The data in time & sales is the only data we have that is generated by the market in real time. The time & sales shows:
- time
- price
- volume
- bid
- ask
In my opinion the time data is often ignored yet highly useful. Moves start and end with a flurry of trade activity. If you watch the time & sales when trading then you’ll see this, often called “flooding”. At the beginning of a move if you’re long you want to see a flood of buying. Ideally you want to be in before the flood to avoid slippage and getting in at a higher price, but at the same time this flood can give you confirmation for your trade.
At the end of the move, all the “laggards” will be joining in, thinking that the move will continue forever. Using the long as an example, the late-comers will be buying in. And the high price will attract sellers. The result is another increase in the trade intensity. Only this time it’s a sign of exhaustion.
Exhaustion doesn’t always mean the move is over. The market can simple pause and take a breather, or even pullback a little. It can then either continue the original direction (up in our example) or go into a correction. This tool alone cannot tell you which is going to happen so it’s important that you use it with other tools.
I also find that there will be an increase in the trade intensity when stops are taken out. This often happens immediately before a reversal.
So how do I use this tool? I use it to alert me to potential buying & selling exhaustion. I do not use it as a signal to enter trades. My trading is based on discretion. I look for a confluence amongst all my data, and the pace of tape is just one piece of the puzzle. I typically don’t even look at the chart. Instead I rely on the audio alerts.
The following video and chart explains some of these concepts. For the indicator to be responsible, a very fast tick (or volume) chart must be used. It’s important to point out that I do not trade off this chart, I’m only showing it here with my chart markers to illustrate how the indicator can be one element in a decision making process. Please make sure you understand that I am not looking at this chart while trading. This has been a source of confusion before and I want that to be perfectly clear. Since I trade using multiple charts, the reasons for my trades cannot be seen on this chart alone.
The image below shows the signals & trades that I discuss in the video.
Click the image to see it full size
SETTINGS
This indicator only works on a fast tick chart (does not work on minute or any other chart time). I I suggest putting it on its own chart and not on your main trading chart that way you can trade whatever timeframe you want.
There are 3 settings you need:
- The tick bar size. This is basically the increment size for the reading. If you use 100 tick it’ll increment by 100. So a 1 tick would be most accurate but I prefer 100 so that I can read the price action on the chart.
- The period is the number of seconds in which to look for the trades. If you put 5 seconds it’ll display the number of trades in the last 5 seconds.
- The threshold is the required number of trades in the last period in order to give a signal (turn orange and display the paintbar). There is no single best parameter as it depends on the market and the activity. I just eyeball it so that it gives me a few signals but not too many and then update it every week if needed.
Available for NinjaTrader 6.5 & 7.0: PaceOfTape NT65 v1.0.4 & wav file for alert (unzip and place the wav file in C:\Program Files\NinjaTrader 6.5\sounds)
Available for Multicharts (Thanks to Richard):PaceOfTape MC Source
I hope to make it available for other platforms in the future. If you’re a developer and would like to help make it available for your platform please let me know.
RSS
Email
Twitter
I discovered your indicator in the TL ( treade with Urma Blume today). It looks very usefull. I am going to download it and try. I will give you some feed back about. Thank you very much for sharing. As I am not able to programm Ninja, for me, getting the work of sombody else, is always something I apretiate very much. A good trading and a nice week-end from Italy
Angelal
Hello, thanks, for this usefull indicator, one item that might make it better is if you could have an option to filter the trade volume. So for instance only use the trades that are >24 contracts, might give a different picture
Thank you for your comment. Large traders can split their orders into smaller orders which will cause a higher trade intensity and I want to track these traders so filtering on a high trade size would miss them.
Thank you for your work on this.
When I tried to install the indicator in NT6.5 it returned a script error and failed. Has anyone else had a similar problem?
Thanks again.
Hi Frank, please use the contact page to send me a message with the details of your error message and I’ll see if I can help.
Hello.
I trade mainly the ES. Any suggestion about ideal number of ticks, period, threshold?
This indicator looks promising
Thanks
Thank you for your question. The best settings really depend on how you trade. I go for 1-4 pts on ES so I prefer to be alerted to the bigger reversals. I like a period of 5 seconds. For the tick bar size, that doesn’t really make that big of a difference. The lower the tick size the more accurate the reading. But I don’t like to too small because then it’s hard to see the price movement on that chart. So I use 100 ticks. And for the threshold, just eyeball it. Take a few days and pick a threshold that will give you the number of signals that you want. This can change with market activity so you may want to adjust it every few days.
Let me know how it works for you.
Works on NT7 fyi but I didn’t import it – just copied cs file and made my own script name.
Nice work.
what actually is the definition of the period and the threshold?
I just updated the page with information on the parameters.
Your description above mentions that the indicator is available for both NT 6.5 and NT 7, but there is only one download link labeled “PaceOfTape NT65 v1.0.4″. Is there a separate file for NT 7, or will the same file work with either? Also, will it work with the current version of NT 7 (beta 17)? Thanks.
Hi Oscar. I updated the text for NT7 because Mindset said it worked with NT7. I use NT65 for my trading so I haven’t tested any of my indicators with NT7. However I plan to do that soon to see if I can upgrade to NT7 for my own trading. I’ll update the page once I’ve tested it with NT7. Thanks.
I’m also looking for the inputs for NT 7. I’ve never got this to work. One time bars were blue, one time orange, but never both. I’m trading the ES. Please someone provide some settings where I the bars turn from normal blue to high orange, and the type of chart they used (ie 150 Tick chart, 3minute chart).
Hi Cam, I just installed NT7 last night and I’m going to test my indicators and release them for NT7.
For the settings, I describe mine in the page. For ES 100 tick bar with 5 seconds and determine your threshold yourself by eyeballing a few days of data. The ideal threshold will depend on activity so it can change now and then.
Very nice work – especially nice of you to share your labor with the trading community. Would love to get it to work for Tradestation! Does anyone know of a similar indicator written in their Easy language format?
Thanks Paul. I don’t believe in any magic setups or indicators so there is no real reason not to share anything. 99% of the traders won’t put in the necessary work so by sharing I hope to connect with the 1% who do.
I’m considering working on a TS version but it could only work with live data, not historically. So for now the priority has been on the ninjatrader version. But if I get some free time I want to make a TS version.
Hi there,
Thank you Mike for this indicator.
However it doesn’t seem to work for me.
All I see is blue single line bars and that’s it. No matter how much change the settings.
Can you please send me a screen shot of what you see and a screen shot of the settings properties? You can do that here or via the contact form and I’ll do my best to help you.
Hi Mike,
Thanks for your reply.
Here is screenshot of the chart:
http://i163.photobucket.com/albums/t314/ripleyx/ES-Chart-PaceofTape.jpg
The settings are on default:
http://i163.photobucket.com/albums/t314/ripleyx/PaceofTape-settings.jpg
Thanks.
Cheers.
Matt
Matt – This indicator only works on a tick chart. I wrote that in the text but maybe I didn’t emphasize it enough. Put it on a 100 tick chart and I’m sure you’ll get better results.
Thanks mike it works now. Only for <100 ticks but.
Matt – it will work on any tick size, it just won’t be as accurate. The most accurate would be a 1 tick chart but that is not very readable and takes up more CPU so 100 ticks is a compromise.
Great work on the pace of tape indicator. I tried to click on the Multichart option, but I all got was the language codes (I think). How do I incorporate it into Multicharts please? Thanks
Norman
Hi Michael,
I discovered your indicator when researching an educator/trader who looks like he stole or copied your indicator. I found the indicator very interesting when I trialed his room and thought that the pace of tape would be a great confirmation indicator in certain cases. I’m glad I found your post and look forward to working with the indicator.
I don’ t know if you’ve looked at the indicator on a contract like crude oil, but I set it up on a 34 tick chart with a period of 5 and threshold of 150. Do you think these are reasonable settings to start from?
Thank you so much for sharing this indicator. It’s not often when you come across someone who genuinely wants to help and share their findings without having a hidden agenda. I wish you much trading & life success.
Steve
Stephen,
I’m not sure who might have “copied” Michael’s pace of tape indicator, but these indicators are ideas that anyone can code on their own and refine to “improve” for personal use — and to sell if they can.
For example, Michael uses “Better Momentum” and “Better Sine Wave” from Barry at Emini-Watch, and has “borrowed” Barry’s “Better Pro-AM” by coding it himself and “improved” it by adding a second level of higher and lower average-trade-size paint-bars to the indicator.
Just the nature of indicators.
- Jimmy
Steve – The educator you speak of was one of the sources I used for my indicator, so he did not copy it from me. The idea is so simple I don’t think anyone can call it copying. I have a new version that has a lot more of my own original work but for the moment I’ve decided to keep it private.
Also be careful of this educator, I’ve read a lot of bad comments, particularly this thread: http://tinyurl.com/3xmtpul
Jimmy – This is a touchy subject. My take is that I like to reverse engineer a lot of interesting stuff for my own curiosity. But I do not wish to interfere with others’ business. However in some cases the idea is so trivial that anyone can code it and for that I think it’s ok. Pace of Tape falls into this category. I can’t see selling it because it’s so simple. Yet at the same time I have my own way of measuring it and more importantly, my own way of using it in my trading. So it’s not just the code that I want to share but also the use.
For better momentum & sine wave, I know how these work. The code for the sine wave comes from Ehlers’ book so with a bit of effort anyone can code it themselves. However I use Barry’s versions because I have nothing original to contribute to them. His divergence algorithm for better momentum is excellent.
The pro bar is different. My original contribution to this one is my own way to detect professional activity (which I’ve shared with Barry). It results in more bars being colored blue or yellow, and also gauges the strength of the activity. I find this very useful in my trading. Also I wanted to have this on Ninjatrader. So I make it available for others as well.
I have some other indicators that for now I’m keeping private. Most of it has come from ideas from others, and some is even a result of others sharing their ideas privately with me.
I hope that makes things more clear. I could release my own version of most indicators out there. But I will not do that. I only release what I use in my own trading. I’m not a software vendor.
BTW In my About Page I link back to Barry’s indicators at his site because I believe his indicators & method are among the best available & they’re reasonably priced.
Michael,
You seem very conscientious about this. I appreciate that, and agree with you completely.
One of the best indicators that i ever find. easy, and really works. Thanks for your great work.
Hi Michael,
this looks like a very useful indicator indeed, thanks for your generosity in sharing.
However I have some problems installing the main file, I run Ninja 6.5 and the sound file goes OK, but with the main file I get to a .cs file that my PC don’t understand how to open. Could you tell me how to go about doing the installation in detail plz…?
Thanks a lot,
Johan
Hi again Michael – I figured it out myself how to do this, a bit new to Ninja, that is why…
, I use esignal as my primary tool, I don’t suppose there is a way to get it into esignal right?
Thanks so much!!
hi Michael
Greetings from Sillypore, I hope this comment finds you well and mighty fine.
The Better momentum indicator of Barry Taylor as I understand on Trade Station uses volume at bid and ask. Which is why he says it is not available for Ninja Trader.
Has things changed for NT since then? Is NT able to receive volume data at bid and ask? Or the way your indicator works is different.
Would look forward to your reply
thanks loads
and also Pace of Tape is on NT as you said there are limitations on TS. What might you think would be the limitations brieftly
I accidently replied to the previous two comments by email (I thought they were emails to me, I’m new to the blogging stuff) so for completeness i”ll answer them here too:
TS has historical trades onuptick/downtick which is a proxy for trades at bid/ask but is not the same (as an excercise, see if you can figure out why they’re not the same). Ninjatrader unfortunately doesn’t have this and it’s a major limitation. In V7 Ninja tried to get around the issue by hacking together some historical bid/ask but it’s not synchronized with the trade data so it’s completely useless for trading although useful for their marketing to claim they “have historical bid/ask”.
I imagine the Better Momentum for NT will be realtime only, we’ll have to wait and see.
The limitation of Pace of Tape for Tradestation is that Tradestation timestamps bars with 1 minute granularity. this is a serious limitation of Tradestation. It seems there is no perfect trading platform and that’s why I use each own for its strengths and look elsewhere due to limitations.
Hello,
thanks for this indicator. But I have a question: I have this indicator now on a 100 Tick chart of EUR/USD and set to 5 seconds and threshold to 110 (I´m not sure yet if this makes sense) but the question is why all POT-bars look same and have size 100?? What might be the misunderstanding on my side? Is this to use only for futures with volume maybe?
Thank You!
Tony
Tony – Forex doesn’t have volume so this only works on futures and I suppose stocks but I haven’t tried it with stocks.
Michael,
thank you for your prompt reply. I know there is no volume, because of “tick” I thought it measures the incoming ticks.
In the meantime I have added to 6E futures contract with 100 tick-chart, period 5 and threshold 110. All normal POT-bars have same size (100), only orange POT-high have different size. Can this be OK?
Thank You!
Tony
As I wrote in the section called “Settings” above, if you use 100 it’ll increment by 100. So 100 is the minimum. You’ll have to play around with the settings to find what works with the Euro, I haven’t used it on Euro. I haven’t used this indicator in a long time so I don’t really remember much about the settings.
hi Michael happy new year..
Thanks for the indicator it looks interesting. I used it on a range chart and seems to work although i see blue lines only increasing or decreasing in height.
Is this ok with a range chart?
Thanx
DImitris
As stated above, it must be used on a fast tick chart.
You will never believe it but I have been looking for something like this forever, thank you so much for sharing I truly appreciate it
Regards
Dean
South Africa
Saw this yesterday, coded an esignal version if you’d like to add it.
Hi,
Sorry to ask but I’m new to NinjaTrader and have some problem installing this script. I’m using NJ 7. The File ->Util -> import is expecting a Njnja Script. The script in the Zip folder is .cs ; so it does not load.
Thanks in advance.
Tom.
Tom – just import the zip file, don’t unzip it. That works for me. The other way is to unzip the file and copy the .cs into ninja’s indicator directory.
Michael,
Many thanks for you quick response…
I was able to install the indicator per your instruction. But the chart I got is similar to what Matt ( an earlier poster) has experienced.
I use NJ 7 , 33 tick chart using the market replay function with the recorded data. attached is the screen shot of the configuration and how it displayed.
http://i1136.photobucket.com/albums/n500/tdo_001/Trade/snap04Feb131119.gif
Please advise when you have time.
Thanks again
Tom
Tom – Try calculate on bar close = true. false is not necessary. If it still doesn’t look right, try on ES, I’m not familiar with FSLR.
hello, does your pace of tape indicator work for the newest version of ninja trader??? Is it easy to build this indicator and alert through the script wizard on Ninja Trader? thx
I love this filter,and wanted to find u and say thanks for sharing,
do you have a version of your ‘pace of tape indicator’ to work for the newest version of ninja trader 7 – ??? If so where might I find it??
Frank – does the version I posted not work for NT? worst case you can extract the .cs file and copy it to your NT7 indicator directory. i use this on NT7 but I am not sure I have packaged it up with NT7.
Hi Michael
I would like to develop the indicator for CQG. If you could please e-mail me we can try and do this?
Regards,
Pieter