uexkuell

You gave the answer in the question: Reason is news in Europe (in this case it just meant no bad news from Italy or Cyprus.)

- IB weak charting, no backtesting Yes, true - Using Sierra or other for backtesting & screening Sure. But you can also consider others, that may even be better suited to your needs No need to connect the automated trading with the screening or charting. - Perl If you have the choice I'd recommend to use a language for interfacing to an API that is used by many people (can better get help, higher probability that the language interface has no/few bugs and is kept up with API revisions) and is as simple as possible (reduce development time). If answers were helpful you may consider use of the thanks button.

Not sure if this already clear to you: There is no need to add an extra layer of software if you want to use the IB API (nothing like Sierra etc.). In fact there are some disadvantages if you use an extra layer: - Additional complexity - Dependency on two programs that will be updated from time to time - Less speed You can write programs that access their system directly in VB, C++, .NET, Java and some other languages.

What the markets show in the moment - a deep plunge due to Italy's elections - is complete madness. Probably the same people who can think things as Draghi = savior now think like Berlusconi = end of Euro / perhaps antichrist Certainly Berlusconi and some other clowns in Italy are not serious. But for sure there are some other people around in foreground as well as in the background who show them which way they have to go.

This whole thing about Euro crisis is highly overdone. Perhaps you might take the time and look for a second at this chart: Euro | comdirect There you might notice that 2002 Euro started to rise and then at 2008 it switched to a ranging behavior. If you want to see what "crisis" means take a look at S&P 500 in the same timeframe which is also plotted in the chart for comparison. You will also notice that from 2008 on there were several rebounces of Euro from support completely without any Draghi. The Euro crisis is in my view mainly a product of the media. Certainly Greece is toast. Spain, Italy and France are in heavy trouble. (But then England is in trouble, USA is in trouble....) But that does not at all mean that the Euro has to go down beyond a truely significant level (like 1.1800).

If that would be true it would be key to a fail safe strategy. ("Buy the stock basket when futures go up and vice versa for down." Needless to say it does not work this way. Can never be sure if futures are leading or lagging. Mostly today the delay is anyway in a sub second timeframe.)

Thanks. Interesting.

Referring to the first post in this thread: http://www.traderslaboratory.com/forums/futures-trading-laboratory/11717-quit-job-watch-dom.html#post136636 May I ask what the outcome of this endeavour is so far? Does it pay out?

Everything I stated three years before in this thread still is holding true.

First this is not a mathematical proof (as you requested it from others), just showing some numbers from an example. The result of the example is in favor of the "exit all" strategy. This is simply achieved by the parameters chosen (far from showing a general rule or giving a proof): So it is just logical that in an example where the optimum target is 7 points "scaling out" before target 7 points is inferior to "exit all" (as rluc99 understood). In other words: An example was chosen where the parameters were in favor of the strategy proposed (exit all). If one is not trading (or producing an example) in hindsight it's more like this: 1. The probality of finding a strategy that is good for just a few points is much higher than to find a strategy that is good for many points. 2. Trader enters (say with 3 contracts) when such a small target strategy that he found gives a signal 3. Trader exits 1 contract when small target reached, leaves 2 contracts, moves stop loss to break even 4. Trader lets the remaining contracts run and exits by some discretionary rules (e.g. exit 1 contract at noon, exit remaining last contract previous to close of the day....). He doesn't know where price will be by this time but once in a while he will hit a homerun. That's trading without assuming one can "predict" something.

Never heard or have seen such a lag. IB feed is much better than people think. Usually it shows no lag even in high volatility times. Btw the often read commonplace that IB sends one quote 3-4 times every second is not true. Actually the feed adapts to market action and can send data much more frequently. Everyone who cares to write a program to interface directly to their API can see this. Surely IB is not suited for bid/ask studies. (But then their use is disputable.) (I am not affiliated with IB and see many things on their platform quite critical. This post is only to allow you to save money)

It's all about finding the soft spots: Where are the points that have a high probability that price does either turn against current direction or continue? But no matter which direction it goes it should do it for some time and shall not return before it makes at least some significant move. Hit such a soft spot this morning at 01:58 EST in EUR/USD. So far +110 pips. I never know when price will reverse. There are only high probability turning/continuation points. At some point usually I get it right and jump on the train. (Btw it's not hard - just try and error. But error with small penalty. ) Going with the trend is much more unprecise in my approach. It is more that I always let a small portion of the position stay over longer time frames (up to 10 days) and sometimes this results in a nice surprise.

Just true. Means: There are always big orders being worked. When there are only small orders price isn't moving / there is no volume. Maybe true for some ways to trade. The way I found most profitable is just opposite: - In an uptrend set your short entry at the price where trend may reverse. - If price moves against you immediately (which happens rarely if using appropriate method) reverse trade (to long) - If price moves into green move stop loss to break even (never let winner turn into looser) - Let winners run This usually takes 2-3 tries until you succesfully jumped into the (new) trend. Vice versa for downtrend.

Some ideas, don't know if they could help: - 5 min timeframe In my view time based charts are not really helpful. The timeframe is always chosen arbitrarily and bigger timeframes can lead to jumping into a move quite late. Alternatives are volume based charts or just to look at pure ticks. - Disconnect from quote feed provider / holes in data I recorded many days of tick data from different data providers while constantly checking data integrity. Sure there are sometimes holes in the data with every provider. But they occur quite infrequently. Approaches like checking old (historical) data with other people probably will not lead too far because they cannot really establish confidence in future data integrity ("Past Performance Doesn’t Predict Future Results"). A suggestion for monitoring the data stream: Subscribe to different symbols (some that show high liquidity / activity) that are not too strongly related. If the "price pause" occurs for multiple symbols at the same time there is a high chance of connection problems. Therefore the signal should be discarded. If the pause is only for your target symbol not for the others it might be a valid pause. For example if you want to watch YM, might choose CL and ZN to give this additional information.

Now you got me on the one I didn't explain. Fortunately this is the easiest: Open is just the Open of the first bar. Close is of cause the Close of the last bar. (Low is minimum of all Lows, High is maximum of all Highs). If it's still not clear you can post your worksheet and I can see if I can do something.

If you know how to do things in Excel just take chunks of 36 (=3x12) realtime bars to produce 3 minute bars resp. 60 (=5x12) for 5 minute bars. Compute for these chunks e.g. Mininum resulting in Low, Maximum resulting in High and so forth. Same way as it would be done in a proper programming language. Here comes the free additional hint that probably nobody wants to hear: - IB's realtime data is much better than what people usually say. Bars not needed. - Aggregating data (building chunks of longer timeframes) should be absolutely avoided. It results in loosing important information

How comes that you suppose that price going up or down is connected to the inside bid/ask size? Obviously the phenomenon observed says nothing about the quality of a feed. It is something that can be seen quite frequently.

Funny remark given that you are posting things like this: which doesn't seem very prudent to me.

You are right with being confused. It is not straightforward. Big funds will obviously not buy puts if they think price knows only up as direction. They will buy puts if they feel some fear that prices might go down. And if the prices for protection seem to be ok (look at the premiums in the moment). And ..... Also consider that there are other ways of protecting for downside risk (like going short futures). And then there all kinds of complex option strategies like calendars, straddle ... It once agains sums up: put/call ratio is not really an easy to handle tool.

Could have a look at this: Leavitt Brothers: Blog There's a guy who publishes the situation and his calls on a regular basis (before expiry). He also explains pretty much of his reasoning. You can judge on your own how reliable it is. (My impression: Not very reliable)

So what did you see? Enough volume? If you don't think it's enough you might as well trade NQ, FTSE-100, CAC or ESTX50 (which also don't move too fast and in sync with each other).

My guess (of course can't show hard evidence for it): Big boys got some new algos that keep pullbacks at a minimum. You can see this across many timeframes and all major futures. And the occurence of such patterns definitively increased in the last month or so. It would make some sense: Reducing pullbacks means also reducing the possibility for competitors to enter into a move with low risk.

@parliament718 Obviously you are making serious efforts to dig deeper. Unfortunately most people shy away from bigger efforts. Certainly there are many ways to make money in the markets but it seems quite straightforward that in order to find more subtle edges you need specialized instruments. C# is a good tool for that. - real time data collection Write all the real time data you can get into files (plain binary format). One file for one day. At some point in time you will need it. - socket programming & FIX To interface to retail brokers you will have to write programs that connect to their proprietary APIs. You wont have to bother about socket programming. FIX isn't needed for retail (only institutional). - limitations of libraries Not sure what you mean. Please specify if further information needed. That's a very good idea. Following the advice given before in this thread (limiting oneself to NinjaTrader / NinjaScript) is not compatible with this idea. Writing programs for a trading platform like Ninja means to exclude a whole universe of possibilities and introduce many limitations. Therefore: Writing programs for broker APIs (as you apparently planned in the first place) is the way to go.

Do you have a link please?

Here's a quote from "Scalp And Swing": Another one: @JimMM It's really not helpful to post references to such junk blogs. Please post only information that can be of help. Everyone knows how to google for a blog. If you send people off to visit such blogs you are stealing their time and they will probably ignore your postings in the future.