udc
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Posts posted by udc
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Tpo
Before I finish the OBEL (Options break-even levels) indicator here is something what you might find interesting and perhaps useful to use together with OBEL: TPO (time price opportunity) indicator. Basically what it does is showing the areas where the price was most often in given period of time.
On the picture you can see a silver dash line indicating the TPO levels calculated from the last 7200 minutes (5 days) and a gray dot line showing the same from the last 1440 minutes (1 day):
http://imageshack.us/a/img72/4526/optionstpo.png
It's taken from here: http://fxcoder.ru/indicators/tpo, all credit goes to the russian guy, I just changed the defaults and added an option to show a trendline instead of just a simple horizontal line so the line is only as long as is the data segment that it uses for calculation. You can get the modified version from here: http://pastebin.com/dKSCxm7H. When attaching multiple instances of TPO to the same chart keep in mind that the "Id" variable must be different for each instance.
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The CME is not very consistent in their methods of delivery of such data.
This is quite understatement, I would say it's a mess. They have the same table on the website and in pdf so you would logically expect to find there the same values in the same format. Values are the same but the format is not. Out of 6 currency pairs only in 1 case the format really matches. In other 4 cases the website table has inexplicably an additional zero in the strike column (e.g. instead 1050 there is 10500) and in 1 other case the website table has again inexplicably the settlement price shown as a thousandth of what is in pdf (e.g. instead 3.10 there is 0.00310). If they at least had the different format same for all the pairs then that might be perhaps partially understandable but almost every pair on the website has values in "differently different" format. It just makes you wonder how something like this could have ever happened and more importantly why don't they fix it.
Anyway, what tradershare indicated - to have different colors for Calls and Puts - seems as a good idea so I added this feature. Now the closest month is green/red and q-month is darker green/red. Also I added option to show the original strike and settle values in round brackets for reference.
Here is what it looks like on all 6 supported pairs (all in default setting MinOI=300, except on USDCHF I set MinOI=1):
http://imageshack.us/a/img90/5554/audusdn.png
http://imageshack.us/a/img62/1824/eurusds.png
http://imageshack.us/a/img72/272/gbpusdf.png
http://imageshack.us/a/img24/145/usdcado.png
http://imageshack.us/a/img571/9789/usdchfi.png
http://imageshack.us/a/img21/6749/usdjpyj.png
Now it shows correctly the break-even levels in the exact way as they are supposed to be calculated, without any arbitrary changes. That's also how it should be correctly called - Options break-even levels.
What's interesting, if you think about it, is that those levels are calculated from friday's settlements but if you look at the charts they pretty much work even for the previous days, kinda backwards in time. In other words, they don't change significantly from day to day. Which is a good thing because it means that if the level was good not only friday but also for several days before then there is quite a chance it will be good even monday (the next day).
So it seems this one is close to be finished, I will release it probably next week.
spazzy252: I think it could be doable to grab txt files from ftp.cmegroup.com via external DLL and then process them similarly to what I am doing now, but I am not promising anything. In any case, give me the list of instruments you would like, where I can find their respective txt files with the settlements info and also give me the respective Metatrader symbol names so I could match them together.
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No, calls and puts have the same color, which is which you can see in the description on the left. Green lines are the 11/12 expiry (nearest month expiry), gray ones are the 12/12 expiry (nearest quarter-year month expiry). You can change it, of course. Currently, you can use lines of up to 5 different thickness and for each line you can set a minimum OI and a color. All this you can set separately for each of both expiry months:
extern bool UseNearestMonthExpiry=true; extern color NearestMonthColorWidth1=ForestGreen; extern int NearestMonthMinOIforWidth1=300; extern color NearestMonthColorWidth2=ForestGreen; extern int NearestMonthMinOIforWidth2=1000; extern color NearestMonthColorWidth3=ForestGreen; extern int NearestMonthMinOIforWidth3=2000; extern color NearestMonthColorWidth4=ForestGreen; extern int NearestMonthMinOIforWidth4=3000; extern color NearestMonthColorWidth5=ForestGreen; extern int NearestMonthMinOIforWidth5=4000; extern bool UseQuarterYearMonthExpiry=true; extern color QuarterYearMonthColorWidth1=DimGray; extern int QuarterYearMonthMinOIforWidth1=300; extern color QuarterYearMonthColorWidth2=DimGray; extern int QuarterYearMonthMinOIforWidth2=1000; extern color QuarterYearMonthColorWidth3=DimGray; extern int QuarterYearMonthMinOIforWidth3=2000; extern color QuarterYearMonthColorWidth4=DimGray; extern int QuarterYearMonthMinOIforWidth4=3000; extern color QuarterYearMonthColorWidth5=DimGray; extern int QuarterYearMonthMinOIforWidth5=4000;
However all this setting is common for both calls and puts. It didn't seem to me that there is a need to distinguish them as the "attacks" seem to me to be happening from up and down no matter whether it's a call or a put level. Would you like to have an option to set the colors individually?
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Preview:
http://imageshack.us/a/img4/9962/optionslevels.png
It seems it does show something. Also, it's interesting that both expiry months come into play.
- spazzy252, tradershare and tradernate
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Can anyone explain why the settlement is first adjusted before it's added to the strike price? The only case I found where the formulas "strike + premium" for calls and "strike - premium" for puts are using is in the breakeven points calculation, as described here on page 6:
http://www.cmegroup.com/education/files/options-on-futures-basics.pdf
But there the premium is not pre-adjusted before adding it to the strike. However in the power levels formula used here in this thread, which was probably taken from the russian page* the premium is first adjusted before adding to the strike, but there is no explanation for that and it doesn't seem to make any sense. It's more like some arbitrary decision of someone who just thought something like: "ok, what if I take this, add it to this, multiply it or divide it by that and put it on a chart? wow, this looks interesting".
* http://strike.opentraders.ru/851.html
I think using the breakeven point formula does make sense, it's basically the price where given underlying futures instrument must expire at so that the trader who bought this option and paid the premium can execute the option, get the underlying, immediately sell it and get all his money back. And since the futures quote for currencies is derived from the spot then it's logical that there will be "battles" on the spot market around those levels. But once more again - the settlement is added (or deducted) to the strike without any pre-adjustment. So I will do it that way.
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spazzy252: you wanted to include some other instruments besides the currency pairs, right? Can you provide their respective links showing the table like what this one shows for EURUSD?
http://www.cmegroup.com/trading/fx/g10/euro-fx_quotes_settlements_options.html
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It doesn't seem anyone is still interested in these so called "power levels" which is quite interesting considering those hundreds of people full of enthusiasm last year. I wonder what may be the reason, whether they found out it's not working as they thought or whether they just feel ashamed that they fell for a scammer.
Anyway, with spazzy252's help here is what somewhat seems to be the scheme used to calculate c0py's power levels for a given date:
- from ftp://ftp.cmegroup.com/bulletin/ get a daily bulletin dated 2 days ago
- open a pdf for a respective symbol
- go to the next month call/put section (here, towards the end of a month, c0py sometimes went to the month after the next month)
- for a call level, take the settlement price, divide by 10, add it to the strike for a call option (or subtract it from the strike for a put option) and adjust to the fx quote format
The resulting price doesn't match exactly, the volume doesn't match at all, the open interest does match.
The question is why to use 2 days old bulletin for today's levels, instead of using the most recent bulletin (from yesterday). I would prefer using the most recent data.
Another question is why to use options data for the next month's expiry (and sometimes data for expiry of 2 months in the future) instead of the nearest expiry month (that is either the current month or the next month, depends if we are already past the current month expiry). This seems inconsistent to me, I would prefer either using the nearest expiry, or the expiry month with the highest open interest, or to take data from all expiries and sum them up.
What do you think?
EDIT: he may actually not be getting and processing the pdf bulletins at all and instead grabbing the information from the website where the open interest is shown for the prior day, that would explain 2 days old information, maybe the slight inconsistency in price, and maybe why volume doesn't match. Now the question remains from what expiry months would be the best to get the data.
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You sent me a message yesterday. Not all links are dead so you just need to not be lazy to find a working ones.
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A common sense would be to check the facts first and then eventually respond. What possible logic could be in saying "i didn't do this or that" when doing it would be in fact a matter of a few mouse clicks or a google search? This is not a chit-chat, this is a forum. Every nonsense you write here will make it harder for thousands other people who come to this thread later to find an information that is actually valuable. Thus I ask again please be considerate with the others and don't dirty this thread with nonsense or offtopic posts.
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Open an account? Do you mean to buy a subscription to NetStation? Did you actually check the price?
Or do you mean to subscribe directly to a MNI product (it's called "MNI Foreign Exchange Bullet Points")? Did you actually check their price?
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Yeah, their website is a little bit strangely organized. Anyway, it seems like you may have some problem with java. Try this page to test it:
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Just read properly the quotation you just showed and you will get the answer.
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Well, first you need to register:
http://imageshack.us/a/img20/8798/loginlu.png
Then you login and simply search the news for "fundamental levels":
http://imageshack.us/a/img593/1182/newsko.png
Also searching for "option expiries" gives you another possibly interesting levels.
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Well it (getting MNI info into Metatrader) would be quite a difficult work, so unless someone seriously proves it's worth it (not that it's just "interesting", many things are interesting but not worth the effort) then I can't justify spending my time with it.
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can you tell me where you found this on the site?
as I said above:
for the time being you can get it for free via NetDania NetStation (www.netdania.com) -
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First I need to know exactly how it is calculated. Here is the data from c0py for the last 3 days it worked (Thursday, Friday, Monday):
http://imageshack.us/a/img21/2383/powerlevels.png
If you tell me exactly how those numbers (at least price and OI) were calculated then we can move forward. If you need more c0py's data I have plenty. I unfortunately can't spend my time figuring out the formulas myself, but if you do your part I do mine. I can give you my e-mail and I actually did some time ago in the other thread, but I would prefer to keep everything public. That's what I like about this forum that people are open to each other and I would like to keep it that way.
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What happened?
So what's the conclusion on this one? Reading this thread, there was so much excitement and hundreds people were so desperately eager to get the "lifetime subscription" for free (in order to save 10 bucks a month, the cost of a lunch or a movie ticket), then all of sudden everybody just shut up, so to speak. Is everyone already a multimillionaire tanning in the Bahamas, or the "powerlevels" is a forgotten toy and people are after yet another holy grail?
Also, I just noticed the powerlevels.com website is gone, thus the whole service including the frontend Metatrader indicator stopped working. The domain details were just changed, up until 1st Oct it was:
Registered through: GoDaddy.com, LLC (http://www.godaddy.com) Domain Name: FOREXPOWERLEVELS.COM Created on: 30-May-11 Expires on: 30-May-13 Last Updated on: 27-Apr-12 Registrant: danny connolly 42 longlands road sidcup da157lr United Kingdom Administrative Contact: connolly, danny [email protected] 42 longlands road sidcup da157lr United Kingdom +44.02083007627 Technical Contact: connolly, danny [email protected] 42 longlands road sidcup da157lr United Kingdom +44.02083007627 Domain servers in listed order: NS1.LINODE.COM NS2.LINODE.COM NS3.LINODE.COM NS4.LINODE.COMNow it is:
Registered through: GoDaddy.com, LLC (http://www.godaddy.com) Domain Name: FOREXPOWERLEVELS.COM Created on: 30-May-11 Expires on: 30-May-13 Last Updated on: 01-Oct-12 Registrant: danny connolly 42 longlands road sidcup da157lr United Kingdom Administrative Contact: connolly, danny [email protected] 42 longlands road sidcup da157lr United Kingdom +44.02083007627 Technical Contact: connolly, danny [email protected] 42 longlands road sidcup da157lr United Kingdom +44.02083007627 Domain servers in listed order: NS21.DOMAINCONTROL.COM NS22.DOMAINCONTROL.COMSo apparently c0py, alias danny connolly (alias server support engineer at Capita - http://uk.linkedin.com/pub/danny-connolly/47/875/8b9), has canceled his VPS hosting at Linode.
Anyway, regardless of any further c0py's actions, if anyone is still interested in these powerlevels and explains to me how exactly it is calculated with several examples, I can make a new and better indicator, with alarms, it will be for free, you will get the full source code, and most importantly - it will get the values for calculation directly from cmegroup.com so you will never ever be dependent on anyone, including me, or on any third party service no matter if free or paid.
But in that case the attitude will have to change and I will ask you to come up with some trading strategies, because I will do it in my spare time so it must be worth it. I have enough data from CME to recalculate the levels back since the January 2011 and 120 GB of tick-by-tick data for 28 currency pairs plus gold and silver so I can backtest any strategy.
- Hakim314, guedesjunior25 and vivit
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Please don't dirty this thread with nonsense or offtopic posts.
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Hi everyone,
does anyone have any experience with the NMI's "Fundamental levels"? It's a paid information provided by NMI (mninews.deutsche-boerse.com) but for the time being you can get it for free via NetDania NetStation (www.netdania.com). They are posting the levels for the main currency pairs usually once or twice a day, here is a sample from this night/morning:
MNI DOLLAR-YEN: Fundamental levels (orders, options, technicals) Y79.26/32 Ichimoku cloud top/200 dma Y78.88 Ichimoku cloud base, 100 dma Y78.43 55 dma Y78.33 Tenkan line Y78.20 Strong offers, stops Y78.18 Kijun line Y78.10 Fri high NY Y77.92 ***Current market price 2110EDT Sunday Y77.40 21 day lower Bollinger band Y77.26 13 Sep low Y77.00 Demand on approach, stops Y76.90 Stops Y76.86 23 Jan low Y76.49 2% MAE MNI EURO-YEN: Fundamental levels (orders, options, technicals) Y103.23 21 day upper Bollinger band Y101.63/74 Tenkan line, 200 dma Y101.50 Offers, stops Y100.88 Kijun line Y100.60 Medium offers, minor stops Y100.40 Minor stops Y100.00 Minor stops Y99.88 ***Current market price 2115EDT Sunday Y99.80 Stops Y99.70 Stops Y99.93 Fri low NY Y99.64 27 Sep low Y99.54 13 Sep low Y99.50 Stops Y98.62-86 50, 100 dmas MNI EURO-DOLLAR: Fundamental levels (orders, options, technicals) $1.3048 Friday Sep21 high/Offers to $1.3050 $1.2990/300 Medium offers/$1.3000 Option expiry $1.2970/80 Medium offers $1.2971 Sep25 high $1.2940-60 NY-Europe highs Friday Sep28 $1.2920/25 Medium offers/$1.2923 76.4% $1.2960-1.2804 $1.2900 61.8% $1.2960-1.2804/Option expiry $1.2891 Late NY recovery/Medium offers to $1.2900 $1.2860/65 Minor offers/$1.2875 Option expiry $1.2850 Int.Day high Asia $1.2840 ***Current mkt rate 0620GMT Monday $1.2824 Tech 200-dma/Traded below in Asia, key on close $1.2804 Int.Day low Asia $1.2800 Strong demand on approach (Asian reserve manage?)/Stops $1.2780-60 Decent sized stops $1.2740 Strong demand
Now my question is whether this is of any practical use. Can anyone develop a way how to successfully trade it somehow?
If the answer is "yes" then I could try to reverse their application in order to fetch and show all these levels automatically on Metatrader via an indicator. But it would be a bit of work, so again, is it worth it?
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hi UDC
Nice to see that you are back. I have a question, is it possible to import the Ocean Plus indicators into the Multi Chart platform, I believe they are the BTX and the STX. multi chart and Tradestation are written in the same language
Yes, it should work.
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New mirrors
More of those mirrors still work, not only one. But the truth is some are really dead, unfortunately the multi-uploaders I am using don't check the hosters for subsequently broken links. I wonder who is behind those deletions.
Here is a new bunch of mirrors then, it should last for a little while.
ocean_theory.rar (ocean indis by mladen from TSD elite)
http://www.directmirror.com/files/ROH0Q0HT
http://www.multiupload.nl/SDH97068W1
ocn_mt4_9-28-2012.7z (ocean indis by me)
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Well, the discussion is not about which levels to trade, but how to trade them.
Power levels trading
in Trading Systems & Strategies Request
Posted
I've added an option to automatically adjust the intensity of a color based on the ratio of given level's OI compared to the highest call/put OI:
http://imageshack.us/a/img829/9806/obelvariablecolors.png
Nearly finished.