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<TITLE>FW: Time Frame Convergence and Level two data</TITLE>
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<P><FONT SIZE=2>I have been think allot about Time frame convergence and divergence. I have been pondering what I would call a Time frame premium. An indicator that would take a five min MACD and compare it to a 60 or daily. You would trade it similar to the $prem that measures the difference between the cash on the S & Ps and the Future. It could be plotted like the advance decline line. </FONT></P>
<P><FONT SIZE=2> </FONT>
<BR><FONT SIZE=2>The Problem is that I have not come up with a clear cut way to display this in My own mind and would like to open this for discussion with the Group.</FONT></P>
<P><FONT SIZE=2>This also goes along with some work I am tiring on MMids I would like to look at MM's in the same way. Meaning several market makers movements over time and compare that data on Multiple time frames. </FONT></P>
<P><FONT SIZE=2>The theory I am working off us ise. The higher time frame the chart the more powerful the chart or in other words my indicators will hold "true" But I am fascinated by how quickly a move develops and pulls back.</FONT></P>
<P><FONT SIZE=2>For example with a MMid how many times are the crossing up on the bid and down on the ask in a set time frame and how does that compare with other time frames. The premises is that when the stock is ripping up. their is a tight spread with lots of MMids crossing very rapidly. When a pivot is set the spread widens temporary and then cross to the down side and narrows again. But I want to move this information from a tick by tick time frame and compare it on a 60 or compare a 5 min time frame to 60 min time frame. </FONT></P>
<P><FONT SIZE=2>This is were I am stumped. I want to display two items. The crossing ratios. like how many times ISLD was best bid in a 5 min time frame or how may times the top 5 MMId's were best bid and best ask in a certain time frame. I would like to look at these ratios and compare them on a 60 min chart. so I would correlate the five and 60 min information. I can see this in a simpler terms being used on different time frames / Same indicator. I guess I am clouding the issue with two different thoughts</FONT></P>
<P><FONT SIZE=2>1- Time frame convergence and divergence of the same indicator and multiple time frames </FONT>
<BR>
<BR><FONT SIZE=2>*** the question being how would this be displayed? and do you as investors see a value?</FONT>
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<P><FONT SIZE=2>2- Is their a valid correlation looking at the top five MMid's movement on multiple time frames.</FONT>
<BR> <FONT SIZE=2>*** For example if MASH cross Pain every 10 seconds on the bid for 15 mins and then it moves to 30 seconds then to 1 min. then cross to the down side. Wouldn't the widening of the time denote a pivot was developing. If it was followed by a cross pattern on the ask to the down side? I can see my self getting eaten up if I stay on the second by second time frame but what if I took my MM data and moved it to a higher time frame and then compared it to a shorter time frame. Like a 5 min compared to a 60 min. </FONT></P>
<P> <FONT SIZE=2>The data I want to display is</FONT>
<BR> <FONT SIZE=2>1- The top five MMids the numbers of time crossing up on the bid and how rapidly</FONT>
<BR> <FONT SIZE=2>2- The top five MMids and the number of times they are crossing down on the ask and how rapidly. I was thinking of a information Bar that just lists this information. But I would prefer to Plot it. </FONT></P>
<P> <FONT SIZE=2>3- Depth of bid and ask average on a time frame</FONT>
<BR> <FONT SIZE=2>4- The spread of the best bid and ask</FONT>
<BR><FONT SIZE=2>*** The question is any thought on how to plot it and do the users of this list think it is useful data? </FONT>
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<P><FONT SIZE=2>The problems I see with this last bit of data is that it is showing a tick time frame and trying to mingle it with a 60 min time frame. I am mostly interested in the ratios. and how to plot them. It is very fascinating to watch a stock that is flat or in a trading range and how these ratios turn a stock on a fibo number or on a MACD. It in theory should show if it is going to break that Fibo number. The key I think is the amount of time the spent as best bid or ask and how many times they cross and how fast. </FONT></P>
<P><FONT SIZE=2>It is to much data to display and keep the my mind crisp. It maybe a futile exercise but opinions slams and spams are welcome.but please reply to my home email address Keltner001@xxxxxxx</FONT></P>
<P><FONT SIZE=2>One more point this is to be used with Mid size and small cap stocks. It is much to hard to pick the pros off some of these huge stocks. Also The top 5 MMid's can be discerned off www.nasdaqtrader.com I use Advanced Get, Ensign, Option Vue5 Plus AIQ to run correlations</FONT></P>
<P><FONT SIZE=2>Thanks Jeff </FONT>
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<P><FONT SIZE=2>Ps no DBCC qestions I am working on my own trading style Thanks</FONT>
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</HTML></x-html>From ???@??? Wed Jan 26 16:26:47 2000
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Date: Wed, 26 Jan 2000 18:21:05 -0600
From: Joe Frabosilio <joe6964@xxxxxxxx>
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"@@Discussion" <EnsignList@xxxxxxxxxxx>
Subject: [RT] Re: Time Frame Convergence and Level two data
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Status:
Jeff,
MASH is a market maker, but only executes for customers, mostly for
Charles Schwab. He doesn't really make a market, Like GSCO ( Goldman
Sacs) does or SBSH ( soloman smith barney). The general rule I have is
for big Nasdaq stocks watch GSCO. He plays tricks back and forth, but
if he is angry at the management of a company he will sell short all
day.
TradeWell,
Joe Frabosilio
"Crystal, Jeff" wrote:
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