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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 amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> 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 amibroker@xxxxxxxxxxxxxxx, 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 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.
> > >>>
> > >>
> > >
> > >
> > >
> > > ------------------------------------
> > >
> > > **** IMPORTANT ****
> > > This group is for the discussion between users only.
> > > This is *NOT* technical support channel.
> > >
> > > *********************
> > > TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail
> > > directly to
> > > SUPPORT {at} amibroker.com
> > > *********************
> > >
> > > For NEW RELEASE ANNOUNCEMENTS and other news always check
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> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > *********************************
> > > Yahoo! Groups Links
> > >
> > >
> > >
> >
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
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SUPPORT {at} amibroker.com
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