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real time data
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Author:  slipshod [ Wed Aug 15, 2012 6:38 am ]
Post subject:  Re: real time data
This is actually quite interesting - what is trading after all if not following where the money's going?

Oanda have a similar page to myfxbook: http://www.oanda.sg/analysis/open-position-ratios, which can also be parsed & the percentages extracted (updated every 20 minutes). It shouldn't be hard to create a script to download the pages and dump the data into text files, and then to create an oscillator to read both values & display them as lines.

The question I'm pondering is which of the two contain a greater proportion of profitable traders? If myfxbook, for example, then when the oscillator's myfxbook line crosses oanda's it could be interpreted as the smart money making a move & the dumb money yet to adjust - in other words, an entry signal.

Edit: This might be worth checking out as well: http://www.mt4i.com/connect/connect.aspx#sentiment

Edit #2: The ratios & order volumes on the myfxbook outlook page has not updated for nearly 2 hours - so much for stats being refreshed every 60 seconds!
Author:  slipshod [ Wed Aug 15, 2012 7:42 am ]
Post subject:  Re: real time data
Here's another one (you need to register - free - to see it) ...

http://www.tradingfloor.com/topics/forex-open-orders

I can't find a way to extract the values from the page's html though, they've hidden it extremely well.
Author:  slipshod [ Wed Aug 15, 2012 1:19 pm ]
Post subject:  Re: real time data
Decided to put this to the test. I noticed that on the Oanda and Saxo sites there was a line of buy orders around the 1.045 area for AU, and no significant sell orders below around 1.06 - Oanda had light selling in the low 1.05s, Saxo did not. Also Saxo was telling me that nearly 80% of traders already had a short position on AU.

Looking at the chart I saw it had formed a falling wedge (bullish - orange lines), which it broke out of sideways creating a Chuvashov fork (a downtrend shallower than the original - yellow dashed line). I drew the supply & demand areas onto the chart to reflect what the order books were saying & then watched to see what happened.

The price dropped to the supply zone, and bounced off hard. Dropped a second time, again a hard bounce off a higher low. During this time the numbers of open long orders (not positions) on the Saxo and MyFxBook sites began to rise & quickly outnumbered the sell orders, but Oanda's lagged behind as I half expected they might.

A third pushdown bounced off a higher level again, and now it was ready to challenge the C-fork line. When it looked like breaking I entered long twice with 2 TP levels, one below each potential supply area (weak in green, strong in blue).

This is just one trade & its far from complete, but so far so good.

Edit: Watching the myfxbook numbers, they're still very erratic. Sometimes it updates with small changes every 10 minutes or so (still a far cry from the alleged 60 second refresh!) and sometimes it goes for hours with no changes, then a sudden jump - the last one I saw suddenly took long trades on AU from 58% to 42%. To me this makes myfxbook an unreliable source for this data, which is disappointing.

Saxo's seems consistent, except I still don't know how to extract it, and Oanda's is as well. The question then is which of the two have more profitable clients, and this I have no idea how to answer. Oanda's actually done pretty well in its profitability reports, though how reliable their numbers are is anyone's guess. Saxo hasn't reported its client profitability at all that I know of.
Author:  blahn [ Wed Aug 15, 2012 4:35 pm ]
Post subject:  Re: real time data
I wouldn't worry to much about trying to extract specifics(like only profitable clients, etc) yet. Just the relavant major data from any large source like you're doing for a start. If any source appears to be laggy and not update cleanly it can still be used as a confirmation against the other sources when data finally arrives.
Author:  hedgeitall [ Fri Aug 17, 2012 9:25 am ]
Post subject:  Re: real time data
slipshod wrote:Decided to put this to the test. I noticed that on the Oanda and Saxo sites there was a line of buy orders around the 1.045 area for AU, and no significant sell orders below around 1.06 - Oanda had light selling in the low 1.05s, Saxo did not. Also Saxo was telling me that nearly 80% of traders already had a short position on AU.

Looking at the chart I saw it had formed a falling wedge (bullish - orange lines), which it broke out of sideways creating a Chuvashov fork (a downtrend shallower than the original - yellow dashed line). I drew the supply & demand areas onto the chart to reflect what the order books were saying & then watched to see what happened.

The price dropped to the supply zone, and bounced off hard. Dropped a second time, again a hard bounce off a higher low. During this time the numbers of open long orders (not positions) on the Saxo and MyFxBook sites began to rise & quickly outnumbered the sell orders, but Oanda's lagged behind as I half expected they might.

A third pushdown bounced off a higher level again, and now it was ready to challenge the C-fork line. When it looked like breaking I entered long twice with 2 TP levels, one below each potential supply area (weak in green, strong in blue).

This is just one trade & its far from complete, but so far so good.

Edit: Watching the myfxbook numbers, they're still very erratic. Sometimes it updates with small changes every 10 minutes or so (still a far cry from the alleged 60 second refresh!) and sometimes it goes for hours with no changes, then a sudden jump - the last one I saw suddenly took long trades on AU from 58% to 42%. To me this makes myfxbook an unreliable source for this data, which is disappointing.

Saxo's seems consistent, except I still don't know how to extract it, and Oanda's is as well. The question then is which of the two have more profitable clients, and this I have no idea how to answer. Oanda's actually done pretty well in its profitability reports, though how reliable their numbers are is anyone's guess. Saxo hasn't reported its client profitability at all that I know of.
While i was researching Data-Miner there were forums discussing how to extract data from Java sources, etc. I looked at Oanda and I think it is doable, but I have not had time to look further.

I havent seen that the slow updating of myfxbook has affected the results hugely. It seems the percentages dont move that fast.

You could probably use the myfxbook data for more then just following traders.
Probably using it as a filter or with other indicators would be good.
A big movement in orders in a short period for instance could be a big news event?
Orders moving over 70% for eg, could be indication of support/resistance?
Orders at or near 50% for a long period could mean indecision in the market?
Also it might be faster then waiting for a traditional indicator to tell you what is happening?

You could call it the "Following the Sheep Indicator" or "Bahh Bahh" for short. :roll:

When I get time I would like to try to make a News Indicator. One that scans news sites and tries to interpret the data. It might be a bit ambitious for me. Twitter might be better? All news it twittered and you only have to deal with headline type news and the number of times it is retwittered might be of benefit?
With this you would get all news, disasters and all, not just scheduled news.

then you could combine, myfxbook with news, and technicals, all providing confirmation.
Author:  slipshod [ Fri Aug 17, 2012 12:10 pm ]
Post subject:  Re: real time data
Oanda is easy as the stats are there in plain text on its pages - for its Open Positions anyway.

What I'm trying to evaluate though is how to use the data, and also data of different types. For instance, on both the Oanda and Saxo sites you can see both Open Orders (pending buys/sells, stop losses and TP levels) and Open Positions, where traders have already committed. MyFxBook only shows Open Positions. Neither Oanda or Saxo present the Open Orders data in a form that can be extracted for use in an indicator, not that I've yet found anyway.

Positions has value in that it shows what the prevailing sentiment is, particularly gradual changes in position ratios, but OTOH its just telling you about money that's already entered the market & is powerless to affect it anymore.

Orders are another story. Oanda's graphs in particular (an example below, see if you can work it out) show where concentrations of such orders are gathered, and from that you know where to look for areas where the price may potentially reverse, or whether traders are adding more orders to follow the price as it moves (thus supporting the current movement). Of course, strong momentum with big money entering at market can smash through an area with a concentration of orders as if its tissue paper ;)

Image

Apologies - the forum's truncated the image. Right click & select View Image then click on it to zoom in if needed.

In summary while these together give a bit of a "cheat sheet" on the market, its only on a slice of the market covered by whichever broker's producing the stats, and it'll include good trades along with bad. Sometimes the price will bounce off an Open Orders area, as it did in my example a few posts back, and sometimes not - that's why we need confirmation of some kind that the market has responded to it - trendlines broken or MAs crossing etc.
Author:  slipshod [ Fri Aug 17, 2012 12:44 pm ]
Post subject:  Re: real time data
The above image was of AU, so I thought I'd analyse how the price behaved today in relation to what you see in those graphs.

I've transposed by hand the areas of strong & weak buy/sell orders onto Empty4's chart.

Edit: Rather than choke up this thread with a discussion of my trading adventures using the above, I've started a new thread in the manual section (http://www.stevehopwoodforex.com/phpBB3 ... f=16&t=767).
Author:  hedgeitall [ Fri Aug 17, 2012 3:56 pm ]
Post subject:  Re: real time data
slipshod wrote:The above image was of AU, so I thought I'd analyse how the price behaved today in relation to what you see in those graphs.

I've transposed by hand the areas of strong & weak buy/sell orders onto Empty4's chart.
Pretty much what I have seen with myfxbook sentiment is the orders go short when the market is overbought and long when oversold. Similar to what you posted with the AU chart.

I would guess that my ea would be more profitable if it opened trades at 60% & 40% instead of 50%.

GU was the best performer by far. Maybe it is more predictable? Maybe better traders trade GU? Just guessing.

Collecting the data from Oanda or Saxo and putting it on a chart, etc will give a clearer picture of how the data reacts to the market.
Dont miss that point... How the data reacts to the market :)

BTW Oanda Silver long v short - 83% long. I was just looking at the silver chart. It looks fairly flat to me. Why would so many ppl be long on silver? Maybe there are more long term traders of metals?
Author:  slipshod [ Fri Aug 17, 2012 4:18 pm ]
Post subject:  Re: real time data
hedgeitall wrote:Collecting the data from Oanda or Saxo and putting it on a chart, etc will give a clearer picture of how the data reacts to the market.
Dont miss that point... How the data reacts to the market :)
Absolutely, that's it in a nutshell, and its what I like about Oanda's historical open orders images especially. You can see whether new orders are added behind a price move, indicating potential support on retraces, or where resistance to the move is starting to form.

Its also how the market reacts to the data. For instance if Oanda etc tell you there's a bunch of buy orders in an area the price drops down to, you obviously can't & shouldn't just jump in long assuming a bounce. Instead watching how the price behaves you can see whether or not those orders are real & if they're capable of turning momentum upwards or not - but that foreknowledge gives you at least a bit of an edge that you wouldn't otherwise have, assuming the data is accurate.
BTW Oanda Silver long v short - 83% long. I was just looking at the silver chart. It looks fairly flat to me. Why would so many ppl be long on silver? Maybe there are more long term traders of metals?
Yeah I saw that too. That silver chart is very flat with lots of spikes up & down in the range, can't see any reason at all why there'd be a predominant sentiment one way or the other. Not going near it with a 10 foot barge pole :)
Author:  hedgeitall [ Sat Aug 18, 2012 2:13 am ]
Post subject:  Re: real time data
Just a thought, Does Oanda or other brokers have indicators for open positions? Worth checking before reinventing the wheel.
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