Just wondering if the only way to find trades of a certain size was to use the consolidated tape with the DTN datafeed. For example I want to know that when we are at a high or a low of the session, do big boys step in with large print orders? Obv I can see the volume traded, but to see if these are lots of small lots vs a small number of big lots, do we need to use the CTape?
If so, is DTN the only datafeed that can show this?
Watch this video: https://www.linnsoft.com/videos/volume-filter
It shows how to add multiple instruments to a chart, each with different volume filters. One can be setup to only consider trades >= 10 (in size) and the other only < 10 (can have 3 or 4 instruments with big, medium, small if you wish). Then, you can associated ANY indicator with any of these filtered instruments. VolumeScope is a prime candidate, but Bar Statistics could also be used in this way, having one Bar Stats showing textually the buy volume, sell volume, delta of each bar (or cumulative) of the big trades, and another instance below it showing Bar Stats of only the small trades. If you need me to put together a chart let me know.
I was thinking about putting a chart together using the TtrailOI Rtx and then pairing that with the Traedots/volume scope. It would be interesting to setup the dots only to show up when we have a) A large volume of large traders(over 100 lots on the rcon tape) that occurs AFTER condition b. b) A large volume of small traders . This would be helpful around highs/lows and resting liquidty areas. In essance trying to pickup spots where small traders get trapped at the extremes of price, and then big traders lean on them and take the other side.
Could you help me put something together for that case?
Also showing in the bottom would be helpful a cumulative delta of large traders and cum delta of small traders. That will show what retail is doing vs what big boys are doing.
I'm not clear exactly what you're looking for, but we can start here. This is a 1 second (per bar) chart with TINT, VolumeScope, and TradeDots. TradeDots is setup to only show for trades >= 100 in size. Let me know where you want to go from here.
https://www.linnsoft.com/charts/vs-td-tint-es
Well is there a way to put a volume filter on the size filter? For example, show all of the dots if there are 5 trades of size greater than 100 in the last 2 minutes?
And then adding trade dots for the small sizes to. Show the dots if there are over 500 trades of size under 5 in the last two minutes.
And then eventually get to a alert condition or a scan when we see things like "The volume of trades of size less than 5 > 2000 & the volume of trades of size greater than 100 > 5 & the price of the large trades execution is 0.10 away from the price of the small trades"
Chad, any thoughts on this?
Let's take another approach to that. Import this chart: https://www.linnsoft.com/charts/bigtradesrecently-es
The instrument is setup with a volume filter to only consider trades >= C#1 (in this case 100). Then I've added a Price Statistics Indicator to the right which shows volume, buy and sell volume, trades, etc....for the last 12 bars (and the bars are 10 second bars so this gives us last 2 minutes). And I've further filtered out prices in Price Stats that are < 500 in total volume. This doesn't give you quite what you're after because it uses volume and not trades as a filter. However, I can add "Trades/Ticks" as an entry to this filter list in the next release which would let you do exactly that.
That looks great. If you added in that filter its getting pretty close to what I was thinking. TY! Can you let me know when it's added to the next release?
Done for next release...
Hi, just wondering if the next release will be out this week.
www.linnsoft.com/download
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