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Ernie, I am going to post this to the list incase others have the same
questions. You asked:
"> Would you mind saying whether, the pivots you showed in your post
> today at realtraders, are what are called the "floor trader
> pivots"? They don't appear like them, but I could be wrong?
>
> Secondly, yesterday you posted an interesting put/call ratio
> indicator. I have not figured out under tradestation EL to
> duplicate your indicator. Would you mind expressing the
> formula in EL or a standard math equation(s) for me.
"
1.
The white pivots are the "floor trader pivots" with a twist. The ones
plotted on 1/09 are calculated using 1/08 HLC as do the "floor trader
pivots". The ones displayed on 1/10 are calculated on 1/09 data as it
changes. For example for the main pivot, the yellow dots for 1/09 you use
(H[1]+L[1]+C[1])/3. But for 1/10 when the date is 1/09 you use
(HighD(0)+LowD(0)+CloseD(0))/3 and make them plot in the bars to right area
not in the 1/09 data space.
2.
I use a call to put ratio for the dollar weighted ratio so it is overbought
when price is overbought and oversold when price is oversold. The
difficulty is in getting the data to put in the ratio. It is not directly
available to TS2000 via dtn. They are available from quote.com as Earl
demonstrated. The dollar option data on the dtn feed is a Statistic symbol
so the value is in the Total field instead of the Last field so the data has
to go through some kind of symbol data formatter like MetaServer or
Dynastore(maybe) to move the data from the Total field to the Last field
where TS will pick it up. This is also true for the NDX up,down,total,unch
volume. It would be very considerate if DTN would honor the requests to
move at least the NDX volume data to the Last field. Its my belief that the
NDX volume has significance in its own right and in relation to the Nasdaq
volume, but this is another matter. Back to the option ratio. The equation
is very simple and is just a ratio of (total dollar value of calls)/(total d
ollar value of calls plus total dollar value of puts). The symbols on the
dtn sat feed are:
data2 = @DCA AMEX
data3 = @DCC CBOE
data4 = @DCP PSE
data5 = @DCX PHLX
data6 = @DPA
data7 = @DPC
data8 = @DPP
data9 = @DPX
The CBOE dominates the ratio and could probably be used by itself resulting
in similar timing. When all the data is used(except for the ISE since dtn
hasn't seen fit yet to consolidate the data and make a symbol for it) the
code looks like this:
value1 = (c of data2+c of data3 + c of data4 + c of data5);
value2 = (c of data2+c of data3 + c of data4 + c of data5 + c of data6 + c
of data7 + c of data8 + c of data9);
if value2<>0 then
value3 = value1/value2;
plot1(value3,"$CPratio");
plot2(0.75,"OB");
plot3(0.25,"OS");
I am getting the data off the dtn sat feed via Chameleon feeding MetaServer
feeding TS2k which has drawbacks and limitations. I don't know if
Metaserver ever made an ethernet product for dtn sat/TS2k. When I was using
Ensign a few years ago the data was available via their custom symbol
capability. Another alternative might be if the dynastore/dtn/ts2k product
can reassign the Total to the Last field, if so that would be a good way to
get the statistics data into TS2k. Also those using qfeed or qcharts as
Earl did have access to the data. I don't know what those symbols would be.
hope that helps,
bobr
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