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Direct MessagesDate/Time: Tue, 16 Apr 2024 17:58:32 +0000
Post From: Trade Intensity/Pace of Tape indicator for SierraChart?
| [2013-04-05 16:49:11] |
| pe1111112 - Posts: 35 |
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There have been some long threads about this indicator on other forums so I will try to keep this short. Basically this is an indicator that measures the speed at which orders are filled. Here's a description from the original thread about this indicator (link at bottom). In most markets and certainly in the equity index futures markets there is a small set of very big traders whose entries into the market often have an immediate and very tradeable impact on price.
These traders go to great lengths to disquise their trade - they have automated routines to send a series of small transactions to the market at intervals close to 1000th of a second. Because many of these traders operate from price based models they must get their execution within a very narrow price/time range which means they must execute as much of the volume they want as fast as they can while price is in that range. This results in a huge spike in what we call the intensity of trade. See the bottom study on this image: [img]http://www.tradepointtechnologies.com/postpics/tradeintensity2.jpg[/img] Note the time at the bottom. That entire chart is for about one minute of data. These spikes often signal reversals: [img]http://www.tradepointtechnologies.com/postpics/tradeintensity1.jpg[/img] Something similar called "Pace of Tape" is available for NinjaTrader. The code can be found on this page and is pretty short: http://www.tradewiththeflow.com/2010/05/17/pace-of-tape-indicator/ Here is the a thread about it: http://www.traderslaboratory.com/forums/technical-analysis/5277-trade-intensity.html A thread about the NT version called "Pace of Tape": http://www.trade2win.com/boards/technical-analysis/94424-pace-tape-measure-trade-intensity-detect-reversals.html Is this indicator possible to code for SierraChart? Is the NT code posted on that site helpful? edit - how does one post images on this forum? I tried [img] tags but it didn't work. [/img] Date Time Of Last Edit: 2013-04-05 16:49:41
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