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AgeKay
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Everything posted by AgeKay
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FESX is the Dow Jones Euro Stoxx 50 Futures. It's the most traded European stock index future. Got almost as much volume as ES and follows the ES very closely. Go to http://eurexchange.com/ and it's the first one listed, just before FDAX. Keep in mind that my observations are from a time when the market was not as volatile as the last 2 weeks.
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I am German if that's what you meant, but don't trade the DAX right now, but I used to watch it a lot and I found that it follows the ES and FESX "tick by tick" (i.e. the DAX moves 3/4 ticks for every FESX tick). So if you want to trade the DAX, you should definitely keep an eye on those markets.
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Yeah, try it together with astrology. Killer combo. :o
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I also think that there is a lot more luck involved when trading longer term since there are so little decisions to be made. Someone might make one decision per year to buy or sell something, have luck 10 times in a row and then you would hear: "This guy has been profitable for 10 consecutive years! WOW! What a great trader! Where is Schwager to interview him?" Take Warren Buffet for example, he might be the best investor in the world, but it's not unlikely that someone else could have achieved the same results just by chance if you take every longer term investor into account (read "Fooled by Randomness" by Nassim Nicholas Taleb on this topic...). So I have a lot more respect for the short term traders that make money consistently who probably face more trading decisions in a year than Warren Buffet in his entire life. Frank, how does this information ratio change when you increase the expected return to something like 100% per year or 1000% per year?
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Very cool zdo, thanks for sharing. I would have loved to see the trading activity in real-time during that time.
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I agree with the last poster. My suggestion is to finish reading reminiscences..., read a bit about money management (and make a few calculations yourself to prove it to yourself) and then just start watching some market in real time with volume historgram and VWAP on it and see if you notice something (i.e. find a real edge). Reading books about trading is a waste of time if you want to trade professionally, 99% of what is written is bullshit, especially about indicators and strategies. Attached is a short interview by Mark Oryon (used to be a pretty large DAX trader and traded for Velocity Futures, don't know what he's doing now) you should read. I absolutely love that interview because he is 100% no-nonsense. Getting a hold of your personally psychology is also a lot easier if you think of as a business. I like to think of it of running a casino. They have an incredibly small edge, but they have an edge (this is important!) and make sure no-one takes it away (forbidding card counting on Blackjack, etc.), and they make an incredible amount of money that way. So think of yourself as a casino and you won't allow yourself to make those stupid mistakes that would cause most traders to blow up. Mark Oryon Interview.pdf
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I didn't trade at all during that time. Didn't even watched the screen so I heard about it in the news like the general public...
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Google for "NetMeter". I use it to meter my bandwidth usage. It's great in that it shows you the real-time usage and a small histogram and if you send it to the tray, you'll see the current usage there. It also keeps statistics of the past X weeks, months years. It's free.
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How did the volatility of the past 2 weeks affect your trading strategy? Did you make more money then usual? Did you lose money or did you even blow up?
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I believe several brokers offer NinjaTrader with the Zen-Fire feed for free while you're just trading demo. Not only is this probably the cheapest way to get a good real-time data feed, NinjaTrader is pretty good as a trading software itself.
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I recommend the program OneNote 2007 for that. It's also developed by Microsoft. Best note-taking application ever.
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Going to Consult a Programmer - Advice Appreciated
AgeKay replied to brownsfan019's topic in Automated Trading
You're right. See http://en.wikipedia.org/wiki/Project_triangle btw, i said right off the bat that i don't take any projects right now so i have really no self interest in this debate. I just want to give some qualified advice to brownsfan since I like his posts about trading and i would like him to save him all the trouble. -
Yes, you're probably right. I'll have to check that since I tend to trade during the US RTH.
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I think that there is less manipulation which makes it harder to read since there are so many market participants and most markets are highly correlated. You might think there is a lot of spoofing going on but this might just be spreaders. It can be useful if you can spot manipulation because you can use it. The ES tends to move towards size for some reason. It's counter intuitive but this is what happens. The DOM of the FESX and FDAX is more or less useless since they follow the ES very closely.
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I think DBPhoenix and BlowFish are right on. Reread their posts a few times until it sinks in. Don't worry about who does what, but instead focus on what happens in regards to volume and price. These topics are all closely related: Market Microstructure: "Trading and Exchange: Market Microstructure for Practioners" (2002) by Larry Harris Price Discovery/order matching: this is basically the process by which the limit order book works / how orders are matched / why prices change. I don't know of a good single resource. I picked up little pieces here and there. Maybe someone else knows a good resource. I recommend just googling those terms. It might also help to just read on the order matching algorithms on the exchanges. Eurex has a good description: http://www.eurexchange.com/trading/market_model/matching_principles_en.html
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I am sorry. I'll leave your thread alone so that you can discuss your made up cocktail party stories about trading to explain what has happened after the fact.
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This is a contradiction. How can almost all of them have already bought when there was heavy supply. This and the following text of yours actually sounds very similar to the story I criticized earlier. You're trying to explain what might have happened after the fact, but the fact is you don't know (neither do I or anybody else unless you look at the actual time & sales). It's all just speculation unless you look at the actual trades. Candles/bars are just a summary of price movement that condense trade activity into 5 pieces of information: low, high, open, close and volume. Price could have moved up and down within one candle/bar 100 times (which might be the reason that there is a lot of volume), but it would look exactly the same like another candle/bar that went up straight up. Also don't forget there can only be a lot of volume when there is both a lot of supply and demand, because if there was not a lot of supply then price would just move up on little volume.
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Yes. I absolutely agree. Could you please elaborate what you mean by "buying and selling climaxes"?
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Sorry, that was not a compliment. I have a very low opinion of all trading authors, even the popular ones. "Those that can, do. Those that can't, teach."
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I've only read "Studies in Tape Reading" (1910) by Richard D. Wyckoff, because he seemed to have not been able to trade profitably after publishing that book and instead turned to writing books and selling newsletters and general holy grail services. What I remember from that book is that he explains how pools manipulated individual stocks (similar to how it's described in "Reminiscences of a Stock Operator" by Edwin Lefevre), which is not applicable anymore, and he basically just described that big orders at the ask drive prices up and big orders at the bid drive them down, which is pretty basic knowledge nowadays, so I don't see much value in that book. You didn't actually see the current best bid/ask at that time, but he explains how you could figure them out from the trades (the same information that is shown in today's time & sales), so that was pretty innovate back then, but again just basic knowledge today. I've explain just above your post how prices change. There is no need to make up an elaborate story that you can tell someone at cocktail parties, just watch the time & sales and order book all day and you'll notice a few patters. These patterns are very specific to every market, so it would not be very helpful to generalize them here.
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No filters. I look at all trades and also the DOM.
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Tape Reading in the traditional sense is just looking at the time & sales to determine patterns. Some also consider reading Order Flow (looking at the DOM changes) Tape Reading today. Anything else is not Tape Reading. You learn to read the tape by actually looking at the time & sales for a long time. No book can help you there. I've read them all and most of them are pretty much useless.
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To answer the question of the thread opener: Volume does not drive price. Two-way liquidity supply (limit orders) vs. liquidity demand (market orders) drives price. You can have a huge amount of volume in form of market orders on one side but the price won't move until all the limit orders are matched. You might even see a lot more buy market orders than sell market orders, and price could still go down because in that case there would a lot more offers than bids that keep the price from going up. I suggest that you learn how price discovery/order matching works to understand what drives price changes.
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I find it funny how everybody thinks it's the institutions/big players/smart money against the public where the institutions take all the money from the clueless public. Don't forget that more than 80% of volume comes from "institutions", of which about half or 40% lose money too, it has to be, since there is a loser for every winner. I've also read that many limit order studies that conclude that institutions provide most of the liquidity through limit orders while the public uses mostly market orders, so "the herd" does not create liquidity that the big traders can use to dumb their accumulated stock. There are many smaller and bigger traders that trade all the time and one side does not all of the sudden decide to do one thing while the other decides to do the opposite. They all have different time frames, profit targets, and strategies. Some use limit orders only, some use market orders only and some use both. The whole story about greed, fear, herd, panic selling, public vs. big traders is way to simplistic
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I meant the changes in the market depth from pulled and newly placed orders, but the information about the size of market orders you provided is also very helpful. How often do you see big limit order like you described in the market depth and how often do you see market orders that you would qualify as big in this market? If the futures market is largely retail driven then where do you think the institutional traders come into play? Do they only trade the underlying stocks or the index options?