OFA supports IQ feed, Rithmic/R-Trader, ZenFire or any other feed you want to use through NT7. IQ/Kinetic is a subscription feed, not a clearing feed. They have a completely different composition. You can’t send an order to the exchange from IQfeed. You need a trade routing engine which in the case of ZenFire/Rithmic - it is designed to maximize quote messaging, not trade reporting. This is why you have differences in the data. There is not really any excuse – we’d love to see them match, it’s just a fact that the feeds are designed for totally different purposes… And if you fully understand the relationship of execution clearing – it really should not make any difference in your analysis – contrary to the reporting in this thread. For every buyer at the offer there is a seller offering. The relationship cannot be driven down to only one side and somehow validate the logic. Using terms like "parsed" is one way to avoid the fact that you are ignoring the market depth. And if you choose to avoid the market depth in order flow analysis - particularly in a HFT instrument like the ES - well, you are only seeing 50% of the logic.
I want to apologize in advance for the long post. I have no intention to use this forum for advertising. Trade to Win provides an excellent service for traders to discuss ideas and issues. I felt I had the obligation to acknowledge the post in general and I am posting a similar response in another forum. I realize the trolls will explode with negative comments – I’m just offering to be part of the conversation… Any questions directed to our website will be answered and I will humbly accept all the ego-driven insults that follow this post…
As is the case with anything being offered at a price - there is tremendous speculation by the weary, posturing by the competition, criticism by those unable/unwilling to do for themselves… and a few nice comments. Personally I would never buy any software or trading advice from anyone. I choose to develop and design my own ideas, concepts and intellectual property. For those lacking the resources, knowledge, skills, endurance and imagination required to do so, this industry is filled with people willing to share their work (and often the work of others) for whatever fair price the market dictates.
When you can’t find what you want on the open market you can simply give up or build it yourself. I chose to build it myself.
The OFA application was built because I had a vision for how I wanted to track the bid and ask strike data on the ES. When I approached existing companies like Market Delta to offer customizations that would result in what I was looking for, all doors were shut abruptly in my face. This is an ugly industry. No existing charting company will consider the possibility that there is a better way of doing things, mostly because 99% of developers don’t trade. If they ever did trade, they were not good enough to continue. Once you take the active trader out of the development process, you can assume any resulting product is completely worthless. Developers end up producing “features” rather than “benefits”. Trading is a feature-rich and benefit-deficient industry.
The tools I build are complex, purpose specific, expensive and by no means collectively a magic system – but they are a direct benefit to my trading. They are parts and pieces of what help me execute and manage trades consistently. Just as Fulcrum swears by the cumulative delta and open inventory, or Bill Duryea swears by 5 tick reversals… We all have our own way of looking at the same data. None are more right than any other. We look for consistent patterns that we can capitalize on. In my case I design software to solidify the patterns I see and use rather than trying to interpret some other developer’s limited scope. I rely on the statistics of the Order Flow patterns as defined by my software to develop trading strategies. I have to know week to week and month to month what the probable outcome of each pattern is in order to effectively trade from or with them.
For me Order Flow trading involves playing into the revolving exhaustion points as we trade through responsive market depth. I know exactly what to expect when I see clusters of volume exceeding average supply or demand. I know that I can reduce my draw-downs if I avoid putting my stops directly into the pocket of stop-runs that regularly follow these clusters. That is what my software is designed to illustrate and my strategies are designed to capitalize on. I am not interested in the net difference of market orders from 2 days ago – and I don’t care about catching every swing of the market. I want to attack the market when I understand that I have a probable edge. That is what I built OFA for.
When there is a large fee attached to services the speculation and criticism land in forums like this one… In the end, anything offered by OFA or any of the other vendors that have tried (and done poorly) to sound impartial here will always be available to you for free if you are willing to accept the alternative real cost: your time, work, equity, endurance and imagination to develop your own trading methods.
Should you prefer to bypass the alternative real cost, you have many options out there… Software, seminars, systems, books, videos, etc. In your quest as a consumer of other people’s work, consider a golfer who plays poorly and wants to make a change in his game. Should he spend $300 on a new driver or $300 on a golf lesson? You decide which will have more impact. Some will choose both. Some just the lesson. Some will continue to slice into the trees while cursing their new club.
Here are 5 points to consider before making your next trading-related purchase:
1. If you think you can’t afford it, you can’t.
2. If it sounds too good to be true, it is.
3. If you are promised instant profits, you won’t get them.
4. If you expect someone else to do the work for you, they won’t.
5. If you are undercapitalized or under-disciplined you will fail no matter what you buy.
This includes the purchase of OFA. Trading is work. It’s not easy. There is no secret. Successful speculation requires capital, courage and good judgment. Capital is common. Courage is widespread. Good judgment is the only rare commodity in this industry.
D.B. Vaello
OrderFlowAnalytics.Com
