > > > > > > I also trade futures and use IQ Feed for data. The volumes look > > real > > > time and accurate to me. However, even if the volumes had a > > slight > > > delay it would not matter too much. Because volume is a leading > > > indicator, I have to delay triggers based on volume. > > > > > > BR, > > > Dennis > > > > > > On Nov 11, 2008, at 9:58 AM, sidhartha70 wrote: > > > > > > > Well you need to compare like with like.. i.e. the same > > exchanges. if > > > > the same contract is traded on different exchanges then they > may > > not > > > > be reporting the same volume. > > > > But I have traded the Eurostox 50 since it came on line back in > > > > 1998... and the volumes I'm getting are 100% correct. It's all > > > > electronically exhcnaged so I don't understand why you believe > it > > > > would be any harder to report correct volume than it would > correct > > > > price...??? It's all done by computer.... > > > > > > > > > > > > --- In [email protected] > <mailto:amibroker%40yahoogroups.com>, reinsley <reinsley@> wrote: > > > >> > > > >> Same tickers are traded on various exchanges. Hard to > belevieve > > that > > > >> recollection is in real time. I suppose that volumes are > right, > > on a > > > >> delay basis or EOD. The delay is variable up to the flow and > > the > > > >> day's > > > >> hour, even in a quiet market. > > > >> I saw in real time the volumes about the same contract > eurostock > > 50 > > > >> futures traded in Franckfurt and Paris. It's day and night. > > > >> I saw delay on CQG, does it exist a quality professionnal > feed > > and a > > > >> degraded feed ? > > > >> If the future's volume is updated after a delay, does it worth > to > > > > create > > > >> an intraday trading system based on volume ? This question is > > still > > > >> pending for me. > > > >> The reliability is depending of the supplier and the ticker. > I > > am > > > >> not > > > >> far to think that it is a secret world. The backfilling modify > > the > > > > stuff > > > >> at any moment. > > > >> > > > >> Best regards > > > >> > > > >> sidhartha70 a écrit : > > > >>> > > > >>> I don't honestly know for IB... maybe others could comment. > > > >>> But much of the futures volume these days, at least in the > > > >>> contracts I > > > >>> trade, is traded on an electronic exchange. There is no > reason > > to > > > >>> believe that the data capture on electroic exchanges is not > 100% > > > >>> accurate... > > > >>> > > > >>> I use IQ Feed... I think there would be client uproar if the > > data > > > >>> they > > > >>> supplied for volume on the major futures contracts was not > > > >>> accurate. I > > > >>> believe it is. > > > >>> > > > >>> --- In [email protected] > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com>, > > > >>> reinsley <reinsley@> wrote: > > > >>>> > > > >>>> > > > >>>> Hi, > > > >>>> > > > >>>> IB. > > > >>>> > > > >>>> I read somewhere that volume was not the priority concerning > > > >>> futures.The > > > >>>> figures are lately ajusted on the fly, when the data flow is > > low. > > > >>>> > > > >>>> IB gives priority to bid/ask to hit the right price > especially > > > > when the > > > >>>> market has a high trafic. > > > >>>> > > > >>>> I will appreciate any comments on this point. > > > >>>> > > > >>>> Best regards > > > >>>> > > > >>>> > > > >>>> sidhartha70 a écrit : > > > >>>>> > > > >>>>> Who's your data provider...? Not sure why furtures volume > data > > > > should > > > >>>>> be wrong....? > > > >>>>> > > > >>>>> --- In [email protected] > <mailto:amibroker%40yahoogroups.com> > > > > <mailto:amibroker%40yahoogroups.com> > > > >>> <mailto:amibroker%40yahoogroups.com>, > > > >>>>> reinsley <reinsley@> wrote: > > > >>>>>> > > > >>>>>> Hello, > > > >>>>>> > > > >>>>>> Download VPA.afl and VSA.pdf > > > >>>>>> > > > >>>>>> I did not test it, I use futures and vol are most of the > > > > time wrong. > > > >>>>>> > > > >>>>>> It's a nice piece of work that can help you. > > > >>>>>> > > > >>>>>> Best regard > > > >>>>>> > > > >>>>>> DL page : > > > >>>>>> http://www.4shared.com/dir/10233363/99142c5f/sharing.html > <http://www.4shared.com/dir/10233363/99142c5f/sharing.html> > > > >>> <http://www.4shared.com/dir/10233363/99142c5f/sharing.html > <http://www.4shared.com/dir/10233363/99142c5f/sharing.html>> > > > >>>>> <http://www.4shared.com/dir/10233363/99142c5f/sharing.html > <http://www.4shared.com/dir/10233363/99142c5f/sharing.html> > > > >>> <http://www.4shared.com/dir/10233363/99142c5f/sharing.html > <http://www.4shared.com/dir/10233363/99142c5f/sharing.html>>> > > > >>>>>> > > > >>>>>> Site : > > > >>>>>> http://www.vpanalysis.blogspot.com/ > <http://www.vpanalysis.blogspot.com/> > > > >>> <http://www.vpanalysis.blogspot.com/ > <http://www.vpanalysis.blogspot.com/>> > > > >>>>> <http://www.vpanalysis.blogspot.com/ > <http://www.vpanalysis.blogspot.com/> > > > >>> <http://www.vpanalysis.blogspot.com/ > <http://www.vpanalysis.blogspot.com/>>> > > > >>>>>> > > > >>>>>> > > > >>>>>> Ken Close a écrit : > > > >>>>>>> > > > >>>>>>> more generally, how do you best use volume in determining > > > >>> setups and > > > >>>>>>> trades? > > > >>>>>>> > > > >>>>>>> After years of working with the FastTrack data source, > which > > > >>> does not > > > >>>>>>> have volume, I am branching out into ETF and even stock > > > >>> analysis and > > > >>>>>>> want to add Volume to the mix....because I am finally > able > > to. > > > >>> But I > > > >>>>>>> find that I am starting from ground zero in terms of what > > are > > > >>> popular > > > >>>>>>> volume-based indicators and other useful ways to use > volume. > > > >>>>>>> > > > >>>>>>> Care to share an indicator or two that you have found > > > > useful and > > > >>>>>>> effective? > > > >>>>>>> > > > >>>>>>> I appreciate any suggestions. > > > >>>>>>> > > > >>>>>>> Thanks. > > >
