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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 amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> 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 amibroker@xxxxxxxxxxxxxxx, 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 amibroker@xxxxxxxxxxxxxxx
> > <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 amibroker@xxxxxxxxxxxxxxx
> > <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>>
> >>>>>>
> >>>>>> Site :
> >>>>>> 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.
> >>>
> >>
> >
> >
> >
> > ------------------------------------
> >
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> >
> >
>
------------------------------------
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