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Constant Volume Bars, FXCM Added Pairs, Quote Page Scan Q, Symbol Properties Window, General Troubleshooting |
March 14, 2007
16:32 Ensign Howard: Welcome to today's training class.... I will cover a few topics and then open the class for Q&A and ask that you use the CTRL+Q keys to post ? icon by your nickname and I will call on you for your question.
Constant Volume Bars
16:32 Ensign Howard: First topic I want to train on is Volume charts where each bar is a constant volume amount. The notation in Ensign for such a chart is to have a suffix of the volume amount and the letter V.
16:33 Ensign Howard: So the chart ES #F.V1000 is going to be 1000 contracts per bar. When the tick volume sums to 1000, a new bar is started.
16:34 Ensign Howard: A question of greater frequency lately is the presence of dash bars on the chart making a sideways move. For the sake of simple math, lets say the chart is a V100 chart and a tick with a big volume of 500 is received. This 500 volume tick will cause filler bars to be added using the tick's price until the 500 volume is consumed at a rate of 100 volume reduction per bar. In this example 500 volume would add 5 bars with 100 volume each to the chart.
16:36 Ensign Howard: Now if you do not want the big tick volume to be distributed on the chart through the addition of these bars at equal volume, there is a chart option you can change.
16:36 Ensign Howard: You would go to menu Setup | Charts, and on this property form with options that are global to all charts, there is an option
16:37 Ensign Howard: with the name of Cap Constant Volume Bars.
16:37 Ensign Howard: When this box is checked, the big tick volume is distributed across additional bars until it has been distributed.
6:38 Ensign Howard: If the box is unchecked, all the volume will be put in the bar being built, and if the bar's volume then is at or exceeds the trigger level, then the next tick will start a new bar. I think the eSignal volume bars use this latter idea of not distributing the big volume across multiple bars.
16:39 Ensign Howard: Since the volume is not capped, there will be a jagged top to a volume histogram of the volume
16:39 bg: So which is more accurate Howard, to have it checked or not checked?
16:40 Ensign Howard: bg, it do not mean to pick on you, but your question is typical of lots of questions I get.... and the answer both are equally correct. They are just different, and you can have the volume handled either way. I say to lots of questions like this the answer is equally right.
16:41 Ensign Howard: It probably does not make a hill of beans worth of difference in the long run. Either way can be used to trade successfully. Either can be used to lose money as well. Similar questions would be what volume value to use for the bar, which is right or which is more right. Again, does it really matter.
16:42 Ensign Howard: If you use smaller values for the volume trigger level, you will naturally have more bars per day. If you use a higher value, the bars will build slower and you will have fewer bars in a day. So pick a level that gives you a pattern image that speaks to you.
6:43 Ensign Howard: The person who uses V384 is no 'more right' or 'more wrong' than the person who uses V500. They are just different.
16:44 Ensign Howard: I see that having the volume be capped with the option being checked seems to be more popular. Thus the big block trades are more readily visible on the chart because they make this little flat sideways move more obvious.
16:45 Ensign Howard: Now, a related question is why have the charts seemed to have more of these flats lately.
6:46 Ensign Howard: Well for one thing, we just had a roll over day for ER2 and ES and NQ last Thursday, and that might have contributed to a momentary burst of trading volume. Or we have had bigger than usual moves in the stock market and that might have contributed to a burst in trading volume in these markets. I have documented on the different feeds that there is a rash of bigger volume ticks flowing through. So the observation of these flats on the charts is happening more frequently this past week, and from everything I can tell, they are legitimate bigger volume ticks.
48 Bloo: Can you post a comparison with one having that option enabled and one without?
16:50 Ensign Howard: ok, will do so and will use DTN refresh as the source for rebuilding the bars.
16:52 Ensign Howard: In this chart the volume bars are capped and I put on a cycle tool to count 117 bars from the 15:44 swing bottom to the end of the day. Now let me go Uncheck the Cap Constant Volume option and refresh the chart for Today.
16:54 Ensign Howard: In this chart I have also shown the volume histogram at the bottom so you can see the irregularity of the volume values. Most hover right close to the 1000 volume trigger level, and you can see some that have a big tick added to the volume tally that was still below 1000 when it was received. And as expected, the cycle has a lower count of 105 bars instead of 117 bars. So we could conclude that 12,000 volume is to be found in the volume histogram tails above the 1000 volume level in the bars between 15:44 and the end of the day.
16:56 bg: Thanks for explaining the difference Howard, much appreciated
16:58 Ensign Howard: On a related topic, many use Time and Sales, and yet are unaware that you can have a tick volume filter on the T&S form
16:58 Ensign Howard: This is T&S with all ticks showing.
16:59 Ensign Howard: Above the Volume label is an edit box were you can put a Volume filter size, such as 50 and then ONLY the ticks with a volume of 50 or grater will be added to the list.
16:59 Ensign Howard: This is a quick way to see block trades. Just has a 686 tick go through while watching
17:00 Ensign Howard: So here is the T&S with the 50 filter added. Now our list shows the block trades and you see the 686 tick that just went through
17:02 Ensign Howard: To recreate the filtered list, I added 50 to the edit box and then had the form repaint by clicking the down arrow and then the up arrow that you see by the 50 edit box
17:02 Ensign Howard: This did a scroll down in the data set and a scroll back to the top and the repaint of the form excluded the under 50 volume ticks in the display. Normally you would put in the filter level and just let it run in real time.
17:03 virt5: Howard, can you adjust the colors to show whether the trade went off at the bid/ask...above the ask...below the bid....or in between rather than up or down tick
17:04 Ensign Howard: Trade ticks on all of the feeds do not have any indicator if the trade was at the ask or at the bid or possibly in between. Some feeds have a bid and an ask field, but these fields update independently of the trade ticks. So we cannot really tell anything other than if the trade is higher or the trade is lower. If the trade tick happens to arrive ahead of an update to the bid field, we could even see the trade at a price lower than the bid, or for an ask not yet updated, the trade could be higher than the ask or in-between, only because of lack of sync in the trade, bid and ask being sent
17:07 virt5: ok...you can see that in esignal and other data feeds. if you open an esignal t&s window and right click on properties you can see the options ie...trade above ask...trade at ask....trade inside...trade at bid...trade below bid can be color coded
17:07 Ensign Howard: So, I think it is pretty standard among charting package designers to treat up ticks as trades at the Ask, and down ticks as trades at the Bid, and equal price ticks to be at the same mode as the prior at the bid or at the ask state.
17:07 Ensign Howard: I see it is all feeds. On our T&S we will color up ticks (assumed at the ask) one color (green) and down ticks (assumed at the bid) in the red color. These colors can be changed and the place to change them is open a quote page on the bottom of the quote page you will see two color boxes for Up Net and Down Net.
17:09 virt5: 17:09 Ensign Howard: These colors are used by the T&S form as well for the up and down change of the price.
FXCM Feed - Added Pairs
17:10 Ensign Howard: Ok, the next topic to cover is an update on the state of our FXCM feed.
17:11 Ensign Howard: A couple weeks ago we observed an unacceptable lag time during a busy period, so we started asking more questions of FXCM and looking around for alternatives. Fortunately FXCM did have an alternative and that was to tap into the dealing desk for quotes ahead of this same source going to their datafeed queue for distribution as a data feed. We think it is the distribution as a feed that was the place where a fast feed was getting queued, kind of like the bathtub with a faucet source and a drain for distribution. By tapping into the faucet we are able to bypass the bathtub queue and pick up a couple other advantages (unexpected pleasant discoveries).
17:14 Ensign Howard: We have run on two machines side by side the existing feed with its lag potential and the new feed tapped into the source. Over the past 2 weeks we have seen a couple minor periods of lag in the existing feed, and this amounted to at worst about 2 and a half minutes of lag. No lag has been observed in the new feed, which is very good news. The other advantage is even when the markets are quiet and we know there is no lag in the existing feed, the new feed was consistently 2 to 3 seconds ahead of the existing feed. That was unexpected, but nice to discover.
17:16 Ensign Howard: The 3rd difference, is we pick up cross rates on 12 more pairings.
17:17 Ensign Howard: So, this past weekend we replace the software on our servers to use the new feed without the lag potential. Those using FXCM have had the new feed all this week, and thing are going well. We did discover one item about some date stamps having the wrong date, but right time, and this has been addressed as well with an update to our servers. This date issue did corrupt some data in our refresh database for Sunday evening, and we are still working on replacing that data set for the bars for last Sunday will be correct.
http://www.ensignsoftware.com/help/fxcm.htm
17:20 Ensign Howard: This web page has been updated to show the 54 currency pairings available on our forex feed. This is up from the 42 pairings available last week.
17:20 Bloo: What source are you getting this new feed from?
17:21 Ensign Howard: It is still from FXCM but from their Order 2 Go dealing desk instead of from their 'data feed'. In my mind, we have tapped into the faucet instead of into the intended drain with a bathtub between the two.
17:23 Ensign Howard: Now, I had an IB user who was a bit confused by comparing his tick times for a future like ES #F with the tick times for the forex symbols.
17:23 Ensign Howard: As example the T-Time for forex would be 12:10:20 and the T-Time for the futures would be 12:10:50 and so he thought there was a consistent 30 second lag in the forex feed.
17:24 Ensign Howard: Let me comment on that....
17:24 Ensign Howard: There is no lag in the forex feed, and the correct time is 12:10:20 as shown by the T-Time on the forex feed.
17:25 Ensign Howard: The IB feed does NOT have a timestamp with their ticks, and so we have to resort to using the computer system clock for a time stamp when a tick is received and processed. So the issue was his computer system clock was 30 seconds ahead of the actual time.
17:25 Ensign Howard: Our forex ticks do have time stamps and these are used and shown on the quote page as the T-Time.
17:26 Ensign Howard: The futures ticks used the computer system clock. Solution for the user to get the two in sync was to run a utility to reset his computer system clock to a universal time via the internet. Then the futures time stamps reverted to matching the forex timestamps
17:26 Jamal: Howard, Ensign has many excellent features but I do notice traders are using other software. The main reason is due to the Ensign "refresh" and differences in price data, even between traders with the same data feed, same time frames, same computer sync time, etc etc. Other charting programs using IB feed do not have the "difference in data between traders problem" or the " refresh " problems that Ensign has. Just thought you might like to know and hopefully can eliminate these problems in Ensign/IB feed.
.17:28 Ensign Howard: jamal, some of the IB differences you allude to can be in the category of the computer system clocks being different. Say you and I are both doing a 5-min chart of ES #f, and as an extreme case my computer clock is one minute faster than your clock. So the bars I build would end one minute sooner than yours and start a new bar. I would be one minute into my new bar when your bar completes and starts a new bar. Of course we would have different looking bars, different opens and closes, and possibly different highs and lows.
17:30 Ensign Howard: Now another factor is the IB folks or DTN is building 5-min bars based on the clocks they are using or in the case of DTN the timestamps on the ticks from the exchange.
17:30 Jamal: Computer clocks can be synch to NASA ( for example) with the exact same time
17:31 Ensign Howard: Even if you and I have clocks in sync, that does not mean we are in sync with the data vendor building bars or in sync with the exchange. Refreshing the charts can and will change the bars from what was collected for the very reasons just discussed.
17:32 Ensign Howard: If you have a data feed from esignal or IQFeed then the vendor refresh matches very closely the ticks on their feeds and this issue is rarely seen or raised by these users.
17:32 Jamal: Ok, I was just trying to let you know that for some reason, other software does not seem to have this problem.
17:33 Ensign Howard: This issue is primarily an IB issue because of the absence of timestamps on their feed with the ticks.
17:33 Ensign Howard: jamal, I bet the grass is not greener on the other side of the fence. We both have the same feed and its issues to deal with. I bet there is an equal amount of discussion on the other vendor products and comparison of there program to Ensign where Ensign is being held as the standard for them to improve to. We will do what ever we can to make things better, but just what that will be is not obvious to me yet. And part of the issue is we provide an alternative to the IB refresh in the form of a refresh service to DTN market access and having access to a different feed introduces differences. The other source is much appreciated because it gets used a lot, so we do not want to impose IB as the source refresh source for IB users.
Trouble Shooting FXCM
17:36 mikeynh: Back to FXCM for a moment, I have been unable to get any FXCM data, and when I click Connect in EDS I get a message "MID_API_STATUS_LGON_FAILED, Invalid logon or user name.
17:37 Ensign Howard: ok, Mike, couple of questions.
17:37 Ensign Howard: Are you using a current version of the EDS program because older versions would try to access servers that no longer exist.
17:37 Ensign Howard: and 2nd, double check the parameters you have on the setup | Connection form.
17:38 Ensign Howard: and this picture shows the right port 10000 an the right IP address of 206.71.64.14
17:39 mikeynh: Yes, I have those correct.
17:40 red: Maybe a link to a standalone program that will synchronize a computer clock to real time might be worthwhile
17:41 Ensign Howard: good suggestion red, and I think we have had that kind of URL passed around in earlier classes.
17:41 Ensign Howard: Buffy, do you recall an Q&A TIp about clocks you can post?
17:41 @Buffy2: in humming hardware scylnx wrote an article on setting your computer to do that using windows.
www.dacharts.org/archives/Humming_Hardware_Hints/Scylnx_synch_time_without_program.htm
another one often used is:
17:42 Ensign Howard: yes, that was reference I was seeking for an answer for Red
17:43 Ensign Howard: Now those on IQFeed and on eSignal have a clock on the data feed which can be used to sync the computer system clock. The computer system clock is not so important on those feeds because the ticks are time stamped on the feed. And the time stamps I assume are exchange time stamps. And you have a time stamp of when the ticked happened and that is independent of how long it might have taken to distribute the tick to your computer. And lag time can be observed on eSignal occasionally when the tick times are getting to be several seconds old compared to current time.
17:49 Ensign Howard: I thought of one more comment to make about IB refresh issues, and that is a few weeks ago the folks at IB imposed a pacing violation limit which restricts how frequently you can refresh from IB. You can read this Q&A article about the pacing violation .
http://www.ensignsupport.com/email/1526.mhtml
http://www.dacharts.com/qtips/ib-pacing-limit-and-refresh.htm
17:50 Ensign Howard: thanks buffy,
17:51 Ensign Howard: So those who leave Ensign because of a frustration with IB refresh may find the same issues come into play with other products.... we all are going to have this pacing violation to deal with. In fact, they might not offer any alternatives such as we do with the DTN Market Access refresh.
Doing a Scan with Quote Page
17:47 Maura: Hi Howard, is there anyway to set up a custom quote page to scan for stocks meeting specific technical conditions, for instance, a Pesavento condition?
17:53 Ensign Howard: A custom quote page only has the quote record fields to use for sorting or scanning. Anything to do with chart patterns would require a chart data set for the analysis. This analysis cannot be shown as a new field on a quote page. What can be down, however, is to use ESPL to scan through a set of charts, and the set can be defined as the symbols on your custom quote page. For each chart being examined, it can be dressed with a template or uniform set of studies. And the study results can be read by the ESPL program and evaluated against some criteria.
17:55 Ensign Howard: Let me go find such an example of a scan on our web site's ESPL page.... 1 moment.
http://www.ensignsoftware.com/espl/espl16.htm
17:56 Ensign Howard: The procedure DailyReport shows reading the contents of your custom quote page to get the symbol list, and for each symbol on the list, a chart is opened for it, study values are read, and a report is written. The chart is then closed and the process is repeated for the next symbol.
17:58 Ensign Howard: Your request for evaluation of the Pesavento Pattens would be handled in the same manner as is illustrated in this example of using a symbol list, opening a chart, dressing it with studies, reading your studies, compare to your criteria, and closing the chart.
17:59 Ensign Howard: I am sure you wish it was a feature already built in so you would not have to think like a programmer and deal with designing your idea in program code. Sorry, we have lots of features in the program and lots of tools, but the particular example you ask about is not an existing pre-built feature.
Symbol Properties Window
18:00 @Buffy2: I would like to understand the symbol properties window better. If a user is in Europe should the time zone be theirs or the exchanges. Many users give up on trying to get the foreign markets running - especially if Randy isn't around :-) Is there anyway there can be a Q&A for the right way one should be setup for these?
18:01 Ensign Howard: Keep the symbol properties table on the zone for the exchange.
18:02 Ensign Howard: This is because we consult the zone selection of the symbol properties to know whether this symbol does or does not participate in a Day Light Savings. Some markets like Hong Kong never have Day Light savings, and others like Australia are opposite the US markets
18:03 Ensign Howard: So if a user in Sydney were to change our US symbols like ES to be a Sydney zone selection then our program is now confused thinking the opposite about when the ES is on and off of Day Light Savings.
18:03 @Buffy2: That explains some things we have been dealing with and why UK users had to change their local times when using them on it.
18:04 Ensign Howard: It need to be a Pacific, MTN, Central or Eastern (ie a US zone) so we know it is on DLS from 03-11-07 through 11-04-07. So for Europe exchange symbols, have the zone be London or Berlin. They are not on DLS yet.
18:06 Ensign Howard: US market symbols need to continue to have a US zone selected so we know which set of DLS dates to use. Program knows about Europe DLS, US DLS, and Australian DLS dates. Our clue as to which apply to a symbol is the zone on its Setup | Properties form.
18:04 @Buffy2: Any chance of a data base of these symbol windows for foreign markets?
18:09 Ensign Howard: buffy, I think the symbol properties table we distribute on initial install is pretty good. If they have really messed things up there is a way to revert back to the original install file on the Setup | Charts | Maintenance form
18:10 @Buffy2: That takes all the windows back to original right?
18:10 @Buffy2: thank you
18:10 Ensign Howard: yes, it is task #11 on the Maintenance form. My master table has lots of entries for foreign futures My table is not complete, but defaults kick in for any symbol not listed. An example for the symbol might be in the Q&A knowledgebase too
18:14 bg: have to run thanks Howard appreciate you giving us your time. Thanks again
18:14 Ensign Howard: welcome bg
18:26 mikeynh: : I use IB. Can I get symbols such as DAX through DTN, even though IB does not provide data for that (I don't subscribe to it, that is). Perhaps, if you don't have time now, you may consider doing a session on the Symbol Properties dialog.
18:27 Ensign Howard: Mikey, you can refresh a chart from DTN Market Access selection for the DAX though you do not have it from IB.
18:28 mikeynh: Thanks, I was hoping you'd say that. I get DAX, thanks. One last question if you can: Must one double-check and fix any possible errors found in Symbol Properties. For example, I see that HSI is on the HKFE exchange, yet the Zone is listed as Eastern?
18:36 Ensign Howard: Mike , change the zone back to Hong Kong on the HSi, and probably on the MHI too. I apparently did not change the master table zone selection back to Hong Kong as intended last time I worked with that symbol in helping someone with a question.... my mistake.
18:29 Ensign Howard: on the Data tab part of Symbol Properties have the refresh source be DTN Market Access.. The cross reference symbol on the DTN database is XG and so the manual refresh of the chart gives the chart I posted and the data is from XGM7 from DTN
18:30 @Buffy2: Is the symbol properties for dax or xg? Or do you need both?
18:30 Ensign Howard: for DAX
18:30 @Buffy2: Thanks
Howard added this QnA to be included in today's class.
12:00 Ensign Howard: This article should be utilized by all IB users to minimize the time differences discussed in class yesterday
www.ensignsupport.com/email/1552.mhtml
18:45 Ensign Howard: Thanks for attending class today... have a good week and best wishes to you in your trading success.
18:45 Ensign Howard: good night.
18:45 mikeynh: Good night. And thank you!
18:46 ae: Thanks Howard
18:46 Ensign Howard: welcome, bye