...sceeto's Tape Meter

Tape Meter surfaces basic, yet germane, tape reading information on 4 tick range bars for ES via color-coded dots.

The information plotted regards Bar Duration (Purple), Tick Ratio (Yellow), Number of Trades (Teal), and Volume (Light Green).

Tape Meter will only plot a dot above or below the bar if the activity on the bar exceeds certain threshold limits. If the minimum threshold limits are not met, then no plotting will take place.

There are 4 threshold limits for each indication:

  • Current Value <= -1 Standard Deviation above the average number going back 1000 bars | Small dot below the high of the bar
  • Current Value <= -2 Standard Deviation above the average number going back 1000 bars | Large dot below the high of the bar
  • Current Value >= 1 Standard Deviation above the average number going back 1000 bars | Small dot above the high of the bar
  • Current Value >= 2 Standard Deviation above the average number going back 1000 bars | Large dot above the high of the bar

 

The following graphic shows the color coding for each indication (Duration, Tick Ratio, Number of Trades, Volume):

Tape Meter - Plot Parameters

T = Number of Transactions within the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average number of transactions over the prior 1,000 bars.
e.g.
T++ = # of transactions within the 4 tick range bar > 2nd Standard Deviation of the average number of transactions over the last 1,000 bars.
V = Volume of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Volume over the prior 1,000 bars.
e.g.

V- = Volume within the 4 tick range bar < 1st Standard Deviation of the average Volume over the last 1,000 bars.
U = Upticks - Downticks of the 4 tick range bar where the Order Flow Event occurred above\below Standard Deviation of average Upticks - Downticks over the prior 1,000 bars.
e.g.
U++ =  Upticks - Downticks within the 4 tick range bar > 2nd Standard Deviation of the average  Upticks - Downticks over the last 1,000 bars.
s = Duration = Duration of 4 tick range bar in seconds.
e.g.
160 s = 160 seconds = 2 minutes & 40 seconds.
Note - If an Order Flow Event does not have a V or T or U this indicates that these metrics did not breach +/- 1 Standard Deviation of their average of the prior 1,000 bars.

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Subcategories

HFT - PALS