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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:brian_z111@xxxxxxxxx>
> *Sent:* Wednesday, November 12, 2008 6:13 AM
> *To:* amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> *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 amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> "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
> <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 amibroker@xxxxxxxxxxxxxxx
> <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 amibroker@xxxxxxxxxxxxxxx
> <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 amibroker@xxxxxxxxxxxxxxx
> <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.
> >
>
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