TheDude

Try 16 hour days 6 days a week (the 6th day should be reviewing the last week, and spending more time on sim IMO, same for the other 5 days when market is shut). A newbie may get a look in then.

I'd agree with the above. When testing new ideas, I sometimes trade on past data to get a feel. I found at higher speeds, I have to rush and come to a decision even more quickly (obviously!!) meaning I often some subtle context is missed, so results arent as good. Im a discretionary trader. If you're new to trading, I'd start off by slowing down the data, not speeding it up. When youre consistently profitable in slow mode for a few weeks or a month, try normal speed for a month before going live.

At one stage I became interested in tape reading (T&S), but found the prints too fast to be of use - for me. Clearly a lot has changed since Wyckoffs time! A string of 200 x 1 lots peppered with 5 and 2 lots had little meaning now larger orders are broken up. I tried filtering the tape, on say 10 lots. This was easier to follow, but then of course you miss the 2000 lot order iceberged in <5 lots; which is still important. I decided on another route: I used range bars of a few ticks. I looked at each range to be 1 'price', and compared the volume print of each 'price'/range bar to be the volume print at the price for comparison. I imagine there are countless other ways of utilising other indicators and T&S info, but then it just becomes a derivative of a standard volume bar anyway. In the end - after a few months, I felt I was chasing my tail somewhat. I was making little progress and decided I should just go back to what was working for me before - good old time bars and volume bars. The range bar idea may be of value to someone else though. It's all about finding your niche. Tape reading requires a very analytical mind IMO. I'm more creative in personality, so it just doesn't suit as well as other approaches.

Whats stopping you? Either: a/ you hang on too long letting the good ones turn bad or scratch. b/ Your wins dont cover your losses, because you get out too soon. c/ Your win rate (timing) needs improving as your risk is the same as your target. In my opinion, not losing money is the most important part. If you have realised how to stop this, the other bit should follow soon. Just my Good luck

This is just your opinion. Id say commodities like Gold are easier to trade, especially when learning than financials simply because the fundamentals are a lot slower to track, and take a while to unwind in the market due to production times etc. Mehtaka - I think you may want to look at silvers relationship to gold. x silver = y gold. Keep an eye on the spread between the two may help. Although there may currently be a correlation between gold & USD, it may not last as the economy changes. In 6 months it may be oil, bonds etc that display a stronger relationship. Silver however will always have a tight relationship as its a proxy.

I agree with these recent posts. Trade Intensity may or may not tell you that something is going to happen. You just dont know. The reason for this is simply: -Because you just dont know if the intensity of order flow was entering or exiting. -Because you just dont know if it was covering or initiating -A hedge -The time frame they are operating in, -Part of a larger order being executed in a different fashion - etc, etc. As someone said, nice chat but of no real use when making money. Besides, only a jub would try to be 'predictive'. A real trader never predicts, but manages probabilities. Managing probabilities in c-o-n-t-e-x-t is key. Put the spurt of prints in context if you must. One of the major flaws in this concept is that it assumes that which ever party/ies were responsible for the 'signal' therefore have control of the market. It totally disregards the fact that there is always someone bigger in the market than you, no matter who you are or work for, and that they just may have a different opinion or reason than you.

Firstly, it will depend on the exchange. Different exchanges report differently. I think the CME will report in the smallest denominator, so your 100 lot bid will print as you receive the fills back 100x1lots. 2nd Q: 50x 1 lot prints at 50, 50x 1 lot prints at 75

Quite. Alas, you're banging your head against the wall. There are many, many flaws with the logic sitting behind this. You have mentioned one. I have mentioned others (on either this or another similar thread). For example, the person you addressed has given thanks to a post since yours, but has not replied. Thus we know he is here, but can not answer. One thing is for sure however: There are a few people on these boards who promote them selves as 'experts', yet demonstrate a shocking lack of knowledge of the basics of the futures industry and it's workings; from how orders are matched, to variety of techniques employed, the goals and reasons of business of different participants. These few people have an unshakeable belief however that what they have observed a few times in the past (they call this back testing apparently), and have managed to come up with an explanation, so decide it must be true. They have built an idol of their own making and worship it. If you try and suggest otherwise, and help them correct their ways, they accuse you of stalking, etc. It's quite fun to observe - dressing opinion as fact, then insisting you are an intellectual. :rofl: I wouldn't worry about it. You seem intelligent enough to see the flaws. Just sit back and be amazed at those who follow.........

And so it was settled. The end of all internet debate about trading. There was no more to say. Nothing. But I'm sure some one will disagree with me on that :haha: Great post

Anyone trading EURCHF? Smells of intervention....

I'd have thought IB would be pretty quick, although I've never used them. Are you using resting orders or market orders? Which product? If you're trading ES in reg hours you should have almost 0 slippage, especially if using resting orders (orders in the market before price gets there - rather than trying to lift bids/take offers).

Fairly interesting....

Hi Mitsubishi, you're welcome. Sorry if I'm asking you to repeat yourself, but whats the goal? My understanding is that you are taking a point on the chart (high/low) and seeing if Fib days counting forward coincide with turning days? Is that correct? As regards to 9-11, my thoughts (and this is only opinion here) are that if there is something to these Fib over time results, then they will be useful in normal market conditions. As 9-11 was created by a shock event, the markets move from one of relative harmony/normal conditions, to one of discord and emotion. It is under these conditions that typically, any model will go out the window until the shock is digested and priced in to the market. That can take some time relative to the magnitude of shock - but may be Fib can help us there if we use 9-11 as our starting point, or the low which occurred a few days after. Taleb has written extensively on how these events or black swans as he calls them impact the markets pricing mechanisms. I've attached another chart. This time I have used the Fib Cycles tool on a 10m chart of British Pound futures. As you can see, I have extended the chart forward in time. This should allow us to see how well the Fib Cycles tool can anticipate futre turning points in advance later in the day. Lets hope I remember to post again - probably when the equity market closes this PM. Thanks,

Mitsubishi - Thanks very much for your input. Quite fascinating. It got me looking round my chart app which has a load of stuff on it I never use. I did come across this however. I wonder if it's of any use to you and your research.... Ensign Software - Tools: Fibonacci Ruler I've attached an example of today's S&P on a 5 min chart. I started the ruler at the high (red arrow) and stopped it at a low (2nd red arrow). As I hope you can see in the attachment (not sure if it's clear), that although the 1.272 was a crock, the 1.61 and 2.0 did indeed have interesting results!

Hi guys, I haven't traded options in years, but here's my advise: if you're learning, probably best to start in Eurodollar or another STIR contract with low vol. Try the second month - probably Dec10 now as I think they are currently rolling over. I say this because you can get badly burnt with options even when you think you have it nailed. Eurodollars are low vol so will help you understand the greeks, and how they behave under different conditions without risking too much (touch wood). If you do get in the hole, learn how to change your position by adding more strikes - turning a straddle into a fly etc rather than just puking the position. Selling premium by the way is like pinching pennies in front of a steam roller.Your upside is limited, your down side isnt. Not exactly letting your profits run and cutting your losses is it? One day you're gunna get squished. Thats for sure. When it happens, your text book pricing model will be squished with you as pricing moves from a steady theoretical model to one of no model and 100% emotion as everyone pukes and gets what ever they can for it. Like I said, many many years since I traded options, and I can only just remember what vega is! Others may have better, more up to date advise for you. Good luck

Thanks Boomerangas. I think you're right in what you say. If price is taking a direction and it has some order flow behind it, then thats all you really need. Of course, if there is no real order flow, then you can start to look to fade. I was going to continue, but I'd only be repeating what you said! Generally, I'm looking for levels and trading off how order flow (volume, prints, quotes, pulling size, etc) acts around those levels. I'm not really into indicators, but I do use Market Profile for levels. Neither do I really have 'set-ups', patterns or shapes I look for. It seems as if we are quite similar. One of the great jokes in all of this, is that nowhere have any of our resident Market Wizards explained the importance of time frame of those they are keeping score on. A very long term pension fund may well execute 40k in one blast. He may be looking to hold that for several years. It could be a hedge fund looking to cover tomorrow. Of course, to you and I, that doesn't really matter. How the market reacts in the 40k in the next few minutes may well do. But, to concern ourselves with who it was, why they did it, what they had for breakfast, well quite frankly, it's for the birds. The only use it has it to try and put ones self on a platform and claim some sort of intellectual superiority over everyone else, while making a complete ass of oneself in the process. Good trading to you! I'd also like to thank all those who sent PM's in support. You know who you are (Yes, even you Urma Blame, but I'm sorry, I'm still not recruiting yet :crap: )

And so how do you know that a string of prints is initiating and not covering, or, part of a longer term accumulation or distribution/ adding trimming of a position? And in your earlier example of 40k lots sitting in a 3 point range (eg on the bid), how do you know that is a professional trading group (as you have now decided they are) sitting on the bid? Have you considered that it could well be 10k from a long term buyer initiating, 20k from a long term seller covering, and another 10k from an other participant, perhaps 'feeling lucky'. I sincerely doubt that anyone would disagree that these are not 40k lots from smaller speculators/general public. My point is simply that to put a label on it and say it's from x market participant with y intention is a bit of a daft conclusion to come to. Don't you think? This is especially true when we consider all the tricks and games that these folk play to keep intentions away from the like of you and I. Do you think there is a rule book the professional money manager follows when executing trades? Do you think if he is aggressively buying today he will dump it all in the market in one go, will he drip it in via time sliced orders, say 5 lots at a time every 30 mins over the next 2 weeks, will he have a policy of buying on declines only, etc, etc? You don't know. One day he may do one thing, the next he may do another. Some orders he may execute himself, some he may outsource to hide his tracks. You just dont know. One rule of thumb you may find of use however is that these guys tend to be slower at getting in than getting out. Not all the time though. You just dont know. Enjoy the rest of your holiday

Indeed they are not. I have already told you they go through JPM, so why would you expect them to be clearing members? Do you understand what a clearing firm is and does? Lets investigate further shall we? How about the energy market as an example. Some of the largest commercials are: Exxon/Esso Mobil, Shell, BP, Total, and smaller but still significant firms such as: Sempra, Louis Dreyfus Mercuria Low and behold Fulcrum, it would appear that only BP have membership. Hmm, why would that be? C'mon Fulcrum, you're clearly a very intelligent person with lots of understanding about the industry, so please tell us all why this should be - that some of the largest trading firms (as you seem to think) do not have membership..... Now then, lets get back to business..... You seem to claim an awareness of how commercials trade, where they trade, and when, yet you clearly do not even understand their business or why they are in the market. It would appear that you are putting the cart before the horse wouldn't you agree? Madspeculator has demonstrated this fact effortlessly, yet you ignore his wisdom which he graciously imparts upon you. Shame on you. Please Fulcrum, I have no doubt that you are a clever chap. But please, PLEASE, for the sake of all here, and yourself, get your thinking straight. Madspeculator and others here are only trying to demonstrate that some of the foundations that are being put forward here are indeed built upon the sand. Whats more, the tide is coming in. Please be careful out there in the market. All the best, Dude.

As Madspeculator kindly pointed out, there seems to be a mix up with terminology here. Often these debates seem to get tangled up on semantics. Personally, and the rest of the industry understand a commercial by their purpose and activity in the market, not by his manner of execution. That means you're WRONG, WRONG, WRONG!!! But who cares, it's just semantics, so you're forgiven. I've been wrong many times before so don't worry. Louis Dreyfus (a large commercial) for example phone broke a great many of their order via JP Morgan. They also use TT for DMA and probably other methods as well. So what? Hopefully you see now why it is so futile to try and categorise their activity from prints, and speed and size there of alone. For example, how do you know the 10x 5k orders given to the voice broker are not simply given to move the market into a place where the algo will kick in thus gaming the market? You don't. Why do they spend so much time and money on transactional technologies? So some smart alec with an ego can come up with an 'intelligent agent' and spot their little ruse in a few months. Of course! Silly me! :crap: Anyway, I'm done with this thread for now. The way I see it, the more time spent chasing your tails the more likely you are to screw up for the more diligent trader to profit from. More for me! Please carry on..... PS - take a look at their web site and learn what a commercial is, what he does, and why he is in the market. http://www.louisdreyfus.com/

I'd be interested for sure in the stuff you've been working on. Time does play a crucial part in trading as you say. Indeed, the best prices are only available for a brief amount of time which often only reveals itself in hindsight if we wait for confirmation. I think this is one of the biggies - waiting (time) for confirmation. The more confirmation we wait for, the lower the risk-reward of the trade. Time for sure is just as important as the structure IMO. Thanks,

Hi Blowfish, From what I have seen, typical applications that are used to build models around are Tango from RTS, Portware, and Apama. These are all 3rd party apps used by the serious traders who know what they are doing. Of course, the actual models themselves are proprietary to the individual traders. I have never seen Tradestation being used. This is because the support offered isn't suitable for someone managing upwards of 50 million (which is peanuts to most prop desks), not to mention execution speed and reliability. Other common solutions will be the app, that simply plugs into the TT, Fidessa, GL etc API. This assumes non co-lo solutions. Generally, there are a few categories: - Those based around stochastic modelling. These are typically quite short term in nature. They treat prints as random (lets not get into a random walk debate!! ). That should in itself be an interesting point for discussion here. In no way does any competent practitioner pretend, or care, if a print is from Tom, Dick, or JPM. The fact is, there was a print and it has removed liquidity. A stop would never be used here, it would simply cover. In machine cycles, it's faster to simply cover than to 1/ work out where a stop should be. 2/place the order. 3/ receive acknowledgement. 4/ relay that info back. 5/ receive market update. 6/ does this require adjustment of stop?..... Hardly HFT is it!! - Event (quote) driven for arbing and market making where quotes and LTP's from related markets are the capstone. You can often see market quotes going crazy way off the inside market. This is a sign of such algo's adding and cancelling orders based on other events in other markets. We cant be 100% of this, but its the most probable explanation. - Fundamentally based - these are typically longer term, and again driven off other markets. The quant develops the algo and execution price. A trader is employed to try and achieve better price through his intuitive awareness. The algo would for example look at Russell 2k, and generate trades based off its position relative to others in the complex (YM, ES, NQ, etc) Trades may last for hours, days.... Seasonality may also be a key. The execution of these is big business and where things like TWAP, Time slicing etc come in to play. There are other ideas but you get the picture. The first two also look at dark pools, and gaming liquidity to detect icebergs. Note, this involves executing trades to see how the size reacts. It does not in any circumstance say 'ooh look, x200 3 lot trades just went off. There must be a commercial in da house!! None of them use charts. Nothing wrong with charts of course for other approaches, but it just aint in the mix. You see, all of this is light years away, and very different to what our own little whizz kidz here do. There's nothing wrong in that. I'm sure they make ooodles of money and are very successful. There are many many ways to take advantage of the market inefficiencies as we all know. But to claim to be an authority and take a moral high ground when people enquire about the claim is a bit off isn't it. Especially when someone claims to be something they evidently are not, to try and play pied piper with those trying to learn and better themselves. Anyway, I'm off now to start a new thread about my PC's. I know there is a perfectly good thread about trading set ups already here on TL, but I wan't my own, so suckers, (ooops, I mean people) can idolise me some more. All the best,

Hi Mad, I see your point. I admit that perhaps I do take things quite literally - such as the use of the term commercial, when it is clear the activity being discussed would never be the result of commercials. As you ask however, here's a brief synopsis of my work in the industry: - in an options pit for a small firm of locals. Blew up. - in a closed fund trading futures. Fund was acquired, we're made redundant. - working in market access/e-commerce (basically DMA & sponsored access). I saw it all in this role - commercials, bank prop desks, brokers, HFT, etc. Bored with the corporate life, so resigned to.... - back trading, this time my own account. Trading from home, but thinking of moving to a small firm/group In total, 7 tears trading, 5 working in a bank as a consultant but not trading. I wouldn't call my self an expert master trader, but I do ok. I'm happy with my progress. I do have a fair awareness of the industry though. I've seen a lot of other people struggle, a few succeed and a handful of super stars. I know how tough it is. I have blown up before and I know it isnt a great feeling to lose everything you've worked for for several years. Thats why it angers me so much to see people come on here and discuss as if they are some authority when it is clear they do not understand what they are talking about. I say this as a trader (as someone else pointed out), and from an industry standpoint. It angers me when you point out to them that they can not possibly derive information they pretend to know, and they accuse you of being negative! Several people have already pointed out that things are being over-complicated. The reply comes back that with some intellectual detail for an excuse that resonates 'you're just not clever enough', 'only post if you think the square root of nothing is worth being discussed' etc. I could go on. I just don't want to see people feeding someones ego who claims on one hand to be here to help people, and on the next hand he 'can't be bothered with 1 lot traders'. We all have to start somewhere. Another one of many seemingly contradictory standpoints. Anyway, this is indeed only my opinion. If people want to waste countless hours following someones attempts, good luck to them. I admit I don't really have anything to add in the development of 'intelligent agents', because it's so alien to my way of trading - which is more intuitive and objective (and simple!). What I can add is to point out the failings and delusions of the approach. I'd hope that this could be taken as as constructive criticism instead of an attack on ones intellect. I'd hope it may be pondered for a moment rather than 'I'm right, get lost if you think otherwise'. If people are that easily offended, their ego has no place in the market. Believe me. Stick to the card games. Viva internet!! :helloooo:

I find all these assumptions and labels comical. I really do. Lots of people here seem keen to fit everything in to boxes, in order to categorize everything, and to attribute rules to these 'findings'. Unfortunately, it would seem apparent in some peoples beliefs that the 'commercials' behave in certain ways under certain conditions. Reading some of these posts, it would seem some of you set your watches by their anticipated activity! When visiting a 'commercials' trading floor, we would see a few traders/execution monkeys, and row upon row of quant types. This isn't the case though. It's the reverse. Believe me, the type of blips you peeps seem to be getting so excited about isn't commercial activity at all. If it were, we would be seeing May 6th almost every day. Thanks Waddell & Reed.... Please guys, before posting your opinions as facts, do think a little more about what your claiming. Who knows, I may be here on a secret mission from Goldmans trying to find people to employ and educate for my secret bedroom fund.... Who of you are worthy?....

Sorry - This attachment may be more useful. It shows that out of the last 90 days, 23 days made the high/low in the afternoon. Daily range, open etc are shown for those 23 days. Hope it helps.

Here are some stats from EW for the last 90 days of ES. Don't ask about the moon phases and cycles....that comes as standard.