Monday, February 11, 2019
New Backtesting & Graybox Blog
I no longer regularly update this blog. However, I have a new blog dedicated to building trading systems and graybox trading (technologies to support discretionary trading). If you are interested in developing futures trading or graybox trading then be sure to click here to check out Beyond Backtesting.
Wednesday, June 5, 2013
Best Tape Reading Tool
In the posts below, you'll find some free and pretty nice ThinkOrSwim scripting code. ThinkOrSwim is a fine platform. But, I wanted to introduce you to an incredibly powerful trading tool that we've built especially for futures traders.
If you've ever used ThinkOrSwim's "Time & Sales" for reading the tape then you're going to be absolutely blown away by what we've did.
If you're a tape reader you've probably experienced that the data scrolls too fast in today's electronics markets to get a good read on. OrderFlowDashPro's AlphaReveal advance tape reading and order flow analysis program changes all that! We process the tape in very intelligent ways which now makes it easier then ever to read the tape. To put it bluntly, if you're attempting to "read the tape" using traditional Time&Sales tool then you're at a significant, significant disadvantage compared to the extreme power and facility that AlphaReveal provides!
If you're a tape reader you've probably experienced that the data scrolls too fast in today's electronics markets to get a good read on. OrderFlowDashPro's AlphaReveal advance tape reading and order flow analysis program changes all that! We process the tape in very intelligent ways which now makes it easier then ever to read the tape. To put it bluntly, if you're attempting to "read the tape" using traditional Time&Sales tool then you're at a significant, significant disadvantage compared to the extreme power and facility that AlphaReveal provides!
I know if you're a tape reader or even interested in trading futures you'll want to learn more. We have videos, feature descriptions, tape reading blog, and more to help you learn all about our platform at our official site. Even better, we offer an absolutely free 14 day trial!
Click here to go to OrderFlowDashPro's official site where you can get all the details and sign up for your free trial. Thanks!
Click here to go to OrderFlowDashPro's official site where you can get all the details and sign up for your free trial. Thanks!
Wednesday, March 11, 2009
Tick Behind Price Indicator
This is my tick behind price indicator that was inspired by Steenbarger's 2006 tick behind price display from tradestation.
Here was the original screen that inspired me:
Steenbarger's 2006 trade screen
Here are some examples of my indicator in ThinkOrSwim:
The most minimal example, probably the best according to my indicator design ideas.
Similar but with the tick plotted as candles using comparison in lower study. The lower study is somewhat redundant.
Below the graph on dark yellow background.
Behind price, with levels, all plots.
What The Indicator Displays:
Briefly, the indicator displays the TICK symbol behind the price. The indicator, also, plots a point when TICK is >= 1000 or <= -1000. These max/min values can be configured. The indicator can be configured to plot the high or low. I plot only the high on my chart behind price, this is just for direction -- either high, low, or close would work. The dots tell me when tick is at extremes. Finally, these maximum and minimum lines can be plotted.
For more information on trading the tick, please see Steenbarger's blog.
Configuring The Indicator For On Base Graph:
1. Add indicator to chart
2. Set "on base graph"
3. Set fit studies to screen ON
4. Set colors, dot sizes, etc.
Configuring The Indicator For Below Graph:
1. Add indicator
2. Turn on the hidden plots
3. Set colors, dot sizes, etc.
Variables Definitions:
tMax = The maximum plot line. Dots plotted for all tick values >= value
tMin = The minimum plot line. Dots plotted for all tick values <= value
tickMax = Max plot, horizontal line
tickMin = Min plot, horizontal line
tickHighP = Plot of high values of tick, line plot
tickLowP = Plot of Low values of tick, line plot
tickHighPoints = Plot points for high tick values
tickLowPoints = Plot points for low tick values
Adding the Indicator:
Go to edit studies, new study, and copy/paste the code.
The Code For Indicator:
# TICK Behind Price
# By. Curtis
# http://tosindicators.blogspot.com/
# *******************************************************
# Thanks to:
# Dr. Steenbarger for idea &
# thinkscripter.wordpress.com for great example scripts
# traderfeed.blogspot.com for highest quality information
# *******************************************************
#TICK behind price
declare lower;
input tMax = 1000;
input tMin = -1000;
plot tickMax = 1000;
plot tickLow = -1000;
tickMax.SetDefaultColor(color.green);
tickLow.SetDefaultColor(color.red);
plot tickHighP = high("$TICK");
plot tickLowP = low("$TICK");
plot tickHighPoints = if tickHighP >= tickMax then tickHighP else double.nan;
plot tickLowPoints = if tickLowP <= tickLow then tickLowP else double.nan;
tickHighPoints.SetPaintingStrategy(paintingStrategy.Points);
tickHighPoints.SetDefaultColor(color.green);
tickHighPoints.SetLineWeight(3);
tickLowPoints.SetPaintingStrategy(paintingStrategy.Points);
tickLowPoints.SetDefaultColor(color.red);
tickLowPoints.SetLineWeight(3);
tickLowP.hide();
tickMax.hide();
tickLow.hide();
Here was the original screen that inspired me:
Steenbarger's 2006 trade screen
Here are some examples of my indicator in ThinkOrSwim:
The most minimal example, probably the best according to my indicator design ideas.
Similar but with the tick plotted as candles using comparison in lower study. The lower study is somewhat redundant.
Below the graph on dark yellow background.
Behind price, with levels, all plots.What The Indicator Displays:
Briefly, the indicator displays the TICK symbol behind the price. The indicator, also, plots a point when TICK is >= 1000 or <= -1000. These max/min values can be configured. The indicator can be configured to plot the high or low. I plot only the high on my chart behind price, this is just for direction -- either high, low, or close would work. The dots tell me when tick is at extremes. Finally, these maximum and minimum lines can be plotted.
For more information on trading the tick, please see Steenbarger's blog.
Configuring The Indicator For On Base Graph:
1. Add indicator to chart
2. Set "on base graph"
3. Set fit studies to screen ON
4. Set colors, dot sizes, etc.
Configuring The Indicator For Below Graph:
1. Add indicator
2. Turn on the hidden plots
3. Set colors, dot sizes, etc.
Variables Definitions:
tMax = The maximum plot line. Dots plotted for all tick values >= value
tMin = The minimum plot line. Dots plotted for all tick values <= value
tickMax = Max plot, horizontal line
tickMin = Min plot, horizontal line
tickHighP = Plot of high values of tick, line plot
tickLowP = Plot of Low values of tick, line plot
tickHighPoints = Plot points for high tick values
tickLowPoints = Plot points for low tick values
Adding the Indicator:
Go to edit studies, new study, and copy/paste the code.
The Code For Indicator:
# TICK Behind Price
# By. Curtis
# http://tosindicators.blogspot.com/
# *******************************************************
# Thanks to:
# Dr. Steenbarger for idea &
# thinkscripter.wordpress.com for great example scripts
# traderfeed.blogspot.com for highest quality information
# *******************************************************
#TICK behind price
declare lower;
input tMax = 1000;
input tMin = -1000;
plot tickMax = 1000;
plot tickLow = -1000;
tickMax.SetDefaultColor(color.green);
tickLow.SetDefaultColor(color.red);
plot tickHighP = high("$TICK");
plot tickLowP = low("$TICK");
plot tickHighPoints = if tickHighP >= tickMax then tickHighP else double.nan;
plot tickLowPoints = if tickLowP <= tickLow then tickLowP else double.nan;
tickHighPoints.SetPaintingStrategy(paintingStrategy.Points);
tickHighPoints.SetDefaultColor(color.green);
tickHighPoints.SetLineWeight(3);
tickLowPoints.SetPaintingStrategy(paintingStrategy.Points);
tickLowPoints.SetDefaultColor(color.red);
tickLowPoints.SetLineWeight(3);
tickLowP.hide();
tickMax.hide();
tickLow.hide();
Indicator Design Thoughts
High quality indicators should have the highest signal to noise ratio without sacrificing fidelity. Great indicators will present the simplest and easiest to read signal that require the minimum time to process. Ideal formats for indicators would be simple case words such as [Trend, Range] or [Up, Down]. Some ideal indicator formats that are not in common use would be text with sound alerts, a numerical probability, or very simple graphs where all information is on screen and present.
Poor indicators will be redundant, overly complex, unclear, and excessive. Unfortunately, most indicators are poor and require expert level reading skills when the information is actually stupendously simple. Notorious are the indicators that display multiple lines that cross under or over because such signals are very easy to misinterpret and that would be especially true in high stress situations such as trading. Graphic indicators do have the advantage of displaying the past in a condensed form but trading is, also, about the present and the future and that is where indicator re-design could be very useful. I imagine indicator designers could get some inspiration from fighter jet heads-up-dispalys.
For great insight into indicators..
* Read Gary Smith's "How I Trade For A Living". He basically explains all the reasons popular indicators are useless or will become useless in the future.
* Steenbarger explains the value in simple trading screen
* Miller's take on indicators
Poor indicators will be redundant, overly complex, unclear, and excessive. Unfortunately, most indicators are poor and require expert level reading skills when the information is actually stupendously simple. Notorious are the indicators that display multiple lines that cross under or over because such signals are very easy to misinterpret and that would be especially true in high stress situations such as trading. Graphic indicators do have the advantage of displaying the past in a condensed form but trading is, also, about the present and the future and that is where indicator re-design could be very useful. I imagine indicator designers could get some inspiration from fighter jet heads-up-dispalys.
For great insight into indicators..
* Read Gary Smith's "How I Trade For A Living". He basically explains all the reasons popular indicators are useless or will become useless in the future.
* Steenbarger explains the value in simple trading screen
* Miller's take on indicators
About this Blog
I created this blog several years ago dedicated to ThinkOrSwim programming and indicator design. ThinkOrSwim is a fine platform for many tasks. However, my more recent work for OrderFlowDashPro required extreme programming, low level API, and customization which lead us to NinjaTrader -- which can be used for free! Visit our site to learn more!
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