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Andrew/ Dusant,
<span
>from<font
size=2 color=navy face=Arial> a layman’s point of view it seems pretty simple. If the data
provider gives out every trade as a price and volume at a time, than all that
needs to be done is to flag each trade as a hit on a bid or offer. Then cumulating
them becomes a simple matter. The rest follows. Catching Block trades is just a
simple matter of running a filter which flags trades with tick volume greater
than whatever limit u set. I use a proprietary live feed…which is net
based….but they provide data only for the Indian markets …so I wonder
if you would be interested. Dusant<span
class=GramE> ?
Regards,<font
color=navy>
Vignesh Eswar<font
color=navy>
Trade Well. Trade Wise.
<span
>-----Original Message-----
From: Andrew Tomlinson
[mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent<span
>: Thursday, July 01, 2004 9:25 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock
Group] Question on color coding price & volumn
<span
>
<span
>Sounds great Vignesh. I guess the question is, whether
the data provider can<span
>
distinguish bids and offers from end customers vs.
market makers and can
include block trades. What data have you
used and are you satisfied on
these points?
Andrew
-----Original Message-----
From: Dusant [mailto:dusant@xxxxxxxxxxxxxxxxxx]
Sent: Wednesday, June 30, 2004 11:10 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Question on
color coding price & volumn
Great idea, Vignesh.
Provided the data vendor supports the bid/ask/volume
data. Dusant Chief
Architect http://www.candlestrength.com/
----- Original
Message -----
From: Vignesh Eswar
<mailto:vignesh@xxxxxxxxxxxxxxx>
To:
equismetastock@xxxxxxxxxxxxxxx
Sent: Wednesday,
June 30, 2004 4:53 PM
Subject: RE:
[EquisMetaStock Group] Question on color coding price &
volumn
Mr. Tomlinson /
superfragilistic,
There is one
logical way to separate the buying volume from the
selling volume. We assume that if the offer
is taken then it constitutes a
buy and if the bid is given then it constitutes a
sell. There is a counter
running that cumulates the volumes on the bid and
on the offer. One usually
gets a very good indication of what the dominant
pressure is and where there
is a pressure shift by plotting the difference of
these two running totals.
This is also great for picking up accumulation and
distribution days when a
divergence occurs. Price goes up on net negative
volume (volume at bids are
greater) on a distribution day and vice versa.
Obviously this works only on
intraday data with tick volume. My two bits for
what its worth. Hope it
helps.
Best Regards,
Vignesh Eswar
-----Original
Message-----
From: Andrew
Tomlinson [mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent: Thursday,
June 17, 2004 1:57 AM
To:
equismetastock@xxxxxxxxxxxxxxx
Subject: RE:
[EquisMetaStock Group] Question on color coding price &
volumn
Superfragalist
No offense taken,
particularly as I have only just understood the
point you
are trying to make
(my slowness, not yours). Actually I'm still a
little
confused - as there
is a buyer and a seller to every trade, how can
you
separate out the
volume associated with buys from that associated
with
sells? The only
thing close that I can think of are the indicators
that try
to allocate volume
according to the nature of the price move, like
Chaiken
Money Flow, or
which track the size of trades on up or down ticks,
like
Birinyi's Money
Flow Index, so as to try to take a guess at
separating
customer from
dealer volume. What am I missing?
Andrew
-----Original
Message-----
From:
superfragalist [mailto:no_reply@xxxxxxxxxxxxxxx]
Sent: Wednesday,
June 16, 2004 12:04 PM
To:
equismetastock@xxxxxxxxxxxxxxx
Subject: Re:
[EquisMetaStock Group] Question on color coding price &
volumn
Andrew
I don't mean to be
obstinate. I understand from your post you're
using this as a
visual aid. However, it's a misleading visual aid
that most of the
newbie's aren't going to understand. They are going
to think that they
are looking at a volume bar that is totally made
up of the volume
that was up or down. The formula is passed around
without an
explanation as if it's a way around something that should
have been done in
MS to begin with.
You may be able to
keep the meaning of this visual aid straight in
your mind, but most
people can't. They see those red bars and those
green bars and they
think down or up, not total volume with some of
the volume up and some
down.
The only volume
that is given in MS is total volume. That needs to
be
made clear to
newbie's. There's no way around using total volume and
total volume is not
up or down volume, it is both added together.
In the example I
gave regarding the NYSE, you'll find many days
where
the up volume is
higher than the down volume but the price of a
tracking stock like
the SPY (closet thing we have to a tracking
stock- -you
could use the
index) still declined.
There are services
that provide up and down volume for each symbol,
but you have to use
an additional program running with MS, which
means you can't
incorporate the numbers into MS for analysis, unless
you export them to
excel and import then into MS daily.
--- In
equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> Guys
>
> As I
understood the enquiry, and as I use this color-coded volume
indicator,
> the intent is
simply to provide an easier visual appreciation of
whether the
> periodic price
movement is supported by volume. In particular, was
a
> particular day
an accumulation day (higher price on heavier
volume)
or a
> distribution
day (lower price on heavier volume). This is how
Investor's
> Business Daily
presents its charts in the newspaper and on its
website, for
> example.
>
> No new
information is provided. It's just a visual aid. The height
of the
> histogram bars
still give you periodic volume. We're just coloring
the bars
> to include
some price information.
>
> I use the following
for a distribution day:
>
>
If(C<Ref(C,-1) AND V>Ref(V,-1),V,0), which I color as a thicker
red
> histogram bar.
>
> You could make
it more discriminating by referring to average
volume rather
> than yesterday's
figure. Also if you want to do this for the
indices
> (NASDAQ,
S&P500) you have to use the security function for the
price
> reference, or
use the appropriate ETF as a proxy.
>
> Andrew
>
> -----Original
Message-----
> From:
praktikus_ms [mailto:praktikus@xxxx]
> Sent:
Wednesday, June 16, 2004 4:20 AM
> To:
equismetastock@xxxxxxxxxxxxxxx
> Subject: Re:
[EquisMetaStock Group] Question on color coding price
& volumn
>
>
> Andrew,
>
> If you look at
up and down days (what is related to prices) and
you
> are coloring
volumebars according to this up and down days, the
> source of the
colored bars is related to the price action and not
to
> the volume. If
our data supliers would provide more than just
plain
> volume,
perhaps something like volume ticking up/down we would
have
> another source
for color coding by volume. By now coloring volume
not
> related to
price action is limited to comparing it to the volume
info
> as a whole.
>
> Martin
>
>
>
> --- In
equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
>
<andrew_tomlinson@xxxx> wrote:
> >
"That formula is simply price dependent volume which means if
the
> > price
goes up that bar, it is assumed the volume must be
positive.
> > That
relationship is ify at best. So all your getting is your
price
> > line (c)
repeated in colored bars."
> >
> > Actually,
no. The formula gives you a volume histogram, colored
> according to
> > whether
the price is up or down. It gives you volume, not price.
>
>
>
>
>
>
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