udc

The yellowish (yellow/gold/sand/brown) lines are the UDC Levels. I've made two different variants of the algorithm that can't be "averaged" together (or more precisely - so far all my attempts to do so failed) so I simply keep them separate (which makes them even more interesting when/if they actually converge). UDC Levels is my attempt at quote stream reverse engineering, nothing to do with CME whatsoever.

I know it probably sounds crazy to you (reverse engineering what? from what? back into what?) and whatever I would say would be just unverifiable words anyway, so let me just say one thing: I am not dead nor dying yet but this will probably be considered my lifetime work from market data analysis field. I could write papers on that but it would be gibberish for many. For quite a long time I was scouting all available resources (various source codes, documentations, theories, quantum finance research, forums and various talks) and so far haven't found not even a mention about any algorithm similar to what I created, so it seems to be indeed an original idea. But there is still a chance something will pop up later when I officially come forward with it.

However at the end of the day it doesn't really matter what it is or what I say or claim about it, all what matters is what it does and the most importantly how/if it can help you. So just watch it, a picture is worth a thousand words anyway.

 

The whole right half of the picture is the currency pairs reversed back into individual currencies. That idea is neither new nor revolutionary, but it differs from the existing ones in its implementation. They all are using very primitive calculations bearing several fundamental flaws, they are inaccurate and don't compare apples to apples. I developed the first draft of my version in 2007 and this is its current form. Still, it could be improved even further. But again, forget what I say and just watch it. Here is a tip for an unorthodox use of this thing: use it as a screen-saver! No, but seriously, I like to watch how the big players are shifting their billions from one currency to another. Who gives you such information, and in the real-time at that?

 

Cyan/magenta lines/dots and green/red lines/dots should be obvious for every seasoned OBEList here. All the rest is just a decoration, not part of the offer.

Glad you like it.

 

Well, the best you can do is just to watch it. If you have two 1920x1200 monitors then you can see the whole thing at once, otherwise just pick the view that suits you the best. Don't forget you can switch the browser into the full-screen by pressing F11, also you can zoom out/in the whole page by pressing the minus/plus sign on numeric keypad while holding down CTRL. The fast-forwarded videos should help too. Most people stop trading by the end of New York session and if you are on the American continent you should be able to find the respective videos from the day on YouTube before you go to bed (don't forget to always click on the gear icon and set quality to "original"). There you will see the last 3 hours from Asia session, through the whole London up to the end of New York, 17 hours in total, and you can watch it all in less than 45 minutes. You can reminisce about your own trading from that day and the most importantly you can see what this thing was doing and showing at that time and, as TRO would say, you can ponder how it may have been helpful in your trading. If you do that long enough you should be able to figure out how to use it to your own benefit. And if not then, well, no harm done.

Some news

 

Hi everyone,

 

I am sorry I left this forum some time ago but, simply put, the level of human s.t.u.p.i.d.i.t.y in the other thread was just unbearable.

 

 

Anyway, I kept working on the OBEL technology I created here, improved it and combined it with few my other not-yet-sold technologies from my software portfolio and the result seems quite interesting. Especially the OBELs are proving to be a very fitting addition to my UDC Levels, a thing I am working on for the last two years.

 

To show it off I made a simple visual interpretation in Metatrader (it's all arranged together into one very huge desktop 3840x1200, further logically divided into left and right half), let it run on my server and now I am giving you 2 ways how to watch it:

1. you can watch the videos from the past days at www.youtube.com/UDCprogrammer. These videos are recorded and published automatically and are 24 times accelerated so that it's not that boring to watch them.
   
2. you can watch it in the real-time at us.udc-programming.info (for people from U.S. region) or eu.udc-programming.info (for everyone else), just use "indo" as the username as well as the password.
   
3. 
   

Now, to avoid some confusion as for why I am giving you access to all this for free. Short answer: because I can. No, but seriously, it's still under development and once it's ready I am going to offer the real-time data feed generated by these technologies to the various companies. At the moment I don't really have any plan to target the retail sector, I am not a marketer, it doesn't suit me to deal with the retail customers. In order to be able to offer it to those companies, though, I obviously need a way to show what it's doing, how it's working. Hence the videos and these two websites. Then, in compliance with the licensing models and other agreement conditions, this free access will most probably be shut down. So, since I like the community and the spirit of this forum, I figured why not to let you in in the meantime.

 

To make it clear: there is no marketing pitch, I don't expect you to subscribe or thumb-up/thumb-down or comment on the youtube videos (in fact I would like you to do none of that), nor to advertise this outside of this forum (I would really appreciate if you keep it within this forum only, although I am well aware that this is a public forum).

 

Just remember this is still under heavy development, there may be interruptions or it may suddenly be shut down without prior warning, but in general it should be ok (unless you overload those little servers). Also, don't ask me what this or that component is supposed to do, I leave that to your imagination, and unless it's a really very cool idea don't ask me to rearrange the view. If you find any of this to be helpful in your trading, enjoy it and make the best of it while you can.

 

 

 

 

San4x et al.: yes, the OBEL-engine I published here doesn't work correctly anymore, CME did indeed change the syntax. I will try to look into this and fix it, but it's not that trivial as it may seem and the time is the factor too. Fixing this particular thing is trivial but there have been several other bugs that you don't know (yet) about (keep in mind that there are several months of development between the code you have and what I have now) and I can't just fix one bug and keep the other bugs in place (it's a programmer's reputation thing) neither can I simply take the code I have and give it to you because it's not anymore in Metatrader, it's integrated within the standalone server code. Anyone else willing to fix it is more than welcome to do so, though, at the end that's why I made the source codes available so that you are not dependent on me.

Shaan19, you seem to not understand my point, that is if you try to command people they may just leave. Cui bono? Cui prodest?

 

That's the fact that will not change not a little bit, no matter how much you don't like it. In your whole post all you demonstrated is nothing but a bad attitude and a lot of human s.t.u.p.i.d.i.t.y you apparently possess. And also something else, see the spoiler. As iqofgenius indicated, you may be better off going back to those "few super private sites" where "you belong", as you claim.

 

[spoiler=freedom]I do not have any boss. I am a programmer, doing it since the mid 80s and have my own business. Judging by the standard of your posts you most probably haven't been even born for a long time yet, back then. Thus you can't remember the cold war and what it was like in half of the Europe. Even if you read and watch all the books and movie documents you won't even start having the idea. You can't imagine what it is like to live in a country you are not allowed to leave (except visiting the other communist countries), a country surrounded by barbed wire fence with countless soldiers with machine guns who shoot anyone trying to get in or out at sight. You can't imagine the feeling when you are totally isolated from the rest of the world, where you can't get any news from the outside except the sick deformed "reality" that is presented to you by the Party (check Orwell's 1984). No western newspapers nor TV, Voice of America and BBC stations were heavily jammed and whoever was caught trying to listening them went straight to jail. Everyone was spying on everyone, if you showed a sign of disapproval you couldn't get any decent job (and not having a job was a criminal offense; that's right, 0% unemployment) and your kids couldn't even get to a decent high school. The communist propaganda was pumped to the kids as young as 6 years old, since they started going to school, and never stopped. They were brainwashed by regular screening of propaganda movies, mostly manufactured by USSR, the big brother. There was no concept of a private business and, except the small things, a private property in general, everything was owned and operated by the state. You couldn't escape, didn't have any say, you just had to submit and do as you were told. And if you didn't, you went to jail where you again was forced (by means of a physical torturing) to do as you were told. Above all that was a collective desperation of all those millions of people trapped in this country-wide prison against their will with no prospect of a change.

 

Actually there was some attempt of a change, back in 1968. They called it "socialism with a human face". And do you know what almost immediately happened? USSR and their daughter-countries sent the army to help "straighten up" the people here. They called it "normalization". It was a peace time, there was no war in the Europe and we were a sovereign country, yet a foreign armies invaded us. A hundred of thousands foreign soldiers, with thousands of tanks. While the whole world was just watching. What do you think the big USA did, the USA that was and still is regularly invading other countries under a false pretence? Did they help us, did they, for once, actually help liberating someone? Of course not, they were too scared of USSR and a possible nuclear conflict. And what do you think people here did? Several people burned themselves to death in protest. Young people just like you, 20 years old, 18 years old. Can you imagine how terrible the people must have felt that they were able to set themselves on fire and rather die than to submit to this tyranny? This communist terror that went on for 20 years by then (since 1948), went on for another more than 20 years, including the unprecedented military occupation, and this all was going on not in some forgotten corner of the world but right in the middle of Europe. Who knows what would have happened if Gorbachev didn't come to power in late 80s in USSR and with his revival attempts actually hugely contributed to the dissolution of the whole eastern block. Look at the North Korea, millions of people there died and dying of malnutrition despite the food aid they are getting from other countries. Those are the consequences of a closed community with zero freedom.

 

It's almost 25 years later since we have back our freedom and democracy as we had before 1948, and before WW II, and what does it look like? It's a mess, the same mess as anywhere in the free world. Over 40 years of communism that's 2 full generations of people. If you all of sudden give people back their freedom and free enterprise, the people who were mostly born already in the tyranny, how do you think they will react? It's as if you took your domesticated animal and put it in the wild. It took quite a long time before people got used to it and started taking care of themselves. It's still a mess but compared to other European countries we are doing relatively fine, nowhere near the economic problems in Greece or Spain. Those countries didn't experience what we did. One of the very few "advantages" of being forced to live in a communism is that we didn't know what the debt is, the traditional lifestyle of living on credit the whole western world, especially USA, practiced. We didn't know what a credit card is, or a mortgage, there was no such thing back then. Unfortunately we are quickly catching up the rest of the world, there is almost as much bankruptcies and foreclosures as anywhere in the world now. But anyway, since we have this experience we would never ever ever give all this mess up in exchange for "order". Never, because we would have had to give up our freedom. That's what the Americans who never actually experienced not having freedom don't understand as they in recent years so easily give up their freedom piece by piece.

 

These totalitarian regimes around all the world killed more people than all wars combined. Experiencing that, and surviving it, gives you an incredible perspective. Now, reading your post and your thoughts gives me a familiar feeling of totalitarianism. If you won't sort out your hierarchy of values you will end up being a sociopath when you grow up.

 

The freedom is what I love about this forum. I am not a trader nor I am trying to be (you would find out why, if you learn what is the average salary for a programmer with almost 30 years of experience, then double it since I am not an employee but a contractor), but I love trying to help people here, they deserve it due to the incredible amount of scams and tricks and disinformation in the retail trading world. If I ever noticed any activity of the forum moderators, it was mostly moving the threads into the better suitable sub-forums, not the censorship or the enslaving attempts. Please don't try to ruin the freedom we have here.

 

Yep , I couldn't install this one TS8-2000 SETUP OBP1Lock32.EXE

whenever I try to execute it the error popsup, that the version of this file is not compatible with the version of Windows you are running.

 

Unfortunately it's as you said, it's not compatible. When it was discussed before, I asked people to try it under Windows XP 64bit so that the cause could be better localized (it may be 64bit aspect, it may be Win7 aspect). No one bothered. I don't have time for that and simply refuse doing everything, especially if it doesn't need my expertise and anyone else willing to help can do that instead.

 

So I can't help it as I don't even know the precise cause. The only solution I can see right now would be reversing the DLL, but for that I definitely have no time, it could take months as I haven't done any serious RE in years and the Diamond Lock (the protection used in the DLL) doesn't make it any easier.

 

This is also another reason that is discouraging me from finishing the STX because you need to run the Metatrader and do all programming in virtual machine and that just adds another layer of annoyance.

 

P.S.: I was wondering, how one gets to be "BANNED"? You obviously are not really banned so is this some kind of inside joke or something?

I've made another little discovery that indicates that the realtime options webpage (http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx) is really realtime. The reason is that there is another CME webpage using the same engine but showing the 6E futures quotes and that webpage really does show the data in the real time. That other webpage is this: http://datasuite.cmegroup.com/dataSuite.html?template=nfx&productCode=6E&exchange=XCME&selected_tab=fx and here is the screenshot with the proof: http://img841.imageshack.us/img841/1803/eurusd6e.png (upper left is NT with realtime datafeed and bellow is mentioned webpage showing the same data updated at the same second).

 

So it looks promising. I am looking forward to start working on it as soon as I finish the statistics indi.

I need help importing oceanplus indicators BTX and STX into TS 9.1, I got a message saying that it is not compatible, the indicators work well in TS 8.7

 

You probably would be better off with compiling the Ocean sources. Have you tried that?

 

For who ever have problem like me find either content is 0 byte or no content at all, it maybe you need 64 byte version of 7z to open.

 

Glad you fixed your problem. I am also glad that you apologized for your repeated implications that the files I uploaded are corrupted. Way to go.

 

Any one already used this Ocean Indicator in Multicharts successfully?

If yes , kindly post the steps.thanks

 

Maybe it would be helpful if you say what problem are you actually having.

Well, sure I can send you PM but is it some kind of secret? Isn't it possible to discuss it here?

It seems you don't realize that people are making those threads and everything they post in there of their own (good)will. And they do it as they please. Sure it's a kind of mess, but that's what you always get when you have freedom. On the other hand freedom encourages people and supports their creativity.

 

Now if you try to force them to do and behave as you please, you may as well instead of having this:

V*I*B*Q*U*A*N*T
Bin@ry 0ption M@gnet
Share - $!nt3$! Fx

 

end up having this:

 

(that's right, there is nothing)

 

 

You can see around the Internet what all those regulations, closed registrations, invites, rules and whatnot can do. If it's some torrent type site based mainly on sharing files, that may work just ok in a restricted environment. But if it's a site based on ideas, each and every new layer of restrictions will just drive more and more people away. Why do you think even those very restricted closed sites open themselves time to time to a new people? Because their communities are dying, they are internally exhausted. If you lock people up in one room, no matter how good people and mutual friends they are, after some time they will have nothing more to talk about, everything will get gray, boring and discouraging.

 

You need a constant source of freshness to maintain a healthy community, that's what we have here right now. Do you really want to start limiting it just so that your searches would seemingly have a better hit/miss ratio? Will it really actually help you with that? Maybe the people won't be willing to bend over and submit to your rules, maybe your searches will return the same results as they do now, maybe you will just make everything worse for all those thousands other people who are not that lazy to actually put some effort into finding the information.

OBEL-statistics - sneak peak (wrong implementation)

 

This is the way how to not do that:

http://img38.imageshack.us/img38/3536/obelstatisticswrong.png

 

The mini-table is fine, but the mini-chart is just terrible. I want some little space between each Call and Put and a little more space between days (the groups of Call+Put) and if you compromise with making the mini-chart this way it's impossible to do any of those little things. I did implement an automatic chart scale detection so whatever scale the chart is in (zoom in/zoom out) the mini-chart would always look the same, but it's just terrible nevertheless. Not to mention that if you scroll the chart back the mini-chart would be around the corner.

 

I will draw it the right way.

 

 

P.S.: well, to be honest I cut some corners with making the mini-table too. The title ("Options xxx") and the the expiry month (in round brackets) are character-wise centered, not pixel centered. It's visible on expiry month that is centered into 3 spaces so it ended up with having 1 space to the left and 2 spaces to the right, that's why it slightly leans to the left. But I guess that's not such a big deal.

Why don't you look at my BTX port? Making STX is identical to that, just twice annoying.

No, haven't seen that webpage before. But it seems that they are dealing more with the Futures and the volume theory (which in case of CME currencies futures can not work at all) than with the Options, don't they?

OBEL engine v1.06 & OBEL v1.07

 

Changes:

 

OBEL-engine

 

Total number of instruments now is 14: 6x FX currencies, 3x equity indexes and 5x energy instruments. For the details about the newly added instruments please see the previous posts. The internal structure for combining the target URLs was reworked so that adding other instruments should be very simple now (provided there is a respective CME webpage with the data).

 

Each instrument can be individually enabled, so you can enable only those that you really want.

 

For each instrument you can specify the name of the respective CSV file. This name should be identical to the name of the Metatrader symbol. If it's not possible to use such a name (e.g. a Metatrader symbol contains characters that are not allowed to be used in the filenames), or for some reason you don't want to, you can use any filename you want and then manually specify this name in the OBEL indicator (see below).

 

Various bugfixes.

 

 

OBEL

 

New parameter "ManuallySpecifiedFilename". If the CSV filename is identical to the name of given Metatrader symbol, this parameter should be kept empty.

 

Changed defaults as indicated in the previous posts (disabled the nearest expiry month, enabled variable colors).

 

New parameter "MinVariableColor" for specifying the minimal color intensity when using the variable colors.

 

New switch "HighlightOptionsTradingHours" to highlight the Options trading hours (open outcry session) by a rectangle in the background of a color specified by the "OptionsTradingHoursColor" parameter.

 

The protracted lines (the lines from the end of the open outcry session to the beginning of the next session) can be disabled now. Also, the dotted lines (the lines from the beginning of the ongoing trading session to its end in the future) can be disabled now too (useful when the realtime data drawing will be implemented).

 

Various bugfixes.

 

 

 

Download link:

http://directmirror.com/files/SQDRJNV3

http://mir.cr/RZGGNFVE

 

 

 

Planned in the nearest future:

 

OBEL-statistics indicator, extending OBEL-engine and OBEL indicator to gather and draw the realtime Options data, other further improvements as suggested by other members.

 

 

 

If you want to help:

 

Right now it would be very useful if you could verify whether the Options data as shown on these pages:

 

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=ES&exchange=XCME&selected_tab=equity-index

 

is really real-time or delayed. If you don't have access access to the CME datafeed you could try the R|TRADER with Zen-Fire (Rithmic) demo datafeed (allegedly should contain the Options data). The webpage to register for a demo and download R|TRADER is here (I don't have time to play with it myself):

 

http://www.zen-fire.com/pages/platforms/platforms.html

Yes, there is terrible inconsistency. Only because of their inconsistency I must be keeping the adjustment table.

 

We all know the break-even formula, right? "Strike + Settle" for Calls, or "Strike - Settle" for Puts. But what is actually the Strike?

 

If you look here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_settlements_options.html

 

you will find Strike "1275", for example.

 

But if you look here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_globex_options.html?exchange=XCME&foi=OPT&venue=G&productCd=6EZ2&underlyingContract=6E&floorContractCd=ECZ2&expMonth=201212

 

you will find the same Strike named as "12750".

 

Now if you look here:

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

 

you will find yet again the identical Strike as "1.2750". So which one should I actually use in the formula? The same goes for the Settle values, somewhere it's like ".00370", somewhere else it's like "3.7".

 

As for FX currencies and (newly added) equity indexes I used the format from the Daily bulletin PDFs, but I don't know whether it was the right decision (seems so). But those energy instruments they are not contained in any of the PDFs! For them I found this file:

ftp://ftp.cme.com/settle/nymex_option.csv

 

and used the format from there, but again I don't know if the format there is the right one.

 

 

The result of all this, totally unnecessary, unification is the following (the two bold lines):

//                                          AUDUSD  GBPUSD  USDCAD  EURUSD  USDJPY   USDCHF  EmDOW5  EmSP500 EmNQ100 WTI     BRENT   HENRY   HEATOIL RBOB
string   FXsymbols       [totalCMEsymbols]={"",     "",     "",     "",     "",      "",     "",     "",     "",     "",     "",     "",     "",     ""    };
string   CMEexchange     [totalCMEsymbols]={"XCME", "XCME", "XCME", "XCME", "XCME",  "XCME", "XCBT", "XCME", "XCME", "XNYM", "XNYM", "XNYM", "XNYM", "XNYM"};
string   CMEproduct      [totalCMEsymbols]={"AD",   "BP",   "CD",   "EC",   "JY",    "SF",   "YM",   "ES",   "NQ",   "CL",   "BZ",   "NG",   "HO",   "RB"  };
string   CMEunderlying   [totalCMEsymbols]={"AD",   "BP",   "CD",   "EC",   "JY",    "SF",   "YM",   "ES",   "NQ",   "LO",   "OS",   "ON",   "OH",   "OB"  };
[b][color="#FF0000"]double   CMEadjuststrikes[totalCMEsymbols]={0.1,    1,      0.1,    1,      0.1,     0.1,    0.1,     1,     1,      0.01,   0.01,   0.001,  0.0001, 0.0001};
double   CMEadjustsettles[totalCMEsymbols]={1,      1,      1,      1000,   1,       1,      1,       1,     1,      1,      1,      1,      1,      1     };[/color][/b]
double   CMEadjustspots  [totalCMEsymbols]={0.001,  0.001,  0.001,  0.001,  0.00001, 0.001,  10,      1,     1,      1,      1,      1,      1,      1     };
bool     CMEreverses     [totalCMEsymbols]={false,  false,  true,   false,  true,    true,   false,  false,  false,  false,  false,  false,  false,  false };

 

Hopefully it's correct. If they showed on their Options settlement webpages the correct Strike and Settle values in a format that is supposed to be used in the break-even formula then I would have saved quite a lot of headaches and wasted time. Oh well.

 

 

P.S.: as for the inconsistency in the expiry dates, maybe it is intentional. If you look here:

http://www.cmegroup.com/tools-information/calendars/expiration-calendar/

 

you will see that almost every day is the last trade day for some instrument. Maybe they are trying to evenly distribute the expirations if various instruments to smooth out their operations.

Well, actually we are both wrong. I was wrong in thinking that Nov 12 means November the 12th, while in fact it merely means November 2012 as you pointed out (silly me, it's obvious from the list of months; a sign of being overworked).

 

But it's not true that these Options expire on 30th of the month. You need to look at the calendar, for E-mini S&P 500 it's here:

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_product_calendar_options.html

 

For EURUSD it's here:

http://www.cmegroup.com/trading/fx/g10/euro-fx_product_calendar_options.html

 

As you can see E-mini S&P500 expires much later in the month than for example EURUSD and if you look at the EURUSD's Options settlement page you will indeed not find the "Nov 12" expiry month there anymore (EURUSD's November expiry expired a week ago). From the contract specification it seems that EURUSD expires on the second Friday of the month, while E-mini S&P500 expires on the third Friday of the month.

 

Mystery solved and on top of that we are little bit more smarter.

Exactly! Kind of weird, right? How can they at November 16 trade Options that already expired 4 days ago? Look at the data, there is plenty. What traders would trade already expired Options, and how CME could possibly allow such trading? :-O

 

Either I am missing something or there is a bug on CME website. Yet again, if it's a bug then what data is it actually? If you choose Dec 12 expiry then the data is different, so what data is it actually showing with Nov 12 expiry? It might be worth to actually ask CME about that, it's in our own interest after all. I can't do everything.

What's wrong with this picture?

 

This is a screenshot of E-mini S&P500 Options webpage (http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_options.html) as of now:

 

http://img690.imageshack.us/img690/1324/eminisp500options.png

 

 

Anyone notices what is wrong with this picture?

Hi,

 

since this is a rare even I just thought to give you a little heads-up.

 

It's open since yesterday and probably won't be for long so you better hurry if you are interested in getting access to over 12 thousands torrents including over 700 trading oriented.

 

http://elbitz.net

 

P.S.: sorry for double post, didn't know what would be the best place for this. Feel free to move/delete.

Just for reference, here is another source of Options quotes from CME website:

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

 

I was comparing this one with the previous options quotes webpage and it seems that this one actually is updated in the real time. Plus, it includes Bid and Ask sizes. There is data for 6 currency pairs and 3 e-mini indexes, however no energy ones (Oil etc.). I will have to reprogram the Internet grabbing function because this webpage uses POSTs instead of GETs but other than that if I keep a persistent connection with CME server I definitely should be able to read the data for all 9 instruments every minute, maybe even twice per minute. Then I could plot both Bid and Ask lines for each Strike and display a Bid/Ask sizes when hovering mouse over the lines. This Bid/Ask sizes ratio may be also reflected in the color intensity of the Bid and Ask lines, and the actual traded volume may be reflected in the width of the lines. Well, it will be fun.

Should the intraday options quotes prove to be useful, here is an idea what more could be theoretically done.

 

If there is enough interest I could buy CME datafeed and relay it from my server directly to your Metatrader's OBEL engine so you would have OBEL data in the true real-time. Of course since we would have the CME datafeed we could use it for other purposes too, like showing other CME quotes within the Metatrader, using the volumes data etc.

 

I have quite powerful servers I am using for my programming work housed in a data centre so if I devoted one of them to this "project" I could also offer some VPS services as a side effect because the server would be hugely underutilized otherwise. Since the servers have 1Gbps Internet connection it might be interesting. And of course some other associative features, like a chat room or a forum, trading signals, statistics etc.

 

The downside is that it (redistributing the CME datafeed, and thus everything resulting from it) would be illegal and I can't obviously jeopardize my well established business, nor my name, so it either would have to be for a closed group of reliable members, or I would have to disassociate myself from the server so that if it blows it wouldn't get back to me. One way how to do that is to put indo-investasi IP address in front of my server so that all the traffic would go from you to indo-investasi server and only the indo server would know IP address of my server. That would require a willingness of indo staff and probably would increase the expenses and caused some additional data delay. Other way could be to get some homeless from a street to sign a housing contract, though this has caveats of its own.

 

There are also other ways, but I am afraid less probable. Since some people already do trade with CME they already have the datafeed, so they could in fact act as the "data providers". I would program a little tool for them that would gather the data in their trading station and send it to my server. But it would be risky for them, there would be an additional delay and it would work only if their trading station is running.

 

This is just an idea for the future, it's not sure it will ever happen, but I am throwing it into the air just so that we all could think about it in the meantime. If you are interested in this idea and are willing to contribute, you can start researching what all datafeeds from various redistributors are available and what is their cost, so that we could get a better idea about what would it take.

kochevnik: you are welcome. I am glad someone found the vmware image useful.

Just for reference, here is another source of Options quotes from CME website:

http://datasuite.cmegroup.com/dataSuite.html?template=opt&productCode=6E&exchange=XCME&selected_tab=fx

 

Notice the Strike is in different format than on the other webpage. Why, oh why, CME?? Billions of dollars revenue, yet they can't unify the same information across their website. Either that, or they do it on purpose.

 

Anyway, expect today or during weekend the new versions of OBEL engine and indi.

While working on adding those index and energy instruments into OBEL engine, I've made a little but very interesting "discovery": we can get the OBEL values from CME website in almost real-time!

 

Look here (what we are interested in is the "last" value):

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_globex_options.html?exchange=XCME&foi=OPT&venue=G&productCd=6EZ2&underlyingContract=6E&floorContractCd=ECZ2&expMonth=201212

 

So far, for today's trading we have been using OBEL data from the last closed trading day, that is the data delayed by quite many hours. With this, we could use the data delayed no more than 10-15 minutes. I could easily draw Call and Put lines for up to 4 Strikes on the chart, live.

 

Furthermore, it seems there is a separate data from Open Outcry session (the first one is from globex):

http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_openOutcry_options.html?exchange=XCME&foi=OPT&venue=F&productCd=ECZ2&underlyingContract=EC&floorContractCd=ECZ2&expMonth=201212

 

It may be interesting to compare the data from globex and outcry, their correlation and what is their impact on spot Forex. So much possibilities to explore here.

 

 

fxnizar: definitely keep all your suggestions in mind and remind me of that when the OBEL statistics indi is finished.

 

 

EDIT: so it seems that open outcry quotes are not being updated on the CME web, but that's ok, globex trading is bigger anyway.

 

 

So I am thinking about reading this options quotes table every minute by the OBEL engine. From there I would reformat the numbers as follows:

- "high", "low", "prior settle", "last" => into FX quote format

- "change" => into a number of pips

 

and display them (still done from within the engine) together with "volume" and "last updated" in the form of a mini-spreadsheet. At the same time export the latest "last" into global variables that in turn would be gathered by the OBEL indi and drawn onto the chart as lines.

Sorry if it sounds too complicated or confusing but it will be pretty neat.

Patience.

 

In the meantime I tried to clean-up little bit the look:

 

http://img72.imageshack.us/img72/3356/obel.png

 

Now the trading hours are highlighted by a gray rectangle in the background, it's almost unnoticeable on some monitors. Of course the color can be redefined and the whole feature can be switched off.

 

I also changed the defaults little bit, now the nearest expiry month is disabled and only the OBELs for quarter-year month are shown as it seems that q-month expiry got noticeable higher open interest. That in turn allowed me to turn back on the variable colors as it now doesn't collide with the other month OBEL colors.

 

Does it look better now or you liked the previous look more?

 

Also, there is a little bug in the engine. Since this Monday the nearest month expiry and the q-month expiry became the same and due to this bug the engine thinks it doesn't have all the OBELs with the final values so it keeps reading the CME website every 5 minutes.

 

 

I will either release the new versions together with new features including a wider range of instruments, or just the bugfixes alone, depends on the available time.

 

Last, but not least, I figured out the look of the statistics indi. It will show 3 items: the mini OI chart, the mini volume chart and the mini spreadsheet, all 3 individually switchable. This all will be for one of those 2 possible month expiries, so if you want to have both you just attach 2 instances of the indi.

any level(price) with increasing/digressing vol/oi are mark some symbols,which we know at that price getting strong or weak.

 

This can be done, although the relative strength could be seen from the color intensity if you enable UseVariableColors. But that of course would work only if you see both lines you want to compare. If you are on very low timeframe and quickly want to know if the level above and the level below the current one are stronger or weaker, without seeing them, for that you would need this symbol.

Maybe around every level there could be arrows that would indicate this. For illustration imagine the following 3 levels, with PrOI 200, 400, 300 and symbols "^" as arrow up and "v" as arrow down indicating if given level is stronger or weaker compared to the next one on each side. Then we would have this:

 

--200---------------
^




^
--400---------------
v




v
--300---------------

 

Actually, since these 2 symbols are mutually exclusive we don't need to indicate weakness and strength, only one of them is enough. So if we were to indicate the relative strength, it could look like this:

 

--200---------------





                 x
--400---------------
                 x





--300---------------

 

The 400 line is stronger than the line above, and also is stronger than the line below. Also, I put the symbol to the very right so that you can see it immediately without having to scroll back. Would something like this make sense?

 

 

 

if the price touch the level more then two time then that level must go hallow line,if price halt that level then that level not going to impact any more so that level must disappear.

 

This can be done too but it would be a little bit less easy as I would have to keep track where the price is going and remember the "checkpoints". And it must be specified more precisely what "touch" means, for example: if the price comes in x pips distance or less to the level, possibly temporarily crosses it by not more than y pips, and then bounces back by at least z pips, then the levels was "touched".

I wouldn't change the color or shape of the level, though, instead I would simply put there a counter (a number).

 

Similarly if the level is violated, it must be specified: if the price crosses given level by at least x pips, where "x" here must be more than "y" in the "touch" specification. For that I would simply put there a counter too and after specified number of crosses the level would be deleted.

 

It could look like this (the counters would be on the very right):

--200-------------(1)-(2)--





                        x
--400-------------(1)-(2)--
                        x





--300-------------(1)-(2)--