gosu

Is Dave a real person or a hypothetical? What exactly is meant by "self-soothing"? Will you give an example?

Mebbe it's an elaborate version of the Nigerian scam. I can't wait for the version that requires online banking passwords to verify that a person is wealthy on the internet. The site can be called openmessageboardmillionaire.com

I like the idea of benchmarking performance against what others are doing. Not in a competitive way, of course, but with the idea of personal improvement. It would also be good to identify those who are extracting at a greater rate than I, and to communicate with others who are serious and have an effective approach to trading. For such benefits I would be willing to submit to a verification of my trading results and make it available for public viewing in a pool of other people's results. However, I would never jeopardize the security of my trading accounts, which is what the website under discussion seemingly would do.

It's not your website. Got it. As I stated, I like the concept. I would consider joining and I'm not in the business of selling anything. However, the execution of it is a nonstarter for me. Why would vendors NOT join? Is this a serious question? Isn't it obvious why they would not join? In any case, I would ask why would anyone disclose the account information the site requires to participate? Did you read any of the Terms of Service? Not even my family members know my account passwords and security questions and I do not keep such information on my computer or have it written anywhere. And I'm supposed to trust a website with that information? You has gots ta be kiddin'!

A nice idea, but I don't see how you will get any serious people to get on board: Disclosure of Trading Information A key goal of Company, the Site and Service, is to promote increased openness and transparency by independent traders of the financial markets regarding their methods and (most importantly) their results. * * * (iii) In order to accomplish this goal, Company will require you to disclose all relevant information necessary to allow it to access those trading records which you may designate from time to time, including but not necessarily limited to account numbers, user names, passwords, "verification questions," other required security keys, etc.; * * * Good luck with that. P.S. If in say 5 years your idea does catch on and you've shown a track record of being secure, I will join and allow access to a small account. But until then, I'll let others go first.

That's good to know. I trade just the stock indexes and have never monitored CL. I've thought about adding more markets to trade but then I realize I don't want to work that hard.

I neither encourage nor discourage. However, if you decide to trade the index futures, my practical advice is to use this: U.S. Economic Calendar Also get yourself a good earnings calendar.

@gamblerKI: Your question is, does a FAILURE TO BREAKOUT (FBO) exist? To be clear, an FBO can occur only after a BO. If no breakout, there cannot be a "failure to breakout," although literally the term does seem to describe a breakout that didn't happen. Compared to the failure to traverse (FTT), which really means "there's a traverse but it didn't get to the other side," the FBO can be described as "there's a breakout but it didn't stay broken out." If you've done any monitoring at all, you already know the answer to your question. Of course the FBO exists, for the simple reason that we know BOs exist and not all BO's stay "broken out." In fact, most BO's do not stay broken out. That is why the FBO is always on the table when there's a BO unless the market gives the indication to take it off the table. Just a comment about the FTT: If you spot a failure to traverse, just know that only one thing follows it, and that is the retrace. It is after the retrace that all the fun begins: breakout or resumption; if resumption could be a full traverse or another FTT and part of a larger formation such as a pennant (FTP, FBP SYM); if breakout, then either an FBO (resumption, either full traverse after fanning or another FTT and larger formation) or not FBO (often a retrace to reversal) and on to p2 on increasing volume.

A very nice post. I view HFT in the same light as you do: HFT has added a lot of liquidity, which is a good thing. As you point out, an independent trader's best level of operation is as a frontrunner to larger players. I believe the author of the book you reference calls it "parasitic" trading. Personally, I don't particularly care for that description but I can't disagree with it.

I am not predicting anything. Just stating my observation of what I see in the current political and regulatory environment. Where have you been? When 60 MInutes has a segment putting it in a negative light and articles like the one that was posted earlier are being written, you can be sure HFT has a big fat target on its back. Even without the media attention, HFT is an easy target for so many reasons, one of which is the need for revenue by the government. See, for example, the FTT. Moreover, the idea that a stock exchange can sell faster access to information that is being exploited by a firm like GS has to be on borrowed time in this current environment. Again, not a prediction, just stating the obvious. There WILL be changes, as there are after every market upheaval. See, e.g., PDT rule; penny incrementation for stocks.

I don't see it as a disagreement. The article is referring to Goldman's HFT activities: “We’ve seen the scandal over High Frequency Trading, where Goldman and other firms have computers positioned at the New York Stock Exchange, getting information on trades a millisecond before they are posted publicly. Goldman sees where the market is going second by second, positions itself for very short term profits, and in effect extracts a tax on trading by individual investors and mutual funds. Goldman Sachs is the biggest player in this business… " As I stated in my original post: 1. Who is best positioned of any participant to win at this game? A: The best positioning goes to those who get the information the fastest and whose costs are the lowest. These are the players who run automated programs that extract very small profits at high frequency. I probably should have been more clear, however, that my "bigger is not better" statement refers to the size of the account being traded or in the case of large players, the size of their capital pool under management. Without making any judgment about fairness, I see what Goldman and other HFT firms are doing as more akin to market making rather than trading or managing money, albeit without any of the regulatory responsibilities. That being said, I think the writing is on the wall that HFT cannot continue as is and the only question is whether the regulatory response will be so broad that it impacts small players like us. Until then, just keep on trading.

Bigger is definitely not better in the markets. Yet I look at being small in the market not as an advantage in and of itself but as not being a disadvantage. For the retail participant, the advantage comes from being able to operate parasitically with respect to the large pools who are the real movers. That level of operation has to be chosen, however. It doesn't just come automatically with opening an account at ABC Retail Futures.

How did you arrive at your conclusions? If I were asked the series of questions that might have been asked to draw your answers, I would give mine as follows: 1. Who is best positioned of any participant to win at this game? A: The best positioning goes to those who get the information the fastest and whose costs are the lowest. These are the players who run automated programs that extract very small profits at high frequency. 2. Is it true that the smaller your lot size the greater your odds of winning; and conversely, the greater the lot size, the lower the odds of winning? A: Not necessarily. A small lot size gets you easier fills without slippage that would be difficult with a large lot size. However, an easier fill and less slippage do not automatically equate to greater winning odds on a trade, and conversely a more difficult fill and slippage may not necessarily be bad things. For example, in the case of a directional trader, a partial fill or slippage might actually be good if he picked the wrong side of the market to trade with. 3. Are the futures markets built, consciously or unconsciously, to benefit its smallest members the most? A: This really depends on what is meant by "members." Retail traders are not "members" and have historically been discriminated against in terms of access, access to information and costs. Today, while access and access to market information are more equal between members and nonmembers, there is still a sizable gap in costs. Moreover, always in the background are regulatory schemes to raise more barriers against retail participation. Simply put, futures markets, like all markets, are built to benefit those that are "insiders" at the cost of those who are not, including retail participants. Despite the above, the retail participant does have a few modest advantages that are inherent in being independent.

Don't kid yourself. There's nothing you can post that I would take as a "challenge" to anything. I just wanted to make explicit my objection to your referencing my post to the OP. For some reason unknown to me, you like to chirp in with your take on what I'm saying when I am replying to someone else. If it helped to convey my point, I would not object. But it does not, so I suggested to you from the start to disregard my posts. Nothing personal; I just think you are incapable of understanding my view of trading. In any case, I do see the relation between your advocacy of engaging in irrational behavior to learn how to trade with your advocacy of being in the market while not knowing what's going on. I do not recommend to anyone either approach.

It seems to me that you are looking to design some type of a poor man's HFT algorithm to trade a retail account. My experience is that the "micro" level of the market is not the optimum place for a retail trader to operate. There is so much gamesmanship at that level that you really need to secure your bearings as to the right side of the market from less transitory elements and then zoom in when an action is required. Indeed, once you know the right side, you will find that the best action points are fading the "fake outs" on the micro level and not reaching for prices after the move is underway. By "best" action point I mean an entry that can be "washed" easily if the need arises and an exit that extracts the bulk of the move--after the "swoosh," if you will. You will be operating on another level when you no longer wait for "confirmation" but hit the transmit button to fade the micro spike on the stall because you KNOW that is the right side. Capturing the spread is just icing on the cake.

Your analogy is nonsensical and doesn't resemble the point I was looking to get across. See if you can refrain from taking what I say the wrong way. I know you might be harboring something from a prior tweak I gave you but you really are not that good to be evaluating my advice to someone who requests comments from others. It is not my habit to give advice. I do not do it lightly and I do so only if I am confident I know where the person is coming from. It may be difficult for you to do, but kindly refrain from commenting on my posts. Or if you can't control yourself, just put me on ignore altogether. Prefacing your snide remarks with a backhanded compliment is rather bush league.

My advice is to focus on being rational at all times and avoiding irrationality. It is irrational to set goals for $x per day or month when you lack the knowledge, skill and experience to extract anything at all. Thus far, what you have done to "educate" yourself is read the opinions of people who are further along than you in the acquisition of trading myths. You have no personal knowledge of anyone doing what you would like to do, so you are blind to what it takes to get there. A rational goal would be to find a person who is already doing what you want to do and be able to learn first hand how it is done. Such a person will not be in the business of selling anything. He will also not be in the public eye so it is unlikely you will find such a person. As a rational alternative, you can come up with a learning plan to find out on your own what it takes. When learning on your own, however, it is imperative that you are able to detect when you are learning things incorrectly and get yourself back on the correct path. Until you come up with either of the above, you should keep that $10,000 safely tucked away. However, I do realize my advice may not be "realistic."

Why are you ranting? It seems to me you have it pretty good here: you get to push your product without paying anything and the owner thinks it benefits the site for you to talk about your product in the name of providing "content." You should be happy. LOL

I have no suggestions as to how to overcome the problem of hidden volumes on the bid and ask. GLOBEX allows orders to be shown that do not reflect the actual size being bid or offered; e.g., a bid of 1 contract at a certain price could actually be 1000 contracts. That policy would seem to make suspect any trade decision based on what's showing on the bid and ask at any given time regardless of the flawlessness of the data itself. Another thing to consider regarding the usefulness of the bid/ask volume as a trade signal is that at any given time there are potential market orders that can overwhelm the inside market without first being bid or offered. In my view, potential volume from "invisible" market orders far exceeds that of the limit orders visible on the inside market.

That makes things clearer. I had forgotten that you are running the data through Excel. Regarding your desire that every bid and ask be correct and posted, how are you accounting for hidden volumes? Does it make a difference to what you want to do that large orders are often masked as small orders?

I'm not quite getting what you are describing. Are you saying that the respective bid and ask volumes showing on the inside market are not accurate as reported by IB because they do not post "duplicate" bids and asks? Even if that were the case, I consider it negligible in trading the ES because of the rapidity in the changing bid and ask volumes. Anything that occurs within the data that my eyes cannot pick up has no bearing on my trade decisions. Regarding the T&S, I do not rely on it except as a quick way to see what's printing and how fast the trades are scrolling. IOW, I use the T&S for convenience and the information I get from it is redundant. Of course, I do recognize that you are looking to use the T&S for something more than that. My comment was in reference to the reliability of IB's data feed in general and in comparison with eSignal.

While I do not know exactly what you are trying to glean from your data, I will say that my experience with IB's data is that it is very stable and more than adequate to trade with. It is ironic to me that you are switching to eSignal because for over 8 years I used eSignal as my main data feed and IB as a backup and I can report that IB's data feed was more dependable BY FAR. It got to the point where I was using IB as my main data and using eSignal as my backup until the annual contract expired. My current setup runs two data feeds concurrently and even with the volume reporting differences I rate IB's data feed as very good. And this is coming from a person whose trade decisions rely heavily upon volume data.

There is nothing unusual about that period. The market was in dry up, pennant. The 29s were printing while the bid/ask were changing. There were 2 periods within that duration of about 15s each where there were no prints. Not unusual at all when you consider it was the tail end of an extended midday period on a Friday before a long weekend. I've attached the YM 2m showing the formation. Notice the PRV < 76 for the bar in question.

The lighted buttons game is a very poor analogy to the real game. There is never a time when only one button is available to press but always two, labeled "long" and "short." Therefore, can anyone else see that the red and green lights describe the same market position and are therefore redundant? When the market lights up a "sure thing" trade, you still have to choose the right button because pressing the wrong button means "sure loss." Moreover, the amount of gain offered when the market lights up is never fixed. The biggest flaw in the analogy relevant to the thread topic is that it is missing a set of buttons, call it gray. When the market turns gray, pressing either button (long or short) has little effect on the score because the market doesn't go anywhere. Now it is possible to consider whether "overpressing" is meaningful.

I too have it recorded and was monitoring the YM closely at the time of centering. I don't see what you describe during that time, but I didn't go back through the entire period you questioned. If you want to get more specific in your time period, I can check my recording to confirm. 10:27 to 11:13 is a rather large window of time to review.