darthtrader3.0beta

well I don't really agree with this...Look at the difference between TWAP and VWAP...the fact there is a big difference is obviously quite important if your taking things to this level. Thats why all these "VSA" threads on here to me are laughable...there should be no difference between TWAP/VWAP...else you assume things that are obviously false.

That begs the question then that Gus Hansen's play in that game was sub optimal? Considering he had to win, I don't see what else he could have done better. The real variable there was when to let off. I don't see how that play is different than a tourney....actually I would think that kind of play becomes more optimal with the number of players in the tourney...

Well then what is that book? I just got Bill Chen's book a month ago and I can easily say its the most mind blowing book I've ever read. Exactly because someone without the math background can extract concepts from it and apply it to other things. I will buy your book in a second if you "give away" the author and title....

There is really a more obvious question that comes up with all this, I'm surprised you didn't notice it. So I guess the thread starter has jacked tradestation to take a high frequency data stream other than tradestation? Something I asked about early on that was ignored. Considering we all know that TS is not a TICK data stream...let alone a high frequency data stream... Which obviously brings up the question of why such a group of "poker players, programmers and traders" would even bother with tradestation to start with...I'm sure the fact that alot of newbs use tradestation which all this stuff sounds like some grail had no consideration to such a group...even though there are such better choices at the retail level, let alone rolling your own. But then you have to start thinking about the structure of such a group... If this was just to "brag" I would probly post a link to autumn gold..but then again I guess this group just all does their own thing with no entity...and no interest in OPM.... They dig down to this level, understand the stat arb guys come in at certian levels of futures premium but don't seem to bother with the cash market... The real ironic thing though is I'm pretty sure this is deja vu and these idiots have posted this stuff before. Everyone called bullshit, so they came back with more "technicals"...

What do you play on? I have an account on full tilt but its only 50 bucks. I would like to check this out but so far it seems like online tournaments are highly flawed and boring. An interesting observation is that if you go in a play money tourney, people quickly figure out the optimal strategy is to go all in ASAP to get a big stack. With real money they try to grind it out more and play technical. The fact that real money vs play money on the line does not change the optimal strategy for the rules of the game, it only changes the way the players play. The cool part of that though is that with real money on the line, real money tournament players are actually playing far more sub optimal strategy than play money players..at least in the early rounds.. http://www.youtube.com/watch?v=Gq3zZbj8TDE

Ehh...wrong. The only reason poker is fun is exactly because of the skew of hidden information.

This is really why I don't understand the point of these threads.. Sure if your small enough, with robust enough software you can hit the high frequency arbitrage guys liquidity problems and ride the wave they make.. I'm sure something like that works better than technical analysis...until the account grows and your own lack of liquidity puts you up against the real high frequency guys blow for blow. On the flip side though I do see Urma's point, alot of the ideas on this board are just utter garbage and not in tune with the reality of the modern markets. The real problem though is we are talking at the limit of an internet message board. I have alot of ideas on this type of stuff with zero reason to ever post them until I've explored them dry. A more technical/software focused direction to these threads would probly be better than techniques.

You really should check your software first. What did you use to test this as it is a concern for me too? I just figured out though that ninjatraders tape with DTN was "clumping" things togather because ninja has an option in the time and sales window to take 250ms snapshots or not. When you turn this off you see way more trades than with it on, even though 250ms seems insanely fast.

Same here. I still have a day job that covers my expenses. Then I have my futures account, a straight out brokerage account for equities and my Roth. I try to keep my futures account as close to flat as possible and put winnings in the equity account. Namely a pyschology thing and so that I really have to think about things before adding contracts. Then I put in a set monthly contribution to my Roth as if it was a 401k at a real job. I'll know I'm in good shape at some point when the futures account is really feeding the equity account, and the equity account is maxing out the Roth.When that happens, thats probly when I quit working my day job.

Quite interesting stuff. I totally agree with what you mentioned about time in the other thread. For your smoothed midpoint price chart, what are you using to plot that? Volume? What I'm trying to eventually get to is having something that is like a constant volume chart but more along the lines of a dynamic volume chart. I really haven't been able to figure out how to do that though.

I don't know...In the abstract it is an interesting question if a 500 lot trade moves the bid/ask as 500 1 lot trades does. I can't totally put my finger on it but it seems a bit asburd to believe that 500 trades will act the same as 1 trade, no matter what the size.

also as far as trading ms..this is a really interesting podcast interview from an algo guy at Deutsche Bank on latency. http://www.algotradingpodcast.com/MP3/ATP_LowLatency.mp3

I think Market Delta is to blame for this though. For one they don't have a forum, something that just completely blows my mind. There is no place to bounce ideas off other people and no place for people not using the software to get really interested like what a forum would provide. Considering the price of the software your basically on your own to come up with how to use it and I think this is why most people try it, like it, but don't use it.

Pretty cool, I've also noticed something like this but haven't figured out a way to play with it yet. One thing I would be interested to know is how much does your datafeed cost? One interesting way to see this if you have ninjatrader is to pull up a time and sales window and set Timer refresh to false. Setting it to true means it updates ever 250 ms...when you set it to false though you see how many trades during those "blasts" that 250 ms is actually far to slow and actually misses tons of trades. The fact that ninja defaults to not seeing this to me is an interesting statement on our retail tools. It just strikes me that our tools all default as if we are trading against a very very large pit and not against algorithms.

Well elite is fun to read like a tabloid is fun to read sitting on the shitter... This place can't be beat from the retail level but there is a flaw in the entire idea of a trading forum. I mean when my skills/tools are all at the the degree of razor sharpness I want them to eventually be I won't be posting how to sharpen tools here, you will simply never hear from me again.

I don't know if its because I'm interested in this type of stuff but don't have the the math to really understand the math behind it that I've never ran across anything conceptually in this field that doesn't have a degree of absurdity to it. What strikes me about modelling financial time series is your essentially modelling an X sided dice with each side having a different weight and then trying to model the distribution of the rolls of that dice..The problem though is both X and the weighting are moving in continuous time, along with the number of rolls, the force of how hard or soft you throw the dice... While obviously you can get a Phd in statistics by modelling historic static dice rolls of this nature, it really has nothing to with the reality because your not modelling the important variables of the function, exactly because they are unknowable...so you fudge it to make your model work on paper. Modelling the distribution is the easy stuff, the important stuff of modelling the variables is basically impossible unless there is enough computing power to find nash equilibrium in continuous time of an N player game, N equal to the number of players of the game, which obviously when it comes to the markets even knowing the number of players is impossible let alone the computation of something that can't be known. That to me is quant finance in a nutshell.

haha, keep the fractal discussion going...I'm late to this thread and thought it was quite interesting, especially the stable levy distribution stuff. I mean its hardly off topic to this thread to talk about MTF and fractals, its not like we are talking about multi time frames and a woman's ass... One thing that I'm surprised has not come up is that this all depends on your style of trading. For my style, I'm not a trend trader at all and don't find MTF to be of any use. I don't like trend trading, I actually fear trends because by their nature you are giving up good position/price to get with the trend. The only time I ever trade with the trend is if a flag sets up. I view my style as a "level" trader...Its easy to find levels on a chart that have held importance to the market at the aggregate, and then I gamble as to the degree new information has been discounted or over priced as far as when these prior levels are tested by price again. The danger of multi time frame analysis is in assuming a fractal nature to price and using the higher time frame pattern to make a prediction about a lower time frame pattern's path...To my mind that is worse than wrong, its absurd. While its easy to cherry pick a pattern that worked in this fashion in retrospect, what it ignores is that the information coming down the pipe at the present + 1 unit of time is not only unknown, its unknowable. Probly an even more important point is to me this kind of discussion is where our tools kind of suck...we really shouldn't be having this discussion....Either a pattern at a higher time frame is self similar at a lower time frame and can make a prediction better than random or it can not. My guess is it can not but of course I may be totally wrong..if we had better pattern recognition software and all had monte carlo simulators we would be disussing the results of that experiment as opposed to guessing what the results of that experiment would be. If you view it from that perspective, what is even the point of further discussion on this matter without those tools?

I browse Wilmott and Nuclear Phyance from time to time. Even though I don't know what they are talking about 90% of the time its interesting to get a perspective from the Quant side of things. Nuclear is especially good for this because most those guys are institutional professionals.

You also have to consider that with the execution speed some players have vs your consumer internet connection, there are going to be trades that simply can not get updated fast enough on your DOM. I don't know what the latency is on a home interenet connection as far as when a messsage originates vs when it hits your eyeballs but I think its safe to say their are high frequency players that are faster than that. Thats a big reason I've basically given up on the DOM. Its like bringing a knife to fight an Apache helicopter. Also from what I've read the high frequency guys are actually pretty much at the limit of what can be done speed wise. They are already so incredibly fast there isn't much to gain by spending money to try to get slightly faster.

Very true, but personally I see this as a good thing. While it will be much harder to get a prop job, it should really make trading your own money from home easier from everyone doing the same thing and being able to pick up on that. Maybe its just a fad though, I wouldn't want a PhD trading my money just because they are too use to being nearly exactly correct in everything they have ever done in life.

Neither does anyone else... to me this whole question is flawed... Like right now on the index, are we trending off a bottom, trading a range or both? If you get abstract enough, we are always basically doing both...to try to quantify that though to me misses the point that in any market under any macro condition, there are better places to put on bets than other places. Your ability to find patterns in the clouds means nothing if you can't wrap your head around the good places to bet. If your talking sideways action your talking patterns that are on the chart vertically, don't know how you beat Dalton there to learn. What you don't want to do though is become a failed trader who ends up teaching bogus market profile "theory"...so don't get too into it.

Or the more logical conclusion that they are simply using the derivative to hedge their underlieing position so then while they "seem" to be on the wrong side, the trade is doing exactly what they want it to do... Personally, I've never heard or read a former pitt trader that now trades behind a screen say that the squawk is even valuable let alone essential...If its not of use to them, doesn't seem worth my time to bother with.

For my style that chart is a work of art. I would have been looking to short the break of the flag around 862, would have been trying to sell the ask hard and probly would have had to do it a few times before getting filled on the retrace. My hard stop would have been a bit tighter at the top of the green candle body but I probly would have already been out if it had tested more up in that area manually. I love breaks of flags like that with breakout potential because you can use a real tight stop risk wise but still have the chance at a big winner. Would have booked profit on the test of the breakout, then that green bar that bounces off the breakout level would have taken me out though and I wouldn't have got the breakout with the second half of my position.

Happy Holidays to all here. I just went out today and got a whole bunch of this beer for our family party tomarrow..should be a good time. We aren't the most religious or high class family to say the least...

Well I don't see learning new things as self-punishment..I also still will probly want to trade for a few more decades and it seems learning C# to some degree is kind of inevitable. Honestly, figuring this stuff out is quite a bit of fun. I also hope this thread is of use to someone in the future. Ninja's forum is great but they are so quick to respond to issues that when the question is not supported it fragments self learning IMO. Hopefully I will also be able to post complete indicators here at some point, currently though I don't want to mess up someones library incase I do something wrong. I'm not sure if you mean finalg's market profile? I'm mostly interested in being able to do whatever I want with my charts, not really interested in market profile per se. Adding on to that last post, once you get a feel for the coordinates of the chart the next logical step would seem to be getting a feel for how things are handled per bar, which seems to be what the getYposition function is for that is added on as an extra function in alot of the indicators that override plot. private int GetYPos(double price, Rectangle bounds, double min, double max) { return (int) ((bounds.Y + bounds.Height) - ((price - min) / ChartControl.MaxMinusMin(max, min)) * bounds.Height); } When you pass in the price variable you can get things moving.. int ypos = GetYPos(Close[0], bounds, min, max); If you then change the above rectange fill by passing in ypos Rectangle(ChartControl.CanvasLeft,ypos,...... You then get a blackbox that shades everything out below the current close of the bar. This is also a good little reference for how drawing rectangles works http://www.informit.com/articles/article.aspx?p=25357&seqNum=5