TradeFlow Aggregation
A reader inquired about my TradeFlow charts referencing a five-tick range. This is called Aggregation, and is available in Version 7.4. A short review is in order. When CQG first introduced TradeFlow, we could see the potential of knowing who the aggressors are: the buyers or the sellers. A TradeFlow bar, which uses the best ask for the high and the best bid for the low, indicates by color-coding whether a trader hit a bid (sold) or lifted an offer (bought) to generate the last price. In addition, the amount of executed volume is reflected by the brightness of the coloring and the width of the bar. Bright and wide TradeFlow bars indicate high activity by traders, and thin/dark TradeFlow bars are a sign of low trader activity. As I have pointed out, other styles of charting just show you the last price, and you do not know if a trader hit the bid or lifted the offer.
One advantage to TradeFlow bars is applied in 7.4 in that the CQG DOMTrader and a TradeFlow chart can be linked. Now, as you are watching the changing action in the market place by the shifting bids and asks in the DOM ladder, you can also see the trades executed while the inside market was changing. The ability to spot support and resistance levels and place your orders within that context is enhanced by this feature in CQG’s DOMTrader.
Following the action in the DOMTrader and the linked TradeFlow charts gives you the sense of the velocity of the market. For some traders, they want to step back and have a view that is not on a trade-by-trade basis. For that, CQG came up with Aggregated TradeFlow.
Currently, CQG offers two types of Aggregation: Tick and Bar. This set of charts gives examples of the two types. Tick Aggregation is in reference to a high-low range. Chart A is the basic TradeFlow chart (all charts have the TradeFlow Volume study attached). Chart B is an Aggregated TradeFlow Chart set to 5-ticks. Here, the reference to Tick is a price difference, not an individual trade. In other words, each TradeFlow bar has a high-low range of 5-ticks. For example, the low could be 1425.00 and the high would be 1426.25. If the market traded at 1426.50 (six ticks up from the low), then a new TradeFlow bar starts. This is not five ticks of volume.
Chart C is Aggregated TradeFlow set to 5-bars. Here, every time there are five “individual” TradeFlow bars, a new Aggregated TradeFlow bar is plotted.
The Aggregation feature can be as high as twenty for both the Tick version and the Bar version. Chart D is a CQG Constant Volume Bar set to 1,000 contracts, just for comparison. The high and the low of each bar are plotted based on 1,000 contracts changing hands. Time is not a factor.
There is a new version of Aggregated TradeFlow coming called smoothed TradeFlow. This aggregation feature does a nice job of reducing the noise about the trend of the market.
January 21st, 2007 at 6:08 am
Thom hi,
i have a few q’s, using cqg for a while now but know one could offer me help on TFlow… spoke to helmut and he is really good but you seem to know a bit more on TFlow… would you send me an email, cheers….