AgeKay

dsalas, PMed you the attachment.

MadSpeculator, thanks for your reply. What do you mean with "cancels"? Right. Thanks for the suggestion. Do you know of a good data vendor that offers FIX that gets its data from the Eurex EBS interface or CEF ultra+ Eurex from Deutsche Börse? I know TT offers FIX and connects to EBS but my broker doesn't allow two platforms (I already have X_Trader and TT FIX counts as a platform).

I am looking for a data feed with an API that allows me to do order book analysis on Eurex. This requires a data feed with an API that allows one to enumerate every single order book update (including trades) in the order it occurred. An added plus would be exchange time stamps with high resolution (i.e. milliseconds or smaller). To do this for Eurex, that means that the vendor either has to subscribe directly to the Enhanced Broadcast Solution (EBS) at Eurex [members only so unlikely that vendors subscribe to it] or to the CEF ultra+ Eurex feed from Deutsche Börse (this is basically just EBS + trade recovery) [for non-members such as vendors]. I could find only a handful of vendors on the website of Deutsche Börse that are connected to the CEF ultra+ Eurex feed (one of them is CQG). Another important part is that the API must allow one to receive order book updates and trades in a synchronous manner so that the correct order of events can be ensured. Also no updates may be missed when the thread that the event handler is raised on is blocked (e.g. due to long processing) [i.e. the API instead queues those updates]. The only data vendor I've found so far that seems to meet both these requirements is CQG (waiting for confirmation from CQG). Please share your experience with their API if you have any. Are there any other out there besides CQG that meet my requirements?

I am also in Pursuit of Accurate Data for the purpose of order book analysis and I am seriously considering to go with CQG. taotree, do you have any updates?

You say that CQG is an exceptional feed, but have you been able to verify it also, the way you did with IQFeed?

Sounds like an ordinary limit order placed at the "protective range" to me. Maybe they just had to give it a fancy name to make those traders happy that "need" market orders but don't know they can accomplish the same thing with a limit order.

madspeculator, how was your experience with CQG's datafeed and API? I am looking into it to do some order book analysis which requires every single order book update in the order it occured.

smwinc, any opinion on CQG's API? I've been looking into it to do order book analysis where I want to see every little order book update in the order it occured. I know this wasn't possible with TT's COM API (their FIX API supports it though).

I don't trade S&P 500 but Don Miller (google him, he's got a blog) is a pretty large trader of that market and shares what he's looking at, e.g. TICK (dont' remember anything more, I don't pay attention to his indicators).

Don't want to take this off-topic, just want to comment on this one. I think it's both. .NET is two things: The run-time (languages) and the framework (library). The run-time is updated every few years and its mainstream languages (C# & VB.NET) tend to incorporate the best ideas and functionality from new innovations and old languages. Especially in the latest releases, many functional and dynamic language features have been integrated into the mainstream .NET languages which make them even more productive. I think just the C# 3.0 release made me 2x more productive compared to C# 2.0. In addition, it supports pretty much every popular language ever used which can all share the same code base and access the framework. The framework is massive and integrates pretty much every popular technology. I've been working with it from the beginning and I know maybe 5% of all classes (maybe only 1%, who knows). You can develop web sites (ASP.NET, Silverlight), databases (LINQ to SQL, Entity), rich client applications (WPF, WinForms), networked applications (WCF), mobile device applications (.NET Compact Framework, Silverlight), games (XNA) and cloud applications (Azure) and much more using the same development environment, code base and framework. The leverage you get from that is incomparable. For example, my charts are using WPF (Windows Presentation Foundation) which is a library to develop UIs. It maintains all state (retained mode) and it's using DirectX (what games use) to render the graphics so everything is hardware accelerated (graphics card does all the work instead of the CPU). So out of the box you get the easiest to use and fastest graphics API. This makes me 100x more productive than the next guy using some native graphics API (GDI or DirectX). Using my own little charting abstraction that is based on WPF, it takes me about 15min to create a completely new chart type from scratch if I knew in advance which color scheme I want to use and it's performance is faster than anything you've seen (think how much is going on in games nowadays compared to those few stupid lines and rectangles we are drawing to render a chart). Even when I had my 5 charts open, my CPU was always pretty much idle (using 1% maybe) even though there could would be tens of thousands of objects on my screen.

Thanks for presenting your theory. Very interesting. I was able to follow your abstract description but when I came to the following part I was wondering how something like this would look like an actual trade scenario: A) Could you give an example on how one would determine liquidity providers and liquidity takers with T&S and/or quote data? Something like market goes bid, it's bid so many contracts, trades so many contracts, then trades the offer until its cleared, offer goes bid, etc. Who would be the liquidity provider vs. the liquidity taker? B) And how do you determine when liquidity providers are balancing their inventory (I am referring to tenant 4d) C) How are liquidity providers reacting to the increased volatility of the past days? They can't balance their inventory with so much order flow and so little liquidity when markets are so volatile.

Wow, what happened during that time? Could some one post maybe a chart?

The last two weeks were certainly crazy and everyone who survived those (and the following weeks) can pad himself on the back. At some points, it was just insane. Bund used to have 30 tick trading ranges in a day which is already exceeded in the first 15 mins of trading today. Yesterday evening (after 20:00 CET) it just moved up 70 ticks on less than 2000 contracts and then just before the close dropped 40 ticks on less than 1000 contracts trading less than 10 contracts at most prices while during the day it could trade 1000-2000 contracts at just one price. I guess most market making programs have been disabled with the recent volatility and the new all time high.

Thanks. Am I the only one that thinks that the Bund has become a complete joke lately? Not just the volatility, but yesterday evening (after 20:00 CET) it climbed 70 ticks on less than 2000 contracts and then dropped 40 ticks on less than 1000 contracts trading less than 10 contracts at most prices.

I don't have enough historical data to check back very far but it seems to me that the Bund (FGBL on Eurex) is at its highest price (126.95) it has ever been. Is that true? Can anyone confirm or correct me?

I removed the attachment. Happy? ;-) By the way, I am pretty young.

You could say that. My chart is a little bit smarter though because it doesn't only use the trades but also inside market to determine when to start a new column. I usually don't do this but what the hell. Attached is the trade I mentioned earlier with comments in green (text connected to boxes means that I am talking about the volume/price in that box). Numbers like "1,5" are an abbreviation for 1500 contracts.

That might explain the untypical newsletter I got from TL two days ago with the subject line "Earn 10-to-1 on your money". You should stop that. TL has never endorsed crap like this. It's the typical bullshit targeting newbie "investors":

I developed a custom chart. It looks like the one called "Volume Figure Chart" in Chapter 8 of "Studies in Tape Reading" (also floating around the internet with the ridiculous title "The Day Trader's Bible") by Richard D. Whykoff. Other than that, you could just remember the volume at price (VAP) at the S/R before the inside market reaches that and then substract that in your head from the new VAP. So let's say price 10 was support and the VAP at 10 is 6000. If it goes bid and trades and then VAP shows 8000 contracts traded at that price, then you know 2000 contracts just traded at that price. Today, I went short 126.43 at 10:03 (I know I could have gotten 126.44 but I didn't have my offer there when it blasted through it the first time) and then exited 126.34 (in hindsight, I wish I had held it down to 125.75 but who knew it would drop so much?) based on this which was a very good entry and perfect exit.

I can't prove it. I don't know this guy. It's quite unrealistic though that he made all that up if you read his answers. He doesn't get anything out of posting on reddit other than maybe an ego boost. I shared this because there isn't much information on real *automated trading* (think algos) beyond the usual 1-2-3 indicator combination, e.g. EAs. A lot of this is obviously not applicable to manual trading, i.e. psychology. There is no psychology to worry about when everything is executed automatically. Here is how I see it. He's been trading for 2 full years and started on borrowed money. He probably paid it back. Then he's probably building up capital. He also states that he's not into spending money and at this stage it would be stupid to spend big money if he's only 2 years into it and plans to expand. Of course, he could be lying, but if he was, do you really think he'd write that he lives in a 900ft apartment and drives a Nissan? He'd say he drives a Ferrari and lives in a big ass mansion. And who makes up stories like the one with his dad baby-sitting his computers? He could have just said that he doesn't worry about it because everything is automated and he's partying all day with Megan Fox and Jessica Alba. Even the 2 cents on average per trade and large volume is what you would expect from automated trading systems. If he said, he'd be making 20 cents, I personally would not believe him because HFT systems don't make 20 cents on average. So, he's either a real trader, or lives in a fantasy world. I find the former more likely based on what he wrote.

I mean the volume that was traded at one price while the inside market hasn't moved much. an extreme is a high or low of a move. local means that it's not necessarily the high/low of the day, just some high/low. Example: Market is going up to a price that you have determined to be resistance. When the inside market reaches that price, how much volume trades at that price? If it's way above average then it's likely to hold. If it doesn't stop at that price and trade only average volume, then it's most likely to break. But you also have to take the momentum into consideration, if the market shoots up to that price, it's not likely to hold no matter how much volume trades. Bund, but also looking at the Bobl. No time frame, just short-term. Trade morning to afternoon, usually done by noon if I reach my daily target.

2 pennis net profit on 1 million shares per day isn't too bad. I doubt you understand what his trading is all about. This is normal for HFT. It's completely different from manual trading.

I've done it many times for exits. Unfortunately, my conviction isn't strong enough most of the time to reverse my position. ----------------- One thing I am sure doesn't work is to trade emotionally. I sometimes do it and you'd be surprised how I manage to buy the exact high and sell the exact low of one move. There is also no faster way to lose money than by averaging down. Sure, you can do it for some time, but there will come a time when you will regret it.

Have you read his answers / my quotes? Of course, he could be lying but it doesn't seem that he's making that up.

I don't apply market profile's concepts at all to my trading if that is what you mean. On my charts S/R is clearly visible as it's either just the local extreme of a move or a price where moves have reversed repeatedly. I also pay attention to S/R turning into R/S. The market I trade isn't too volatile (with the exception of days like today which was crazy) so there aren't S/R "areas" but exactly one S/R price where price could reverse. This is likely to be different with more volatile markets like stock indexes. For me S/R are just prices to watch for a possible low risk entry. How much volume trades at exactly that price is what makes me decide whether to enter or not. I am also looking for the same thing in another highly correlated market to confirm my decision. In my opinion, even the volume distribution won't show you the complete picture. It's the volume at individual prices of recent moves that tells you whether a S/R is going to hold or not. To give you an analogy: If you wanted to cure an illness, volume distribution would be the symptom not the cause, while volume traded at individual prices would be the cause.