MC 8.1 -- DOM, MD indicators, etc.,

Questions about MultiCharts and user contributed studies.
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MC 8.1 -- DOM, MD indicators, etc.,

Postby arnie » 18 Jul 2012

I've just noticed that it's schedule for version 8.1 MD indicators :)

Just to clear things out, which indicators are considered as "MD indicators"? Are we talking about the main 4 indicators that made MD what it is today, Footprint, Cumulative Delta (Volume Breakdown), Market Profile and Volume Profile? Are you adding all 4?

Please say yes... you would made many people the happiest in the world ;)

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Re: MC 8.1

Postby Henry MultiСharts » 18 Jul 2012

Hello Arnie,

By MD indicators targeted to MultiCharts 8.1 "FootPrint chart" is considered.
Volume Profile functionality is already available in MultiCharts.
Cumulative Delta and Market Profile studies would be added later.

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Re: MC 8.1

Postby arnie » 18 Jul 2012

Henry Multicharts wrote:Hello Arnie,

By MD indicators targeted to MultiCharts 8.1 "FootPrint chart" is considered.

This is really good news.

Henry Multicharts wrote:Volume Profile functionality is already available in MultiCharts.

You're joking right? Please tell me that you're not saying that your volume profile is something that can be used for actually reading the volume per each price.

Real Volume Profile is something like this:
Image

NOT like this:
Image
To tell you the truth... what is this?

Henry Multicharts wrote:Cumulative Delta and Market Profile studies would be added later.

Nice. We'll be waiting...
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Re: MC 8.1

Postby bibulous » 19 Jul 2012

arnie wrote:Volume Profile is something like this:


So true...

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Re: MC 8.1

Postby Henry MultiСharts » 26 Jul 2012

Arnie, correct volume for the session/day (like on the screenshot you have provided above) would be plotted if only current session/day is plotted on the chart. Current implementation of Volume Profile shows volume for the entire data range of the chart data. We cannot disagree that this is a limitation of the current implementation.

We also know that there are some good indicators available for EasyLanguage/PowerLanguage to show the Volume Profile.
What other improvements you would like to suggest regarding Volume Profile in MultiCharts?

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Re: MC 8.1

Postby sptrader » 26 Jul 2012

Looking forward to the "Footprint" chart in 8.1, I hope it will be out soon..
As for other suggestions, I'd like to see "transparent" charts, so we can color the background layers different colors to show trend, trading sessions etc..without covering up prices, trendlines etc.

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Re: MC 8.1

Postby arnie » 26 Jul 2012

Henry Multicharts wrote:Arnie, correct volume for the session/day (like on the screenshot you have provided above) would be plotted if only current session/day is plotted on the chart. Current implementation of Volume Profile shows volume for the entire data range of the chart data. We cannot disagree that this is a limitation of the current implementation.

We also know that there are some good indicators available for EasyLanguage/PowerLanguage to show the Volume Profile.


Hi Henry.

Well, you are being pleasant when you used the word "limitation". Personally and unfortunately, the correct word is more in the line of "useless". If I were you I would remove the Volume Profile option from Multicharts because, lets face it, when comparing to MD/IRT, SC or NT, well, people end up laughing because, again, it's useless. You volume profile version is something which is included in a beta version but removed prior to the final version release because nothing came out from it.

The only indicator that I know that plots VP in MC is the one written by SwissTrader (I think it's his nickname here). It looked like well build but I prefer something built in MC.

Maybe it's me but sometimes I feel some resistance from you guys regarding some tasks. Market/volume profile has been one. Every time we speak about profiling your answer is always towards the EL indicators available. Another example is the Cumulative Delta, again, you've changed the GOMI indicators, everyone replied in BMT that the indicators weren't plotting the correct values, examples were made comparing IRT and SC CD indicators and you've kept quiet about it. I remember someone renting a "workable" CD indicator for MC in some site.

Does MC have some agreement which prevent you from releasing some tools while the agreement is still on, namely with SwissTrader regarding VP and that site regarding Delta? I've always found this odd.
Please don't misinterpret me, if there's an agreement I accept that, it's a valid business strategy but at least you could be more open about it and not make us going around in circles, requesting things that will not see the light of day.

What other improvements you would like to suggest regarding Volume Profile in MultiCharts?


What other improvements?
Again, I find a bit odd these type of questions from you guys. Have you compared the SC I've posted and the MC chart? What other improvements? If you really interested in offering a real VP tool you need to rewrite it again and produce something capable of plotting what is on that chart.
Anything below that is not worth the time because people interested in this type of tools have much better platforms to choose from.

Let's face it, if a trader wants to build an automatic system, the first name that pops is probably TS. If a trader wants to follow order flow the first name that pops is MD.
Multicharts and NT came to offer more options to TS users and SC came to offer more options to MD/IRT users. Meanwhile NT entered in the order flow realm with pretty interesting tools while MC is still a bit lost in it. Again, I can't stop feeling some resistance from you guys regarding this with the odd questions, the apparent lack of interest when questions are asked regarding some reported problems.

Like I said previously, it's not feasible for a platform to offer every tool available in the market but if you have no interest in making it available just say it plainly and simple. Don't make us lose our time requesting stuff over and over again. For example, a couple of months ago I requested a clock in the DOM and Andrew just said "NO". We will not put a clock in there. That was the end of the story. I didn't lose any more minute asking or thinking about it.
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Re: MC 8.1

Postby arnie » 26 Jul 2012

Regarding footprint, I leave 5 combinations of footprint charts that must be available. Also, you need to make it available for most chart types, minute, volume, range... If your not able to offer this don't bother because you will not be able to compete with the other platforms that offer this.

Image

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Image

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Image
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Re: MC 8.1

Postby arnie » 26 Jul 2012

Since I'm in a good mood, I give you 4 examples for volume profile. Again, if you can't offer this type of options, don't bother, you will not be able to compete with he other platforms.

Image

Here we have a composite where we can choose to see the volume for the entire plotted data or select the start date from where the volume reading begins till the last bar.
With composites there's an option that also need to be made available, high volume nodes and low volume nodes. Unfortunately SC still don't offer this but MD/IRT do. A "must have".

Image

Here we have a simple profile of each daily bar. Notice that there's an option to remove the bar from the chart, leaving only the profile visible.

Image

Here we have a simple profile of each 30 minutes bars.
The extended white lines are the VPOC. This is also a "must have". Also, value areas need to be extended into the future. As you can see, when these lines are crossed they stop being extended.

Image

Finally we have one of the "must haves". A manual profile drawing tool. Like the Fibonacci retracement tool, pick it up and select directly on the chart the start and end bar from which you want to draw the profile.

These are some of the options that a VP tools must have, at least if you really want to offer something capable of competing with the other platforms.
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Re: MC 8.1

Postby Henry MultiСharts » 27 Jul 2012

Arnie, why do you call our Volume Profile useless if in fact it is similar to the Composite VP you have mentioned above? That is not clear to me. Our VP allows you to view the volume profile for the available data range same way as on the attachment. Other styles can be easily accessed with EL/PL studies. Native Volume Profile will receive its improvements when time permits.

We understand that our users want some aspects of the software to be improved and we are willing to do that. We are doing our best to make our platform evolve. All of the Footprint chart styles you have mentioned are on its way and would be available in MultiCharts 8.1
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Re: MC 8.1

Postby arnie » 27 Jul 2012

Hi Henry.

Henry Multicharts wrote:Arnie, why do you call our Volume Profile useless if in fact it is similar to the Composite VP you have mentioned above? That is not clear to me. Our VP allows you to view the volume profile for the available data range same way as on the attachment.


Really?
How similar can this be?

Image

Image

200 bars loaded. Reading all bars. I checked the Build minute and daily bars based on tick data in the IQFeed configuration window. That is the result. In which way are they similar? What am I missing?

Henry Multicharts wrote:Other styles can be easily accessed with EL/PL studies.

Where are those studies? Yes, we have the one from SwissTrader, if I'm not mistaken we have one from TS that I never was able to make it worked and to be fair, I don't know if I would trust it since volume profile needs tick data and the result that I see on your chart makes me doubt if the volume is really being retrieved from tick data.
Naturally that I could hire a programmer to code it for me but it's a lot cheaper to pay $45 a month for SC and have a full chart platform that offers other tools that MC don't offer, yet.

Tell me, why don't MC itself offer a full VP study programmed in EL/PL?

Henry Multicharts wrote:Native Volume Profile will receive its improvements when time permits.


This is good news.

Henry Multicharts wrote:We understand that our users want some aspects of the software to be improved and we are willing to do that. We are doing our best to make our platform evolve. All of the Footprint chart styles you have mentioned are on its way and would be available in MultiCharts 8.1


Brilliant!
What more can I say.

Regards,
Fernando

PS: I might sound ranting here but far from it.
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Re: MC 8.1

Postby Nick » 29 Jul 2012

The big thing volume profile needs is to load volume to build the profile tick by tick. If you have 30 minute bars on your chart all the volume is applied to the price at 30 minute close. This is not much good for anything to be honest. As an aside The ability to have 'update on every tick for historical data' would be a great feature for user indicators and allow tick precision in userss studies when loading and not just on live data.

Other things needed (really are must haves) for volume profile are the ability to project VPoC and VAH/VAL lines onto the price portion of the chart. You also need to be able to project the developing (today's) VPoC and VAH/VAL onto the chart.

On the subject of footprint charts are these going to only work in real time? Obviously they need to have tick precise bid ask last data from the database if they are to work with historical data?
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Re: MC 8.1

Postby ABC » 02 Aug 2012

As Nick has mentioned, in MC you can only access the volume for a total bar. This raises the question about how to best build volume profiles out of this. You can either go down to a 1 tick chart, where by design you get the volume traded at each price or you take other bars and divide the total volume by the range in ticks. Of course the latter is less accurate and will become more and more incorrect the larger the bar increment.
In my opinion this raises the following question: Does building volume profiles out of 1 minute bars provide us with good enough results? This of course can not be easily answered with yes or no, as for example it will probably vary between markets and in the different traders minds, too.
I did try to answer the above question for E-Mini S&P 500 and as it might be interesting for others, too - here are the results:

Comparing two volume profiles spanning from April 2008 until end of July 2012.
On the left you can see profile build from 1 minute data and on the right, the profile is build out of data obtained from 1 tick bars. In my opinion the outcomes are close enough to justify using the 1 minute data, the Point of Control is 1 tick apart. This result is something I would expect to see, as the more data you take, the less likely it should become for the 1 minute volume data to have negative effect (I would imagine most errors would be equaled out the longer the time period is).
Image

The next step was to take a look at the daily profile's point of controls and compare them to each other. For that I substracted the POC derived of minute data from the tick data POC and over 1088 full trading days these are the results that mattered to me:

1005 occurences fall within a difference of -1.50 and + 1.50 ES points.
The maximum difference is 78,75 points (meaning the tick POC is 78,75 higher than the minute bar volume POC). This as well as the 82 other outliers usually happen on days where the profile has a double distribution (or multi distribution) shape and one could argue anyway about the value of the POC on that day.

Image

The highest number of occurences happens at 0 difference, which is good. The first standard deviation spans from -0.5 to +0.25 points. Which is something I can live with and so my conclusion is, that building volume profiles out 1 minute bars volume (where you divide the volume by the range in ticks) gives information that is accurate enough.

I hope it wasn't too boring.

Regards,
ABC
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Re: MC 8.1

Postby arnie » 02 Aug 2012

Hi ABC.

Well, that might be so when we do composites that span over multiple weeks, months and years. But what about days, hours and minutes?

Do the same study but only reading 1 daily bar. Look at the difference between a profile based on 1 minute and based on 1 tick.
For shorter periods of time you are forced to use tick volume because it's the only way to have an accurate volume reading.

In here we have the last 2 days of ES (RTH)

Image

I remember having built a composite when I used IRT. IQFeed made available 1 minute data for 6 or 7 years and we were able to do composites over that period. That was 1 minute data. I'm not certain but I thing IRT, for example, mixes its data. Again, I'm not certain but I believe reading this somewhere that for a period of 120 days profiles are based on tick volume but from that point back the data used is 1 minute. Regarding SC I have no idea but I assume they do the same calculations IRT does since both platforms generate identical profiles.

Image

Now imagine that you want to see the profiles for each 30 min bar. You need tick volume to have an accurate reading.

Image

Or imagine you want to draw on a 3 minute bar chart the value area for each 30 minute period (green squares)? What about cumulative delta? All this is being calculated using tick volume.


For long term composites 1 minute reading gives a relative good reading. Lets face it, calculating 4 years or more of tick data would be too stressful for the computer and probably would take ages to finish. Also, the size of that database would be enormous, especially if we were testing the ES.
But when it comes to shorter periods you need tick volume for accuracy.

In BMT forum there are true specialists regarding all the calculations surrounding volume profile.
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Re: MC 8.1

Postby ABC » 03 Aug 2012

Arnie, I totally agree that as soon as go lower than a daily profile, the inaccuracies will probably make the information useless.
The second study I ran was for the daily profiles (one case using volume information out of 1 minute charts and the latter using it from 1 tick charts) and at least regarding the Point of Control they are close enough in my opinion. But of course it can only be an approximation.

The bottom profiles are build from 1 minute bar volume information, the top profiles from 1 tick bar volume information. The tick profile tends to be slightly sharper, more edgy.

Image


Regards,

ABC
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Re: MC 8.1

Postby Nick » 03 Aug 2012

Personally I would like the option to calculate everything tick by tick (including user studies). Just like the 'update on every tick' checkbox but for historical data too.

For some applications splitting the volume across the bar from high to low is aceptable. Putting it all at a single valu (be it h l c or an average never is). The way mc does it now is the ubacebtable way!

An example where portioning it across the bar migt be aceptable is using a 1 min bar to build a weekly or monthly profile.

The big issue is that the volume poc is a modal point (as opposed to a mean) in the latter case a lack of precision might result in a value a couple of ticks off. However vpoc is much more susceptible to errors in accounting volume and when it is wrong it will likely be thrown completely off.
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Re: MC 8.1

Postby arnie » 03 Aug 2012

Again, what can I say, ABC rocks as a programmer!! ;)

Those charts are really nice to see. Yes, the tick can generate spikes but truth be told, we don't know how much the data is filtered.

Can you zoom it a bit more for better comparison? I'd like to compare yesterday ES profile with the one SC generated. It seems that the tick volume is identical to the one from SC.

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Re: MC 8.1

Postby ABC » 03 Aug 2012

arnie wrote:Again, what can I say, ABC rocks as a programmer!! ;)

Thanks a lot, I really appreciate it.

arnie wrote:Can you zoom it a bit more for better comparison? I'd like to compare yesterday ES profile with the one SC generated. It seems that the tick volume is identical to the one from SC.


I tried to make it look a bit more like the SC output, so you can compare it easier. I would guess it matches, if both datafeeds provide the same input data.

Image

Regards,
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Re: MC 8.1

Postby Nick » 03 Aug 2012

A picture is worth a thousand words.... This is why the built in profile is not useful, because it puts all the volume for a bar at a single price. Just to really flog a dead horse :)
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Re: MC 8.1

Postby arnie » 03 Aug 2012

Indeed, a picture is worth a thousand words...

Image

So I think we can say that SC is indeed using tick volume since both outputs are identical.

Great, great job ABC.
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Re: MC 8.1

Postby Nick » 03 Aug 2012

arnie wrote:
So I think we can say that SC is indeed using tick volume since both outputs are identical.

Great, great job ABC.


They do. Just to be clear they process the volume of every single tick individually.

At the risk of repeating myself that is all that is required for this sort of study (and a whole bunch of other methods).
__________________________________________________________________

The ability to process every single tick, tick by tick. (live and historical) regardless of the bar type or resolution.

Delta and footprint charts have another additional requirement. They need to process every tick, tick by tick from bid ask & last data streams. These need to be correctly sequenced (live and historical).

__________________________________________________________________

It's pretty simple really, though it does require some architectural changes to the product. I corresponded with Dave Masalov at great length about this a couple of years ago. With others also applying pressure for this (e.g. traders at Big Mikes and Christoper aka fulcrumtrader) I thought it was imminent, then things just went quiet. I always dread that it will again this time when it becomes clear it needs core changes to the database and data processing. Let's pray not this time :).
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Re: MC 8.1

Postby Henry MultiСharts » 10 Aug 2012

We appreciate all comments and experience shared in this thread.
We are evaluating future improvements for Volume Profile.
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Re: MC 8.1

Postby Laurentius » 11 Aug 2012

ABC wrote:Arnie, I totally agree that as soon as go lower than a daily profile, the inaccuracies will probably make the information useless.
The second study I ran was for the daily profiles (one case using volume information out of 1 minute charts and the latter using it from 1 tick charts) and at least regarding the Point of Control they are close enough in my opinion. But of course it can only be an approximation.

The bottom profiles are build from 1 minute bar volume information, the top profiles from 1 tick bar volume information. The tick profile tends to be slightly sharper, more edgy.

Image


Regards,

ABC


Thanks for the illustration ABC. Nice work.

A couple of questions:

First, is your indicator available for the public?

Second, I have seen Volume Profile in MD where they use it as a drawing tool set within a rectangle from a selected bar to another one. Like just three bars if one would like. Would it be possible to do this with the one you have shown us by for example time formats in setup where the second point in time is also highlighted by a vertical line?

Laurentius

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Re: MC 8.1

Postby ABC » 12 Aug 2012

Laurentius wrote:Thanks for the illustration ABC. Nice work.

A couple of questions:

First, is your indicator available for the public?

Second, I have seen Volume Profile in MD where they use it as a drawing tool set within a rectangle from a selected bar to another one. Like just three bars if one would like. Would it be possible to do this with the one you have shown us by for example time formats in setup where the second point in time is also highlighted by a vertical line?

Laurentius


Thanks a lot Laurentius.

Regarding your questions:
The indicator is not available, mainly because I didn't intend to share it and therefore didn't care too much about it being easy to use during development. So I'd have to put in a lot of time to make it easier to use and work on a proper documentation.

I have done this with the MouseClick feature in Multicharts. Instead of drawing a rectangle I can just click on the start and end bar for the profile and either let it use the highest high and lowest low within these period or click on the high and low I want to use, too.

Regards,
ABC
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Re: MC 8.1

Postby arnie » 28 Aug 2012

I'd like to add a new request with the addition of footprint and profiling. A new way to change sessions. Well, not a new way but a simplified one.

Everytime we want to change the session of our chart we need to go to Format Instrument > Settings and choose the session we want. Default session will plot the one set on QM and then we can change it to whatever one we choose, usually we change between 24h and RTH.

My idea is to have a button/keyboard shortcut that allow us to change session with a single click and not moving around between options in the properties window.

SC has a keyboard shortcut Ctrl + G that change between 24h and RTH.
IRT since offers the ability to create our own buttons, we can easily create a button for the chart to rotate between these sessions.
Both allow to specified different sessions per chart and not per symbol.

So MC would need to create an option per chart where we could select the sessions we need and than easily rotate between them through a button or keyboard shortcut.

This is essential for profiling since we tend to always compare/follow both sessions.

Regards.
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Re: MC 8.1

Postby JoshM » 29 Aug 2012

Does the implementation of the MD tools in MC8.1 also mean that
a) DOMs can be made on non-broker feeds,
b) that market depth information can be accessed for non-broker feeds?

For example, in MC8.0 we can't make a DOM for IQFeed, and the best bid and best ask size are also not available with the PowerLanguage DOM reserved words for IQFeed. Is this limitation lifted when these discretionary tools are introduced, or is this completely unrelated to these MD tools? :)
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Re: MC 8.1

Postby Henry MultiСharts » 31 Aug 2012

arnie wrote:My idea is to have a button/keyboard shortcut that allow us to change session with a single click and not moving around between options in the properties window.

Arnie, such improvement is being considered for implementation.
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Re: MC 8.1

Postby Henry MultiСharts » 31 Aug 2012

JoshM wrote:Does the implementation of the MD tools in MC8.1 also mean that
a) DOMs can be made on non-broker feeds,
b) that market depth information can be accessed for non-broker feeds?

Josh, at the moment we do not plan to add such functionality.
The implementation of the MD tools in MC8.1 is not related to these requests.

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Re: MC 8.1

Postby ABC » 31 Aug 2012

Henry MultiСharts wrote:
JoshM wrote:Does the implementation of the MD tools in MC8.1 also mean that
a) DOMs can be made on non-broker feeds,
b) that market depth information can be accessed for non-broker feeds?

Josh, at the moment we do not plan to add such functionality.


Henry,

can you please tell us why you don't plan to add this functionality currently? In my opinion when a trader works with DOM or indicators using market depth information, the quality of the data is becoming very important. With some broker feeds sending out snapshots of the data, this is suboptimal. If you have a perfect race car (MC) you want to use the fuel (datafeed) offering the best performance, everything else is diminishing your chances of winning the race.

Thanks,
ABC
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Re: MC 8.1

Postby SP » 07 Sep 2012

I need to transfer the database and MC to a new pc. Is there a release date for MC 8.1, if it is not to far ahead i will wait with the transfer?

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Re: MC 8.1

Postby Henry MultiСharts » 07 Sep 2012

SP wrote:I need to transfer the database and MC to a new pc. Is there a release date for MC 8.1, if it is not to far ahead i will wait with the transfer?

There is no exact release date for MC 8.1 yet. It is expected this fall.

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Re: MC 8.1

Postby arnie » 07 Sep 2012

SP wrote:I need to transfer the database and MC to a new pc. Is there a release date for MC 8.1, if it is not to far ahead i will wait with the transfer?


Why wait if the new version always assume the database of the previous version?

Henry MultiСharts wrote:There is no exact release date for MC 8.1 yet. It is expected this fall.


Nice :)

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Version 8.1

Postby KhaosTrader » 10 Sep 2012

I heard 8.1 is coming out soon...

What are the new features in 8.1?

When will it be released?

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Re: Version 8.1

Postby TJ » 10 Sep 2012

KhaosTrader wrote:I heard 8.1 is coming out soon...

What are the new features in 8.1?

When will it be released?


release date:
see post #31

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Re: Version 8.1

Postby arnie » 11 Sep 2012

KhaosTrader wrote:
What are the new features in 8.1?



Go to PM page.
There's a list of features to be included.

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Re: Version 8.1

Postby JoshM » 13 Sep 2012

KhaosTrader wrote:I heard 8.1 is coming out soon...

What are the new features in 8.1?

When will it be released?

MultiCharts .NET version 8.1 is probably released this week (source). If regular MultiCharts and MultiCharts .NET are developed simultaneously, regular MultiCharts 8.1 will also be released this week.

arnie wrote:
KhaosTrader wrote:What are the new features in 8.1?

Go to PM page.
There's a list of features to be included.

There are probably more new features than those listed. :) At least, that's what I hope because five 'new' features (of which 3 are more or less fixes) is probably not worth to launch a .1 version for (i.e. version inflation). So there's probably more coming. :)

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Re: Version 8.1

Postby arnie » 13 Sep 2012

JoshM wrote:There are probably more new features than those listed. :) At least, that's what I hope because five 'new' features (of which 3 are more or less fixes) is probably not worth to launch a .1 version for (i.e. version inflation). So there's probably more coming. :)


Yes, an 8.1 is more for fixing issues rather releasing new features.

MD tools themselves are worthy of a 9.0 version. Release this on a 8.1 is really detrimental to the tools :P

Henry said above that version 8.1 is expected this fall (ie. during the next two and a half months or so).
With so many new features the 8.1 will probably move to a 9.0.

Confirmed:
Cumulative Delta
Footprint

Still hoping...
Time&Sales? Can't believe MC still don't have this. Mandatory...
Volume profile on DOM? There have been discussions on the matter...
Volume and Market Profile, they promised look at it so probably on a future release, 10.0?
...

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Re: Version 8.1

Postby Henry MultiСharts » 13 Sep 2012

JoshM wrote:MultiCharts .NET version 8.1 is probably released this week (source).

That is correct regarding MultiCharts .Net 8.1. We have improved programming aspects and fixed a number of issues that were reported after the release of MC .Net 8.0. Follow our Traders’ Blog to get the latest updates.
JoshM wrote: If regular MultiCharts and MultiCharts .NET are developed simultaneously, regular MultiCharts 8.1 will also be released this week.

Next version of regular MultiCharts is expected later this fall. The reason is properly identified:
JoshM wrote:There are probably more new features than those listed. :)


arnie wrote:Time&Sales? Can't believe MC still don't have this. Mandatory...

Arnie, why is it so mandatory for MultiCharts if it is provided by most broker platforms and can be running on a second screen alongside with MultiCharts? Do you just want to have all-in-one MultiCharts or broker platforms' T&S are missing something special? Just curious.
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Re: Version 8.1

Postby arnie » 13 Sep 2012

Henry MultiСharts wrote:
arnie wrote:Time&Sales? Can't believe MC still don't have this. Mandatory...

Arnie, why is it so mandatory for MultiCharts if it is provided by most broker platforms and can be running on a second screen alongside with MultiCharts? Do you just want to have all-in-one MultiCharts or broker platforms' T&S are missing something special? Just curious.


Common Henry, you know this stuff better than I do.

You know that you cannot trust a broker's feed, special IB's.
What use have you for their time&sales when all orders are aggregated?
We need time&sales data from dedicated feeds, IQFeed for example. If you cannot offer this, being MC a trading platform, from where can we get it? Well, naturally through your competitors of course, who else.

MC has chart trading capabilities, DOM trading capabilities, all tools dedicated to discretionary traders, which the majority also use T&S, most of the times, side by side with the DOM.

It makes no sense offering all those discretionary tools and forget about T&S when it's a huge part of the "set".

Just open MD's T&S and see what they offer. I confess it's not perfect, they could work on it a bit more, enhancing its options, but it's not a priority for them. Nonetheless, it works, it's capable of showing what we need.

I repeat myself once again, we, as costumers, we all want a all-in-one platform, it's our dream. We also know that it's almost impossible for this to happen since new tools are always emerging and no one is capable of keeping up with them BUT, and this is a big one :), when you decide to offer something you need to be able to offer the all set and not only half of it.

Naturally, not every discretionary trader use T&S but the vast majority use it, especially daytraders/scalpers. For them this is really mandatory, they feel lost without it since they have no other way to see the volume traded on each trade. You cannot see all that on the DOM. I understand that you might not comprehend this if you're not a daytrader/scalper but then again, you need to understand how every trading area trades so you're able to respond to it properly.

Please don't see this talk as a criticism, well it is :P but I'm just showing you why MC needs to have T&S. Brokers feed just can't deal with it. It's you, trading platform/chart platform, that needs to offer this using a third party feed, such as IQFeed. Otherwise where can we have access to clean data?
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Re: MC 8.1 -- DOM, MD indicators, etc.,

Postby arnie » 13 Sep 2012

Here's a video of what I've talked about.

MC's DOM (IB) and IRT T&S (IQFeed)

http://screencast.com/t/dN52a9qi

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Re: MC 8.1 -- DOM, MD indicators, etc.,

Postby Henry MultiСharts » 14 Sep 2012

We got your point Arnie. That is interesting that IB users do not like/trust IB T&S.

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Re: Version 8.1

Postby JoshM » 14 Sep 2012

arnie wrote:You know that you cannot trust a broker's feed, special IB's.
What use have you for their time&sales when all orders are aggregated?

Have you looked at the TWS Time & Sales window (so not DOM)? In my experience (when looking at the historical T&S) the TWS Time & Sales data is a perfect match with IQFeed and ZenFire data in MultiCharts (in price and trade size). Don't know how good it is in real-time though.

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Re: Version 8.1

Postby arnie » 14 Sep 2012

JoshM wrote:Have you looked at the TWS Time & Sales window (so not DOM)? In my experience (when looking at the historical T&S) the TWS Time & Sales data is a perfect match with IQFeed and ZenFire data in MultiCharts (in price and trade size). Don't know how good it is in real-time though.


They couldn't be more different, IB shows aggregated volume, IRT using IQFeed doesn't.
I made a video so you could compare both in realtime.

What I found weird was the fact that a couple of months ago trade size was identical between DOM and IB's T&S but today they aren't. Strange...

You really can't trust trade size in DOM also because that is also aggregated, although from time to time you see it matching some trade sizes with IQFeed data.

That's probably why everybody likes to have a T&S right besides the DOM from an external feed, usually IQFeed since they are known for their unfiltered data.

If you just need minute based data, OHLC, than IB's feed is more than enough but when dealing with volume, it's mandatory to use an external data feed.

http://screencast.com/t/hsHTLCYs2L
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