Big Traders Volume tracking ? Size filtering ?

[kapatsos1968]

Hi there guys,

I am thinking since there are so many volume indicators out there, like kllinger , Delta etc, how would we be able to make it possible to set the size of trade above which the volume WILL be taken in account, for instance trades AT the bid or ask greater than 100 contracts, as to track what the big volume traders as institutions, elephants and really sharp traders are doing

Even Market Delta that does just that ,it is running from the moment we start it live but if it was say in an oscillator form it would take maybe 7 or 10 or 14 bars and then it would be able to be used as proper direction indicator or confirming for that matter , that the big traders are really WITH the move or are just covering their positions, even better if it plots thicker as the big guys are participating adding oil to the fire or just covering in which case it would plot thinner

Just my ideas, i am brainstorming basically, as i am crap at programming but i use every day visually for years the volume and the trade flow and thats how i trade .

Take care all,

you are a great Group guys

Kapatsos

[RJay]

Kapatsos,

I was thinking the same thing. So I built something to monitor trades over a certain amount.

I've been watching it for three days now.

I was hoping to see a successful trading pattern and trade with them.

No such luck.

I've concluded that although they have bigger clout, they are not infallable. they screw up too.

One trader sells 5000 emini's, seconds later another buys 6000 emini's.

They can't both be right. One is covering becouse they just screwed up.

Some traders trading 100 to 300 emini's are scalping a couple of ticks per trade. This results in those temporary jags that kill your trades.

The most interesting thing I've seen so far is how the really big traders slip in and out of the market without changing the price more than a tick.

If big traders are making a series of small and medium purchases to build a position, they are able to stay under the radar.



2/26/2009 2:01:46 PM Traded = 432 SOLD Sold at 765 : Seller Ask 765 : Buyer Bid 764.75
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2/26/2009 2:06:06 PM Traded = 410 Sold at 765 : Seller Ask 765.25: Buyer Bid 765
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2/26/2009 2:06:52 PM Traded = 487 Sold at 763.75 : Seller Ask 764: Buyer Bid 763.75
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2/26/2009 2:07:09 PM Traded = 500 SOLD Sold at 763 : Seller Ask 763 : Buyer Bid 762.75
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2/26/2009 2:12:37 PM Traded = 425 Sold at 764.75 : Seller Ask 765.25: Buyer Bid 764.75
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2/26/2009 2:12:37 PM Traded = 568 Sold at 765 : Seller Ask 765.25: Buyer Bid 765
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2/26/2009 2:30:12 PM Traded = 496 SOLD Sold at 765 : Seller Ask 765 : Buyer Bid 764.75
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2/26/2009 2:40:44 PM Traded = 455 Sold at 762.5 : Seller Ask 762.75: Buyer Bid 762.5
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2/26/2009 2:41:40 PM Traded = 500 Sold at 761.5 : Seller Ask 761.75: Buyer Bid 761.5
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2/26/2009 2:47:09 PM Traded = 500 SOLD Sold at 761.75 : Seller Ask 761.75 : Buyer Bid 761.5
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2/26/2009 2:47:35 PM Traded = 694 Sold at 761 : Seller Ask 761.25: Buyer Bid 761
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Interesting but no Grail here.

RJay

[eDanny]

I think Kapatsos1968 is trying to find something like the EOT Pro Volume Splitter, which would be handy to have. RJay is your indicator plotting a chart or what?

[RJay]

I think Kapatsos1968 is trying to find something like the EOT Pro Volume Splitter, which would be handy to have. RJay is your indicator plotting a chart or what?

Mine is very basic. It only works on only a couple of charts.

[asja.aa]

I don't know if selecting out the order size would help to filter out when the big money is at work. I read about something, that big companies do often split their order in several small consecutive orders, so that the size makes them not allways visble. Maybe an indicator or something similar could help (I read about): calculating the median of the volume and the median of the price range (for exemple for futures the numeber of ticks/ points) every 15 - 20 minutes and observing the development for several weeks, would alowed you to find out what kind of volume and price range development is normal at specific moments of the trading day. Considering that the amount of contracts traded by locals could remain stable over the trading day and day by day, there after finding some numbers valid at days when you have only rangebound trading, you would find out the basic values and any bigger numbers "could" be made up by institutions. I don't know how to programm something like that.

[kapatsos1968]

Klinger filter of 100 is a good number for the ES from my experience

Hi again,

Well i have observed generally the movements and i am setting a size of 100 arbitrarily in a senses, but the idea is to be able to adjust according to the instrument of course.

Would it be possible to just get the standard Klinger Oscillator with an option of size filtering in it that would at least give us an idea.

I use it everyday, it would be brilliant if we could just say to it to calculate above so many contracts for instance and even better,

if it would weigh more the weight of the delta on the calculation,
so if the volume was > then the level it would be counted id it was Hitting the bid or the ask it would count as 30% more important as this would imply commitment from the professionals (Delta).

But even with a filter for the trading size it would be a good addition to the klinger oscillator.
IMHO

I would do it but i am worthless at programming.

Take care guys

Kapatsos

[ctrlbrk]

I just watched this video:

http://www.movethemarkets.com/blog/2009/04/19/tracking-the-dumb-money-pt-2/

It illustrates the 'dumb money' vs. the 'smart money', which is an indicator EOT developed to highlight people trading large number of contracts vs. small number of contracts.

The results were quite incredible. But hey it's marketing.

Still, I am trying to see if there has been development to this end here in the public forums. Anyone?

Mike

[RJay]

OK,

I just watched the video.

A few thoughts, Ready....

I will agree that it is simple to see when the big traders are trading.

Are they buying or selling? Which side of the trade are they on?

Are they opening a position, closing one, or reversing?

I want to know why the big traders are taking their trades.

Also, large traders must take the otherside of another large trader or a lot of small traders.

As far as timing a trade based on what I see here, there is way to much white on this chart for me as to when to get in and out of the market.

With that said, I believe it is a useful tool, and probably just a part of his system. And it does look nice.


Yes, I would love to successfully trade with the big money too.


RJay

[jcash]

volume at bid ask less than x

rt6176 makes some great points re the volume traded and what the actual result was for the buyer and seller after the trade.

one question i have re the video is the narrator explains that the "dumb money" indicator only updates in real-time, but the "smart money" indicator was plotting previous to the start of the "dumb money" indicator. so if the indicators are the same just filtering out trade size why is the "smart money" indicator plotting with historical data? never explained.

i have written a small indicator that filters trade size. the one attached filters for trades smaller than X amt. it could be adjusted for greater than X.
(i'm no programmer so any efficiency-tweek-ideas to the code would be appreciated)

just on a correlation basis the small lots follow price much better on TF. nothing like the video showed for ES.

[RJay]

jcash,

I'm getting a flat line with this indicator.

Could you use

file - export ninjascript to zip file and reupload file to this thread please.

Thanks,

RJay

[jcash]

i updated my previous post.

[eDanny]

Flat line here too.

[jcash]

new attached file works for me. it only works in real-time.

[RJay]

i updated my previous post.

Updated file is still flat.

What chart type are you using? What time frame?

[jcash]

chart

i usually use a 1 min TF chart, but it works on any chart.

i have attached a 5 sec ES chart with the indicator filtering trades below 6 (just to show the indicator on something that is trading right now).