Programmer/Developer Group Anyone ?

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mrtelly

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Registered: 03-2007

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Friday, September 07, 2007 - 05:08 pm:

Trading Developers Group

I'm a professional IT developer, specialising in Databases and data analysis. I'm in the process of using the ETrade DDE link to capture Tick By Tick and Depth Of Market to a SQL 2005 database. Question is - am I alone ?

I want to use the live Depth Of Market to look at buy/sell pressure - there are a few other products out there that do something similar ie the Nielsen Indicator. Looking at how the buyers/sellers are building up should give us a trade risk indicator. Similarly changes in the depth, can be used to alert to big market movements, or solid support - none of the stock screens can do that, as they can't access the Depth.

I'd envisage an online group, probably with a blog/code share kind of structure - DNN is my tool of choice on the web. I'm interested in sharing experiences and code, and maybe getting something together on SourceForge if we want to collaborate on projects. I'm based on Victoria's Surf Coast, so if anyone does want to meet for a coffee let me know.

Technically I'm a pure MS developer using C#/VBA/Sql Server but all are welcome whatever the platform. I'm also interested in the graphic abilities of Vista - using XAML to deliver live graphical updates to a desktop.

I've been trading for 6 years or so, and I trade a mix of blue chips and small stocks on a short term basis. Use CFD's occasionally to go short, or to buy into strength if I have no available capital.

captain_chaza

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Wednesday, September 12, 2007 - 06:03 pm:

Welcome aboard Sea-Cadet Mr Telly

I am not too sure whether you are on the right tack looking at the Market Depths?

This is a cut-throat professional sport/business and not all participants are shown in the Market depth

I call it the "Iceberg Phenomenon"

Can you work out how much of any Iceberg is hidden below sea-level?

Is it a constant or a variable?

The answer is probably
"NO" and "I don't know"

What you could possibly attempt that I feel would be worthwhile and achievable to a World's best practising computer genius is the

"VWAP Overlay Charts"

Salute and Gods' speed

PS: In Memory of my good mate SCO Duggsie

"While we stop and think, we often miss our opportunity." Publilius Syrus, 1st century B.C.

"I believe the future is only the past again, entered through another gate."
Sir Arthur Wing Pinero 1893

"There are two times in a man's life when he should not speculate: When he can't afford it, and when he can." Mark Twain, 1897

captain_chaza

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Wednesday, September 12, 2007 - 06:29 pm:

Ahoy Admiral Colin

Maybe you should move this thread out of the Traders Group Like me I think most people would prefer to avoid the Yahoos' Junk e-mails like the plague

Salute and Gods' speed

PS!
Am I correct in assuming we can only turn off the "Title Thread" and not ONLY a sometimes abominable "Sub-thread"???

mrtelly

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Wednesday, September 12, 2007 - 08:02 pm:

Aye Captain, if VWAP overlay is what you desire I guess Commander Robin would be the person to approach. I did offer my skills to Commander Colin, a while ago and it came to nowt.

As for IceBergs - maybe I can calculate what can't be seen, by using what can be seen. Every trade is available from the course of trades. Therefore I know when a trade has been entered that hasn't appeared in the depth. Knowing that the Cut Throats are active on a stock can then be used to lessen the 'weight' of the known buyers/sellers derived from the depth.

The result of much clever number crunching should be a probability of where a price will be in the next minute/hour/day. The raw data will be

Market Depth - sellers/buyers lining up
Course of Sales - number of sales, frequency, volume, VWAP, trades that hit the bid/ask (ie don't appear in the depth)
Historical volumes
Overall market direction
The history of 'excessive' price movement - see RHG today for some interesting extremes.

Does that answer your concerns ?

riskpirate

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Friday, September 14, 2007 - 11:41 pm:

capt. chaza.,,the yahoos trade frequently and while you may have a narrow focus theirs is broad. Admittedly you became a point of derision but some ic people sent emails of support to them.There is room for all points of view in the world and yours is one of many. kind regards. by the way you insulted them which is why the cartoons of you.

riskpirate

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Friday, September 14, 2007 - 11:59 pm:

moon, just reading nrk had a run of withdrawals over internet and at branches. Is it bad?

moldy

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Saturday, September 15, 2007 - 08:44 am:

Icebergs work

riskpirate

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Sunday, September 16, 2007 - 01:34 am:

sorry about the post on nrk, hit the wrong button.

sir_lance

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Sunday, September 30, 2007 - 01:32 pm:

Hi mrtelly

I have been meaning to post for some time. You are not alone. I am a software engineer who also tracks the market. I have my VB app which uses Sanford securities to record intraday data which I store in a Access MDB. Yes I realise its not SQL Sever, however it has been doing the job for me over the past 5 years. Mind you I have not really looked into the intrday data in depth with a system in mind.

I guess I am not looking to develop a charting package as I have already done this - but would be interested in developing systems and the code for these systems. I can also code up any system to backtest for profitability which is the main reason I developed my app.

I have coded many different systems which i have backtested for profitability, such as neural networks, indicators alerts (such as RSI above / below overbought oversold, MA Xovers, Vol alerts, ROC, Aroon, ADX, OBV, .... etc), tuned/optimised my indicators, Discrete Fourier Transforms, Candle Analysis, Binary Pattern Matching, Option analysis (trading on Implied volatility), and this list goes on. And whilst it has not resulted in the Holy Grail, I have learnt much. I am still trading options, however concentrate on only 2 shares using 1 indicator.

Heres a screen shot of my Freedom charts:
MyFC

SL

here are its stats:
Number of Lines: 55044
Blank Lines: 4209
Commented Lines: 8639
Code Lines: 39673
Global Constants: 117
Declared Variables: 1472
DLL Declarations: 30
Procedures: 904

plus Undocumented Features: 1000s :-)

(Message edited by sir_lance on September 30, 2007)

mrtelly

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Friday, October 05, 2007 - 04:44 pm:

Hi Sir Lance,
An impressive chart application and no mistake - although that combination of VB and Access must be looking a little long in the tooth? OTOH .Net brings little that is really useful to the party unless you're building enterprise systems for big customers - where using complex technology implies a big pay packet.

I was a VB/Sql hacker for many years, until the money dried up and I moved to C#/C++. For the volumes of data I'm dealing with SQL Server is a must - I have 6 months of ASX 100 tick by tick from a few years back and that just needs a bigger DB engine. Today's experiments, gathering 10 minutes of depth from BHP/CBA/LGL/ZFX created 1.7M rows of data - I must work on only storing the changes!

As my expertise lies more in the backend/database, our skills could compliment well. I have an early prototype of my 'Market Depth Live' Feed up and running - I can now capture the depth in realtime, and I'm busily coding up the routines to calculate the 'Depth Deltas'. These will show big orders moving in (and out) of the market, and that in combination with the course of trades will give a good idea of supply/demand.

A key feature will be the ability to isolate the activity of large (professional/instutional) traders, from the rest of us.

Your use/knowledge of indicators exceeds my own, so I would be interested in any ideas on how to best use all this glorious data that I can now capture. My particular 'holy grail' would be to use the Supply/Demand derived from the Market Depth Delta, as a risk pricing tool - what do you think ?

I'm planning to put my Feed Handler - which uses the E*Trade Pro package as its data source onto CodeProject. Hopefully that will bring some more people to the party. BTW the underlying technology for Etrade is COM - the library is called ProPump.dll - there is zero info on its inner workings (that I could find) on the Net. So I've had to reverse engineer its functionality by looking at the E*Trade DDE link to Excel. Has anyone else got any experience in this esoteric area I wonder?

MrTelly

sir_lance

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Wednesday, October 10, 2007 - 07:52 am:

Hi MrTelly

CODE TALK
Sorry for the delayed responce as I don't always check this site. Yes I agree SQL would be needed for tick by tick. My access DB has 250,000 records, but I only really record BHP minute by minute (not tick by tick). To much work and no gain using .NET.
I am not familiar with ProPump.dll but believe COM is user friendly. With my data feeder, i was hoping Sanford would provide XML data, but no - I have to download HTML data and process the web page to extract live data. I am sure you will find a way to make it work.

MD
I record Market Depth (MD) in my trading diary and do use it, but only when it is in the extreme. For instance:

If BHP MD indicated a hugh bullishness like 1000 buyers 2.1 M shares V 100 Sellers 200k shares, and my system was beasish I may be tempted to stay out (not buy puts), however if MD was 1000 buyers 2.1 M shares V 400 Sellers 1.4M shares and my system was beasish, i would still go short (buy puts).

I think your MD system has merit, however I have to agree with captain_chaza in that you don't know who is on the sideline. However having said that, your statement "maybe I can calculate what can't be seen, by using what can be seen" may be true as a large seller simply wouldn't sell his shares in one go (it would push the price down to much), a large seller would most likely break the selling into several parcels, which maybe your system can detect during the course of sales. EOD Volume will definately show you at the EOD anyway.

SL

moldy

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Friday, October 12, 2007 - 09:18 am:

Try not look too deep.
Market depth shows what the market is thinking of doing.
Price shows what they have done about it.

Moldy

dug

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Thursday, October 11, 2007 - 09:49 am:

Greetings Mr Telly,
I have absolutely zip in the way of computer programming skills so I can be of no assistance in that aspect of your project.
However I have been thinking about Market Depth as an Indicator for quite awhile so may be able to aid in setting objectives and method to your project.

Firstly,I do not think you can develop a system of Market Depth Analysis,Commercially to Sell.This is mainly because of the "problem" with Blue Chips.
Blue Chips have a lot of "dirty data" in conventional Volume figures.They are aff