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[User Discussion] - Trade Intensity/Pace of Tape indicator for SierraChart?

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[2013-04-05 16:49:11] #1 [Go To First Post]
pe1111112 - Posts: 35
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

[2013-04-05 18:10:11] #2 [Go To First Post]
Sawtooth - Posts: 3980
Take a look at this: http://www.bigmiketrading.com/sierra-chart-programming/22945-speed-tape.html

[2013-04-05 18:26:31] #3 [Go To First Post]
pe1111112 - Posts: 35
Hmm, interesting. I was trying to do it with the "bar time duration" and tick charts. Unfortunately, the smallest time value SC seems to be able to process is 0.0000115740695036948 which it represents as 1.15741E-05. That is not decimals of a second, but is just part of how SC displays time in the worksheets. The goal was to use a fast tick chart and display the time per bar, as bars appearing faster = more trades = lower time per bar, and then modify that data in a worksheet to display when the time per tick bar was under a certain level. However, the lowest value possible is the number I mentioned above, and any bars that take less time than that show a time of 0. Because of this I was unable to get the necessary sensitivity (ie. all the values that exist between 0.0000115740695036948 and 0), and in order to not get a ton of false signals, a higher tick chart value must be used, and the higher the tick chart value used, the less accurate the signal (eg. a 30 tick chart will be better than a 200 tick chart, but there are already a lot of false signals on the 200 tick chart). I'd post example charts but I can't figure out how to post images here. Question for SierraChart staff: what unit of time does a value of 1.15741E-05 represent in the spreadsheets? Is that one second?

[2013-04-05 19:50:51] #4 [Go To First Post]
pe1111112 - Posts: 35
Here's the best I could come up with. The speed seems to be limited to the value I mentioned above which means below a certain bar threshold you'll get more signals than you want since SierraChart isn't able to calculate units of time less than what I believe is one second (represented by 0.0000115740695036948 in the spreadsheets). You can see the attached 250 tick chart starts to show too many signals, and any faster chart (meaning less than 250 ticks) is going to show even more unless we can use a lower value than 1 second.


pace of tape 500 tick es.gif / V - Attached On 2013-04-05 19:49:51 UTC - Size: 31.21 KB - 3890 views pace of tape 2000 volume es.gif / V - Attached On 2013-04-05 19:49:56 UTC - Size: 30.68 KB - 3084 views pace of tape 250 tick es.gif / V - Attached On 2013-04-05 19:50:00 UTC - Size: 29.55 KB - 2590 views

[2013-04-05 21:11:32] #5 [Go To First Post]
Sawtooth - Posts: 3980
In Excel time format, one second equals 1/86400 because there are 86400 seconds in 24 hours. 1/86400 = 1.157407E-05

[2013-04-07 03:56:09] #6 [Go To First Post]
pe1111112 - Posts: 35
Ok that makes sense then. In that case, the indicator I posted is as accurate as it can get. I believe the original one was able to look at smaller than one second at a time.

[2013-04-07 04:22:51] #7 [Go To First Post]
ganz - Posts: 1048
hi this is "Trades per Second" study. also we are waiting for the subsecond DB by SC Team in the nearest future gd lck [img=s23.postimg.org/v90nexca3/7073975.png][/img] Date Time Of Last Edit: 2013-04-07 04:24:34


sot.dll - Attached On 2013-04-07 04:22:43 UTC - Size: 66 KB - 1311 views 7073975.png / V - Attached On 2013-04-07 04:24:20 UTC - Size: 98.11 KB - 3595 views

[2013-04-07 04:57:22] #8 [Go To First Post]
M5amhan - Posts: 468
When I used to track the number of trades going through I would use a 10 second chart with "number of trades" study and time and sales with different filters for different markets .. it sounds like you are trying to get more complicated than this though. Just throwing that out there

[2013-04-07 05:01:47] #9 [Go To First Post]
M5amhan - Posts: 468
I would also use "color bar based on alert condition" to differenciate when trading was slow, fast, or very fast Date Time Of Last Edit: 2013-04-07 05:01:59

[2013-04-07 06:20:09] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
0.0000115740695036948 is equivalent to 1 second. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2013-04-07 16:19:15] #11 [Go To First Post]
pe1111112 - Posts: 35
hi this is "Trades per Second" study. also we are waiting for the subsecond DB by SC Team in the nearest future gd lck s23.postimg.org/v90nexca3/7073975.png Where/how do I install that .dll file? I'm new to Sierra Chart. Thanks.

[2013-04-07 16:26:36] #12 [Go To First Post]
Sawtooth - Posts: 3980
Put it in your Sierra Chart \Data folder, then click on Analysis >> Studies >> Add Custom Study...

[2013-04-07 19:26:59] #13 [Go To First Post]
pe1111112 - Posts: 35
Cool, thanks. What exactly is that "speed of tape" study measuring? I noticed the histogram is almost exactly the same as the volume histogram on a 5 min chart. edit - it seems if the time on a bar is 0 seconds, the speed of tape indicator returns a value of zero, too. This value should be a spike instead since it means the orders were coming so fast that the bar took less than 1 second to form. Date Time Of Last Edit: 2013-04-07 19:46:59


5 min es march 12 2013.gif / V - Attached On 2013-04-07 19:26:55 UTC - Size: 20.7 KB - 2615 views

[2013-04-07 19:59:27] #14 [Go To First Post]
Sawtooth - Posts: 3980
My suggestion at the link in post#2 was only an attempt to emulate the pic of the original poster. It only measures the # of trades per bar, then applies an MA to it to create a threshold for an alert/color. Admittedly, it's not very sophisticated. There is a close (but not exact) correlation between volume and # of trades, so histograms of each will look similar.

[2013-04-08 00:49:33] #15 [Go To First Post]
ganz - Posts: 1048
hi tomgilb, Tom, thanks a lot for the assistance pe1111112 What exactly is that "speed of tape" study measuring? SoT = NumbersOfTrades / Bar Time Duration it seems if the time on a bar is 0 seconds, the speed of tape indicator returns a value of zero, too. This value should be a spike instead since it means the orders were coming so fast that the bar took less than 1 second to form. it uses DB w time stamps as low as 1 second i'm sorry but i don't understand how you are able to create a bar w 0 seconds resolution - using SC it will be always w 1 second or more by design at this moment, imho ps: try to use non-time based bar charts w it gd lck Date Time Of Last Edit: 2013-04-08 01:09:03

[2013-04-08 01:27:59] #16 [Go To First Post]
pe1111112 - Posts: 35
it uses DB w time stamps as low as 1 second i'm sorry but i don't understand how you are able to create a bar w 0 seconds resolution - using SC it will be always w 1 second or more by design at this moment, imho When two bars print so quickly that the time between them registers as 0 seconds (ie. they have the same timestamp down to the second).

[2013-04-08 01:54:03] #17 [Go To First Post]
ganz - Posts: 1048
pe1111112, there was the discussion about it http://www.sierrachart.com/supportboard/showthread.php?t=39831 there are no chances to divide some ticks w the same timestamp right now

[2013-04-10 17:22:53] #18 [Go To First Post]
pe1111112 - Posts: 35
I've attached an image showing the problem with the Pace of Tape indicator. Pace of Tape shows taller bars for faster candles. This works correctly unless the time of a candle is 0 in which case Pace of Tape shows no bar when it should actually be showing the tallest bar possible.


pace of tape vs bar time duration.gif / V - Attached On 2013-04-10 17:22:26 UTC - Size: 40.36 KB - 3531 views

[2013-04-11 05:01:30] #19 [Go To First Post]
ganz - Posts: 1048
hi Bar Time Duration = Last Time of a Current Bar - Last Time of a Previous Bar I've got no an idea to segregate bars/ticks w the same /1sec/ time stamp as was mentioned above The time differential of these bars will be always zero and SoT will paint it as zero. So the study has just a kind of indication of the situation. gd lck

[2013-04-12 07:24:26] #20 [Go To First Post]
crazybears - Posts: 314
Hi Pe1111112 :) would you try to measure the velocity at which a bar is formed regerdlless the number of trades of each bar or also you want calculate the # of trades ? I think first post here : http://www.traderslaboratory.com/forums/technical-analysis/5277-trade-intensity.html measure something like the # of trade or bid and ask volume and a moving average.

[2013-04-12 07:46:05] #21 [Go To First Post]
Marmany - Posts: 303
Spent time on another platform looking into high speed trading. Based in UK with highest speed broadband available it was taking 200 msec to receive CME data from Chicago. If you plan to follow these trades and act on them then it is necessary to have your software hosted on a cpu in the exchange. My solution was to place stop market entries directly on exchange (via TransAct). This either gets you ahead of the HS traders or you simply pull the order if they fail to strike.

[2013-04-13 14:22:14] #22 [Go To First Post]
T44 - Posts: 363
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. These spikes often signal reversals. A lot of assumptions being made here. -that these trades represent "entries" (new positions not closing out existing positions) -that these trades are directional (not a hedge, an arb against an ETF or basket, a basis trade etc) -that you can quantify a "big trade" accurately - a "big trade" is one which creates enough market impact to make it "tradeable" (the amount of size which will halt a market differs according to the market, time of day, condition in force, and other factors which you do not mention and probably cannot calculate) -that these "big traders" transacting at a point of high liquidity to complete some of their business in a certain price/time spread are going to continue to influence price in the direction they have traded, enough for you to profit from The biggest and most obvious examples you are missing is the time slicing of orders and partial covering of large positions. Both of these may trade aggressively at a point of high liquidity where X contracts can be filled quickly and in a tight spread, but neither indicates the market will move up (down) after these buy (sell) orders are filled. If you're off down the wrong path, spending the time to create an indicator (graphical representation of a condition) is a waste of time if you have not proved to your satisfaction that a certain outcome is more likely to occur after this condition is shown. Prove that the assumptions underlying the theory are valid before deploying resources to make a computer implementation, be it a Sierra study or an execution algorithm to be colocated at the exchange.

[2013-04-14 05:41:12] #23 [Go To First Post]
joshtrader - Posts: 439
The assumptions given above cannot be proven or disproven for a general case, so that alone would be a waste of time. If the original poster can get a graphical representation of what he wants to see, this itself can be used to prove whether a certain outcome is more likely to occur, which is what you recommend. In other words, he can't very well do research easily on this until he has a tool which can give him the data, which is what this can be used for. I agree that we cannot assume the above, and perhaps the original poster has, which would be a mistake, but whether the assumptions hold or not is irrelevant; what is relevant is to find something that can yield an edge.

[2013-04-14 06:06:52] #24 [Go To First Post]
crazybears - Posts: 314
Hi What does Pace of Tape measure?

[2013-04-14 08:35:32] #25 [Go To First Post]
T44 - Posts: 363
Joshtrader, surely if the assumptions cannot be or are not proven then it is dangerous to continue a theory through the point of allocating capital without testing these assumptions, and if the assumptions are not testable.... Perhaps having a graphical representation would be of assistance not to prove the theory but to quickly falsify it so the aspiring trader can move on to investigating areas which may be more productive. I've looked quickly at the bigmike, traderslab, and trade2win threads about this indicator and the screenshots provided there should be enough to "falsify" the hypothesis that this technique in isolation is of any assistance whatsoever in picking reversals. The great thing about programs such as Sierra and the support provided on this board is that it allows non-technical/non-programmer people to express themselves in ways which would not otherwise be possible. The potential downside of this is that there are so many theories and ideas put forward that a lifetime could be wasted testing each in turn to see if it contains the holy grail, at the cost of neglecting more productive approaches. It is for the individual to discern what is relevant and those who can do this will be richly rewarded. The marketplace is competitive and therefore there are significant barriers both to discovering a successful strategy and to implementing it in size. If this study alone did provide an edge, too many people would discover or copy the strategy and hammer out the edge. Trying to use the same pace of trade / tick volume indicator as a mass of other people is almost guaranteed to remove any edge there may have been. So if anyone here does design the "magic indicator" it would be wise to trade it up to the liquidity limits of the instrument and timeline being used (for as long as the opportunity lasts) and not to share it on the Internet. Of course human nature being as it is, people will continue to try to systemize in ways which are unlikely to work, and further argue that they want this indicator not because they can prove it to work but because it somehow 'supports' or 'gives confluence to' their other (untested, unproven) entry criteria. All one can do is suggest some questions and try to point in an alternative direction, but the human condition being as it is few will find a path to consistent success in trading. This is how it has to be. To bring this thread back to a slightly more relevant point: surely how the exchange matches and reports trade volumes is going to be a significant input in deciding which instruments this study will be of any use on. For example, some years ago the CME changed how their time and sales feed was composed. Previously, the size of the aggressor order was reported, and currently the price and size of all trades are reported. So in the prior case, by intent of the aggressor order, a market order sell 50 in ES would have reported a single entry of 50 lots in the time and sales, whereas now what will be reported is the contracts at best bid who filled the 50, which can be either a single bid of 50, 50 bids of 1, or anything in between. This is an issue affecting anyone who previously used tick based charting in that instrument. So this proposed study will show different results depending on how the exchange reports time and sales data. Is the OP and others who use the strategy aware of these concepts and how it would affect their results? There is no easy money in this business, and if there is you're getting paid short odds.

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