Suspicious data

General discussions about futures.
sluggo
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Suspicious data

Post by sluggo » Thu Sep 30, 2010 8:28 pm

Heck of a day in Cocoa today. The EOD data checker reported "Suspicious daily low" but an intraday chart suggests it might be real. Wowzer.
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intraday
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EOD
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kianti
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Post by kianti » Fri Oct 01, 2010 3:09 am

Also on CQG
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Jez Liberty
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Post by Jez Liberty » Fri Oct 01, 2010 6:32 am

Cococa was recently in the news with Anthony "Choc Finger" Ward buying a bulk load of cocoa beans...
http://www.telegraph.co.uk/foodanddrink ... trade.html

Could it be his footprints? (you'd think it would not try to offload it all or a big part inside a 5-min bar though)...

sluggo
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Post by sluggo » Tue Oct 05, 2010 5:22 pm

An abnormally tall bar in Sydney 90 day Bank Bills this morning, but intraday chart suggests it's probably not erroneous.
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30 minute bars
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daily bars
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zacharyoxman
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Post by zacharyoxman » Thu Oct 07, 2010 10:34 am

New Zealand Bank Bills has frequent daily bar issues as well, may want to keep an eye out on that one if you trade it.

sluggo
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Post by sluggo » Thu Dec 30, 2010 8:26 pm

"Abnormally Tall Bar" today in March Sugar -- looks real
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intraday data
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daily data
eod.png (10.38 KiB) Viewed 11548 times

RedRock
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Post by RedRock » Thu Dec 30, 2010 9:53 pm

happy holidays

cordura21
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Post by cordura21 » Fri Dec 31, 2010 9:32 am

I think it was real, and the lower prices attracted a lot of volume.

Happy new year.
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Eventhorizon
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Post by Eventhorizon » Fri Dec 31, 2010 10:45 am

Cordura21

That's an interesting chart. Which service provided it - or do you roll your own?

I am curious as to the data used to construct the chart.

I assume the histograms represent the cumulative trades that executed at a given price divided into those that went at the bid and those at the ask. But what does the smaller "mid" category mean? Do you know the mechanics of a trade being counted as "mid" - does it simply mean that the bid = ask and thus the trade cleared?

Finally, how does the gray line related to the VWAP, how is it constructed? The chart makes it look as though there is some relationship between them - is it supposed to be a confidence interval around the estimated average price?

Thaks in advance!

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Post by cordura21 » Fri Dec 31, 2010 2:05 pm

The chart is from Bloomberg. I am pretty sure that you can roll your own with something like eSignal, Tradestation, and I am 90% sure I saw it on the free Quotetracker, at least for stocks, and in Stockcharts.com.

The bars count the amount of contracts (y axis) traded at the days' prices (x axis). You can also see number of trades instead of number of contracts.

The mid price category means, according to Bloomberg, those trades executed in between the best bid and offer at the time. I told them that I thought you could only trade at the bid and the offer, they said "there are many was to trade the markets these days, sir. Is there anything else I can assist you with?" So I'll further investigate unless somebody in the forum knows better (mainly everybody).

The gray line shows the theoretical normal distribution of prices, given the vwap and the stdev. I wonder if the stdev is also volume weighted or not.

I think it looks like those "delta charts" turned sideways. I find it pretty neat. Do you think there's a way to get money out of these things? :wink:

Cheers, Cord

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Post by Eventhorizon » Fri Dec 31, 2010 6:31 pm

Thanks Cordura,

Typical delphic response from Bloomberg.

As for whether there is money to be made from Price-volume charts, I don't know except to say that IF the volume data contains information THEN one ought to be able to exploit it!

I remember a chap named Steve Woods who invented (or at least promoted "Float Turnover Analysis"). The concept was that you measure time for a given stock in terms of the share float and daily volume. Basically you create a price channel whose duration was such that the sum of the daily volume equalled the float. The longer the price action stayed within the price channel (i.e. the lower bound started to rise while the upper bound started to fall) the more significant a break out of the channel. He would use price-volume charts for the action within the channel to determine congestion areas and support / resistance. A quick Google turned up loads of lonks so I guess the system is still out there.

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Post by drm7 » Fri Dec 31, 2010 7:29 pm

@Eventhorizon: Google "market profile" for information about trading this type of information.

Looks like Cocoa took out all the Turtles who had stops at the 10-day low on September 30th. Poor guys!

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Post by cordura21 » Sun Jan 02, 2011 8:51 am

I don't know if you read this old stuff about Eckhardt:
http://www.elitetrader.com/vb/showthrea ... genumber=1
He said they only use price, they don't use summary stats like moving averages, and that things like breakout levels take into account just two pie es of data, ignoring the "structure" that lies in between them.
Maybe he uses the kind of ideas these graphics represent but in the trend following timeframe. I guess he just concentrates on price clustering instead of using volume?
A casual observation about price clustering and level "stickiness" seems reasonable. What do you think about it?

7432
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Post by 7432 » Sun Jan 02, 2011 2:51 pm

cordura21 wrote: I told them that I thought you could only trade at the bid and the offer, they said "there are many was to trade the markets these days, sir. Is there anything else I can assist you with?" So I'll further investigate unless somebody in the forum knows better (mainly everybody).

Cheers, Cord
the bloomberg person might have been refering to block trades.
for ICE
https://www.theice.com/publicdocs/futur ... de_FAQ.pdf

sluggo
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I don't think SGX Nifty closed at Zero

Post by sluggo » Thu Jan 27, 2011 11:02 am

CSI is saying the Nifty stock index futures closed at zero on Wednesday. I think that's probably wrong.
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RedRock
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Post by RedRock » Thu Jan 27, 2011 12:41 pm

closed at 0.. the end is here good news, you were short.... bad news, it doesn't matter ha (snowing again, cabin fever talking)

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Post by Chris67 » Thu Jan 27, 2011 1:11 pm

I have reported this to CSI Data
They said they would fix the problem - this was a few hours ago
Problem still there mind
C

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Post by cordura21 » Fri Feb 04, 2011 7:34 am

Sugar was pretty mean yesterday...again. I wonder what's the cause of this.
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Wisdom
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Post by Wisdom » Fri Feb 04, 2011 10:12 am

Some comments from our trading desk...

"Talk circulating in the Sugar market that the March sugar contract ran through 34.20 and touched off a 5,500 lot sell stop. This caused the market to fall down to 32.05 in a few seconds. No one ever said commodity trading is for the faint of heart!"

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CT

Post by LeapFrog » Fri Feb 04, 2011 11:30 am

And at 11:30 AM EST today we are seeing Cotton lock limit down - could be the turn.

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