ScottB

I would say no, that does not indicate HFT is active in the ES (although it is) as HFT algos would not react in that fashion. All the HFT algos I have worked with/around would have taken one trade (maybe even 1 lot), cancelled away on the rest of their size and stayed out until the move was over. I watch the DOM in the ES for hours every day and have logging software running metrics during much of this time. I have seen (and logged) many of the moves you are referring to and they appear to be large players unwinding a position (or alternatively putting one on). If you watch carefully, they are clearing the book for multiple levels (I saw a 10 tick move the other day). To be able to do this would require either a market order (which is somewhat unlikely) or a marketable limit order otherwise the HFT players would have time to cancel. One explanation is someone large is putting on or taking off a hedge of some sort. Best Regards, Scott

That message can appear for a number of reasons but one of the most likely is you do not have the correct data for the instrument. Also under Optimize check the values for Optimize on and Optimizer. This may be beyond what you were asking but you should always optimize over one period (known as in sample) and then do a back test over a different period. This will simulate what the strategy will do with "new or unseen" periods. For example, run an optimization from January of 2010 to March of 2011 then pick a set of parameters that produced good results during that period and run them against data from April 2011 to date. This will separate truly predictive solutions from curve fit solutions. Best Regards, Scott

metalhead, that is very well put and in my experience the essence of the issue. Best Regards, Scott

One thing to always remember, no indicator can predict/show something that isn't there. A zero lag indicator to me implies you have simultaneously shown where things were (the ema part) and where things are (the zero lag part). That is great if you can get it but does it make logical sense that those two ends can be achieved at the same time? Best Regards, Scott

I have done what you describe in the past but as another trader said, I don't any more. However, if you are doing what I did, you might be surprised and not very happy to learn the real reason. Check your winning periods vs. your losing periods. Consider the possibility you are trading much the same during both periods. In the winning period, you mostly follow the rules but break them every once in a while in "special circumstances". The "special circumstance" trades go for you; you make money and you tell yourself, you did the right thing (breaking your rules) because these were after all, "special circumstances". In the losing period, you mostly follow the rules but break them every once in a while in "special circumstances". The "special circumstance" trades go against you; you lose money and you tell yourself, you did the wrong thing (breaking your rules) because you only thought they were "special circumstances". However, in the losing "special circumstance" trades, you have that one (maybe a couple) that get away from you and you have an outsized loss which severely hurts your account. It is so easy to tell yourself, if only... I would argue that isn't the issue at all. You were trading the same way the entire time, if one of the "special circumstance" trades you won had gone just a litte bit further against you, it had the potential to be one of the big losers. Your system, style, whatever you choose to call it may be a large part of the probelm in that, you don't really have one, just the illusion of having one. I know all of the above was true for me and I blew up a couple accounts before I figured it out. Best Regards, Scott

I just have a larger stop loss on the trade than you do.

It is indeed. Make you a deal, you come to Chicago, I will buy you dinner; if I come to the UK, you buy me a pint.

I can see it now - TheNegotiator starring in his own reality show. Unfortunately I am in the US and won't be making it but maybe I will catch you on television.

TheNegotiator, I saw you are going to host a booth at the Expo, I didn't know I was corresponding with someone famous!

uexkuell, that is excellent, thanks.

I don't want this to sound wrong but I almost never look at other people's stuff. One of the reasons I am always happy to share what knowledge I have is my guess is that almoste everyone has their own ideas and likely not enough time to research them. If I can point someone in the right direction or at least warn them of the potholes I have fallen in along the way then maybe some of those late nights weren't wasted after all. Of course, having just said I don't look at other people's stuff much, I must now go do a little research on DeMark, lol

You have actually pinpointed virtually the only way you can do it at the retail level. There are good proxies for most of these things if you truly understand what you are looking at/for. If someone is doing the equivalent of throwing paint at the wall hoping to create a Rembrandt that likely won't work (you might get a Picasso though). However, if you are looking for market structure to give you a probability based edge then that is much different (imo). Start with something very simple. One thing I do is show a histogram of the number of consecutive bars in the same direction. That is mildly interesting but I also know (not that anything can really be known relative to the market) the approximate probability of another up bar given we have had 4 up bars in a row and we are not within N minutes of a market moving report. That kind of analysis take a lot of time. One of the worst feelings in trading for me isn't losing on a trade. It is spending a week researching something like that only to find it has zero predictive value.

Negotiator, I have and still do work on both sides of the institutional/retail fence and I can say from my experience is no you cannot do that type of analysis without the feeds, etc. The most insidious part is you can easily get the illusion you can. The differences are subtle in nature and virtually impossible to reconcile if you aren't aware of what to look for. For example, how would you be 100% certain a trade went off at the bid or ask or how would you ever spot algos running deeper in the book without getting every book change, not just "most or enough" of them? These are terms data providers will use if pushed to explain EXACTLY what their data streams consist of.

Chris, you are quite welcome. I hate to see someone get taken advantage of (especially a fellow programmer).

sdoma, thanks here and I will thank you again in the foreword. Karish, MM come in two flavors, the true market makers (think NYSE specialists of the olden days) and prop firms that are just trying to take what they can out of the market. I don't have an issue with either type, we are all trying to make money, why should they be any different? I think both types provide liquidity by acting as the facilitator for anyone wanting to take liquidity. If you want to take liquidity, do you really care who you get it from?

chris, I am not an attorney but I was in the commercial software business for 25 years prior to becoming a trade system developer A) the law (as in police) couldn't care less about a spat between two guys B) if they did care, this is a civl matter and they don't have any jurisdiction C) if there isn't a patent or non-disclosure agreement, etc he is out of luck, he has no case, nothing and not much of one unless there is a patent. Ideas while important don't count in a case like this, a patent would but you can get ideas anywhere, actually putting in the effort to get them into code usually tips the scales (as I said though, I am not an attorney) D) if you give him the code, even the code you developed with him, there is a description for that but not one I will use in an open forum but the last word in the phrase is idiot and I bet you can guess the first one This guy has alread proven to be untrustworthy, find someone else to do business with but never, ever give up your code. Scott

Chris, are you saying that your partner is saying the money he sent you was payment for your services as a developer and therefore he owns the code vs. royalties vs. a split of the sales? The answer to that question is important so before I answer further, I want to be sure I know the facts. For the record, in the US threatening to file a criminal complaint in the pursuit of a civil matter is against the law and could land him in big trouble.

sdoma, that is an excellent way of putting it; I hadn't thought of it exactly like that. Institutional data feeds often are in the 1,000s not 100s. The prop shop I worked at had trades that made $20.00 per million traded (notional) but traded over a billion per day (notional). That one trade made between 20-50k per day but it took almost 1,000 trades per day to do it. We completely agree on the edge thing. I sometimes think about writing a book titled "What trading has taught me about life". If I do, I now have a new chapter - "Do you know how small the line is between being ok and not"

Karish, first, they have completely unfiltered/uncoaleseced data so they see literally every tick, every book change. I recently spoke with one of the major players in the data feed market and when I asked just the right questions, it turns out their ads about how their data is the best, you get every tick, etc. weren't true. Their answer basically was - oh, you mean all the data like actually every tick, every book change? When I said yes that was exactly what I meant, the response was - oh, well, (a few umms in there too), that wouldn't be practical to deliver over the internet. So right there is the primary difference. High end platforms like X_Trader Pro give you a column on their DOM screen called EPIQ - estimated position in the queue. There are algorithms that estimate your position. Start with how many were on the bid when you joined the bid (you want to be long). Then subtract every trade you see at that price and then with the right amount of historical data, you can build algorithms that estimate how many orders that are cancelled were in front of you, which leaves you with a decent idea of where you are. If you are a big enough player, you sprinkle 1 lots in all this and when one of them executes, you know exactly where the rest of your orders are relative to that 1 lot which also helps pinpoint where your orders are. I can tell you from personal experience, knowing with a fair amount of accuracy, where you are in the queue is a huge advantage. Think of all the times you were trying to decide whether to bag a trade at the bid (you were long) or hold out for your limit order at the ask to be hit. If you know you are 3rd in line, you hang in there, if you know you are 200 back, you hit the bid. I hate to say it but there is a world out there the average trader never even sees.

AuctionMarket, thanks so much for that resource, it is great.

lol - and some other nonesense so my post is long enough

What happens when you see a shark in the water?

There is an old song that seems appropriate Some they do and some they don't and some you just can't tell Some they will and some they won't and some it's just as well. Where is it written that everyone who wants to be a trader can be a successful one? Maybe success is predicated on the confluence of edge, capability and who knows what else. Even if you solve most of the issues, if you haven't solved them all, the odds are still against you.

Rande, out of curiosity (I don't have a well informed opinion on this subject) I have a question. If you looked at the traders you (or really anyone) mentor as individual trades, how many would hit the profit target and how many would stop out? I have been trading a very long time and my trading improved dramatically as I became comfortable with my setups and that came from screen time. As I continually saw setups work that I didn't take because... fill in the blank - everything from some guy on CNBC saying something to a volume chart in gold to I suddenly had to go to the bathroom, I started to get the picture that the setups were an edge, not a guarantee. The end result was as I became more comfortable with my edge, I questioned it less and I became more successful. Once you are playing with house money, it all becomes much easier.

TheNegtotiator, good eye for detail; you are correct.