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snackly
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Everything posted by snackly
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So MetaStock carries Reuters FX meaning the feed should match exactly what comes over the Reuters X3000 terminal?
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I haven't done any studies, just observation of the EUR/USD. There was some wild spiking of volatility in price in 10 minute and lower time frames. Over 100 pips in one hour last night, sustained over several hours. This is not typical volatility is it?
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What is the principal reason that Sunday opens seem to be so volatile lately? Does anyone trade these sessions or do they wait until more regular liquidity returns during the week?
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Thanks for the feedback and don't worry about me. I am here asking endless questions because I would not trade any instrument without understanding it to the fullest. If you read my posts in the other threads about FX ecns you'll see I've added some useful color to those discussions based on my 2 months of rigorous research. I intend to do the same with futures. In any case trading stocks would not he'll me as I have no intention of trading equities futures. I am interested in FX only, spot, futures and options. Many thanks, and btw my prior post contained a typo, using does instead of doesn't. You made it clear that volume doesn't drive price of futures. I got that, many many thanks for taking the time.
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Is There an App I Can Use Just to Get Time and Sales from IB?
snackly replied to snackly's topic in Brokers and Data Feeds
But IB does sell data from the exchanges. You can tick off every exchange feed that you want, for a price. Why isn't T&S included for CME Futures/Options? Why do I have to go out of band to get it? That doesn't make sense. And also the 5 times per second, that is for quote data ticks, there is no streaming T&S. You have to query in a window from a minute ago. I appreciate your candid suggestion though. Yes I have determined that I will be needing up to date streaming time and sales. Given that, where is the best place to get it? I did notice that IB offers a CME Floor feed. Is that the same thing? -
You make great points. Sorry for cluttering this section with this question. It seems I may have misjudged the technique. I have been reading the book Wyckoff wrote about being a tape reader, and I also have a book called Charting the Markets, the Wyckoff Way, or whatever. Can you suggest what might be the canonical reference for this method? Is tape reading alone with the purpose of finding supply/demand point not enough to constitute the full method? Guess I better do some more research.
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Is There an App I Can Use Just to Get Time and Sales from IB?
snackly replied to snackly's topic in Brokers and Data Feeds
Now I'm being told that IB doesn't offer streaming time and sales!!! Wth? That seems like a major flaw in their platform. I'd also mention that my original post should have been more clear. I am looking for anything but TWS, which I have found to be a kludgy, slow and just unbearable user experience. -
Sorry I guess I didn't realize the term "smart money" was not a Wyckoff term. I think that's a bit odd since he refers to the composite man, or the professionals. I mean is there that much difference? It would seem at least that term of general meaning is transferrable between Wyckoff and VSA, but what do I know. As I said I am new and absorbing tons of info from both camps and it can bleed together. Thx.
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THx! I think that is the most salient point. That the volume on the futures does affect the price of the futures since its derived from the underlying. But you're also saying that despite that the volume of the futures is indicative of the direction of the underlying in the immediate term and therefore indicative of the value of the contract. Have I gotten that right? It is then fair to say that informed traders are moving volumes of contracts based on their professional and informed views of what the underlying is doing?
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Right, I'm not at the point where I don't trust it. In fact I am very much buying it. Please don't take my questions as a means to criticize it, I'm just looking to pose the devil's advocate type of question to see how much folks have thought this stuff out. I appreciate the answer. However I should point out that in the equities world, what would stop the dumb money from shorting after giving up all their shares to the accumulating smart money would of course be the lack of outstanding shares in the market. At least on a theoretical level Wyckoff works better in equities it would seem. But it sounds like from the feedback that people feel it works just as well in futures, including FX futures? What's interesting though is that FX Futures should correlate 99% to the spot rate, correct? And the spot rate drives the future. So the accumulation of the FX futures contracts should coincide with the smarter understanding of the current and immediate direction of the spot rate, and therefore the lack of interest from smart money would probably have a profound effect on the ability for dumb retail FX traders to short a major pair and make it go down. It simply couldn't happen due to the imbalance. Am I getting that all right?
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I have IB setup to do spot FX through their IDEALPRO ECN platform. The S&P rating and the Loyds of London insurance adds a nice feeling of security. Check out this page: http://www.interactivebrokers.com/en/general/education/pdfnotes/PDF-FXTrader.php
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I am using MultiCharts which I like perfectly with my IB. And I'm using ButtonTrader for order entry. I basically need two more windows, one is Time and Sales and the other is a window showing my current IB account details (margin, equity, etc.). Is there an app out there that I could just use for those two purposes?
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I am wondering about the technical end of this. For example, is it better to have a broker's tape feed that is never latent, such as InteractiveBrokers which gives approx 5 updates per second, or to have a feed like ZenFire which supposedly gives the full stream of ticks but can lead to bandwidth overload and latency? I guess for Wyckoff the pure tick stream of quotes is not terribly important, its the time and sales that constitutes the tape, right? Does anyone know if the time and sales of any one broker is better than the other? Speaking mainly about CME Futures for the sake of argument? Thx.
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What is the answer to the OP's question. Does the merger cause prints to be consolidated as he described? If it will/does, doesn't that mean the end of tape reading on this exchange as far as volume is concerned?
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So essentially the accumulators or smart money in the derivatives markets are buying the contracts at the low prices from the dumb money. At the point at which they've bought most of that they've effectively deprived the dumb money from selling further and from selling much of anything to each other both at the psychological level and at the material level since they've bought most of the contracts that dumb money had been holding? Hence at that point the price begins to rise as the smart money withholds their inventory? What's to stop dumb money from shorting the contracts after they've sold the ones they held to smart money, further depressing the value? I guess it is just because its so unlikely for the composite dumb to think in that way where as the composite smart knows better? Am I still wrong in thinking that the Wyckoff method or supply and demand have more demonstrable at the material level with equity issues? And btw, I am talking about FX Futures although I suppose it shouldn't really matter. And thanks to all who replied, much appreciated!
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I don't think that's correct is it? You can hedge a long FX spot position by buying the put at the money, and the reverse for a short FX spot position. If you do this on an ECN like IB, which lets you trade FX options, futures (CME) and spot FX (IDEALPRO), you can fully hedge your trades. You could theoretically do this with bucket shops, but say you short the EUR.USD and then buy the call on IB at the money. The problem as I see it is that the bucket shop could theoretically (although unlikely) take the EUR.USD up when its going down. Not quite likely in a real large movement but just the possibility means its out of the question for any trader with serious risk management. And in any case the hedge on IB against a spot position at an FCM bucket shop would fail if you weren't highly capitalized because you'd get a margin call, they don't care that you have the option at another broker. If you trade them through the same broker, you'd never get the margin call since you'd be in the money with the put as your short trade is losing, and you would of course have a stop loss order anyway, so that your losing trade if it goes far enough has the opportunity to be a winning in the money option exercise. Worst case you're out the premium.
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I'm trying to learn as much as possible about trading FX futures as I am heavily leaning towards trading them instead of spot FX. From what I gather you can trade them other places than the CME, such as Eurex and ICE. I am not sure how to trade those exchanges at the retail level, I think IB lets you trade the ICE, I forget. What would be the advantages to trading those if any over the CME? I had read somewhere (maybe here at TL, I forget), that the CME/CBOT merger resulted or will result in the Globex releasing consolidated trade prints to data vendors, meaning it would be difficult to impossible to tape read the volume since all prints would show up as large volumes. Is this true, if so does it apply to FX Futures, and if so wouldn't it be better to trade FX Futures on a different exchange? Also I read that there are new rules that the CME allows block trading to be reported privately to the exchange, and thereby taking those large prints off the tape. Again I think this was related to the Eurodollar future. Is this true at all and if so does it affect FX Futures on the CME? Many thanks.
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How are you hedging your FX Future trades? Using negatively correlated spot pairs? Or I would think the better choice would be FX options from the same place (CME)?
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Guess I'm real late to this thread.. If you want the best protection with retail spot fx, use IB's IDEALPRO. They are insured through Loyd's of London and have a high credit rating from S&P (for whatever that is worth, if you've been paying attention to counterparty ratings lately in this industry at the banking level you know what I mean). But seriously, they are as safe as you can get with retail FX and as transparent as you can get. HotSpot is 2nd, but they are too secretive about liquidity, and don't insure their accounts. I believe because IB accounts are futures/stock accounts they are effectively covered by laws that require insurance to a certain amount. I am probably badly bungling this explanation so someone with better knowledge can step in.
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This would be very hard to do on an ECN. In IB's case, their liquidity providers are known and are major banks. They are clearly listed on their site. Strangely though HotSpot keeps this secret. That said, to really manipulate the price feed on an ECN would invite arbing, and that arbing would keep the spreads very close to the rates on EBS and other ECNs. I am pretty sure the rules of market microstructure would ensure this. However these rules fail when working with FCMs because their agreements prohibit arbing and scalping and enable them to basically do whatever the heck they want. They can quote you that the dollar is worth less than the Peso and guess what, your account is blown out. They could literally do this with no reprisal at the legal level. IB IDEALPRO could not do this from what I can tell, or more accurately their liquidity providers could not do this. If an expert here can say otherwise I am all ears.
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Mostly agree with all the FCM related points, but again FX retail spot can be done through a real ECN like IB or HotSpot and then these are no longer concerns. As for professional future traders hunting stops, apparently Paul Rotter claims to have done just this but also says that once traders learned not to place their stops at obvious places (round numbers?) it made this harder to do. So I guess it does/did happen at one point. But that said, there are still bigger market microstructure issues, such as CB intervention that can happen at any time without any warning and which can move spot prices. I don't know if I'd call this being out to get the little guy, clearly its for the purpose of measured economic strategy for various nation states, but it is certainly a more volatile market than the FX futures one would think.
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Well if you trade FX on an ECN like IB IDEALPRO, then I think it's fair to say there is no manipulation at the execution level. As for the market making/liquidity being sent into IB, that I don't know for sure. Just in case you were confusing the manipulation of spot FX FCM bucket shops to that of the manipulation of the floor/pit in Futures, which I sort of think are two separate issues.
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Well if it was 95% correlated you could use it effectively by hedging for the remaining 5%. The mechanics get a bit more complicated and transaction costs would go up, but a true 95% correlation that was empirical would be extremely welcome. Afterall, the USDCHF is 95% negatively correlated to the EURUSD, is it not? That matters a lot I think. Experts feel free to correct me. But Kiwi you are right, how can you show a 95% correlation without full volume data? That said, if you could correlate it 95% to EBS volume, I think that would be much more informative than having no empirical correlation at all, no?
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You need to read their agreement more closely. They reserve the right to take the other end of your trade and make markets. They are therefore not an ECN. Call them and ask them, they will admit it if you ask direct questions. They use an ECN-like platform, but that's as far as the comparison goes. As for liquidity, they will take the other side of your trade when their liquidity providers won't/can't. That should tell you how good their liquidity really is. I would not trade spot FX with them. The only places I would trade spot FX with are Interactive Brokers IDEALPRO, HotSpot FXr, and maybe DukasCopy, which requires a $100k deposit and is based in Switzerland, where your money would reside. I am not so sure I trust DukasCopy yet.
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Btw, I have an IB IDEALPRO account at the moment although I have yet to do anything but paper trade. Have you checked out ButtonTrader? It's a DOM-like interface made for IB and does side by side FX and FXFutures. Or anything for that matter.