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@xxxxxxxxxps.com,
"brian_z111" <brian_z111@...> 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@xxxxxxxxxps.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 amibroker@xxxxxxxxxps.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 amibroker@xxxxxxxxxps.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 amibroker@xxxxxxxxxps.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>>
>
> >>>>>>
> > >>>>>> 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 ****
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> > > This is *NOT* technical support
channel.
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