BlowFish

One quicky before returning the thread to normal programming. For anyone that has a passing interest in trend following or systematic approaches in general it is well worth tracking down a copy of the Original Turtles Rules (available in PDF). It's a simple but elegant system, the money management is the key. I believe that was released into the wild by Faith in response to Covell selling high price turtle courses. Edit: its on google docs :- http://docs.google.com/viewer?a=v&q=cache:ImDynOd6eVQJ:www.metastocktools.com/downloads/turtlerules.pdf+original+turtles+pdf&hl=en&gl=uk&pid=bl&srcid=ADGEEShYCX9wFJcBQqMJfvwjx_xaYYBvauQ1hU0CgprRusgE7GDCluQE6Bt5kUp8xTPA5Hnbhl2Xg1mLQDrHpUnQ5xZIdkxi6xvbwECeBYpoKxi-YQ_pZGLhqEf2CygBR3UUmkryp7MX&sig=AHIEtbTtu05PqQnw4eDow4X0KbRtHv0gCg

Quick close, partial close (scaling) and OCO scripts can be found here. https://www.ibfx.com.au/Tools/ Not used them personally.

I don't want to get into a big debates on semantics but intuition is not required when presented with quantified results (evidence if you like). Still if that's what he attributes to his success so be it. Faith, trust, respect or a whole bunch of other things seem just as plausible. Having said that I guess it was a sharp observation that managing risk and handling things on an emotional level where the important factors. They shipped my new kindle (after running out of the new models) a good candidate for a download. Vacation coming up too! Did you every read Covel's turtle book? Always though it worth reading both. I remember watching there rather public spat as it unfolded over the interwebz, damn fine entertainment. Incidentally I thought Faith was a big time proponent of fully automated systems? Of course there is room for intuition in the design of such systems but not something you might immediately associate with them. All the more reason to see what he has to say.

Hmm OK so intuitively he knew to be completely methodical a bit of a stretch. Or perhaps he intuitively new the rules made sense? One of these days I'll get round to reading both his books.

I believe IBFX have an EA (expert advisor) that will close all open positions. Another one trails stops (not needed in MT5 perhaps?) Not sure if you need a demo account with them to get to download it. While I quite like the charts in MT4 the order entry & management stuff is errr *cough* shall we say rudimentary.

Was it recorded? Turned out to be a bit late for me in the EU.

Got to love momentum in the DAX, it can be wild. One of the most schizo instruments out there imho. It can meander in a few point range for hours and then be swinging around 50 points at a time.

Dunno why but Raw's vid reminded me of a passage from Zen in the Markets I enclose a small portion below. To see things as they are and not the way you want them to be requires good vision and a reasonable intellect. Actually, it is better if we have no intellect working at all. This test will illustrate what it takes to be a success using a Zen approach to the market. Start with the vision test. Keep this page at a reasonable distance from your nose. Now read aloud the following numbers: 27 28 29 Did you say twenty-seven, twenty-eight, and twenty-nine? Brilliant! Youíve passed the second-hardest part of doing well in the market. Now for the hardest part. Look again at the numbers and say out loud the number that is the highest. Now say the lowest. Which number is between both numbers? Did you say that twenty-seven was the lowest and that twenty-nine was the highest? If you also said that twenty-eight was in the middle, then youíve passed the test with flying colors! You are on your way to being very successful in the markets. You may be laughing, but I am dead serious. If it really is that simple to recognise what the market is saying at all times, why do you have to complicate it. The vision test that you have taken proves that you can recognize different numbers, and the I.Q. test demonstrates that you know the relationships among them. Believe me when I say that no other knowledge of the market is necessary. This exam determines that you are clearly capable of an egoless view of the market - a Zen view, if you wish. A view that is free of personality needs. Twenty-nine is higher than twenty-seven. No one can dispute that. Not even your ego, no matter how hard it may try.

Hi FT, Might I ask why you don't use other side resting inventory as a target? Is it because this type of trade you are simply going for a quick momentum fuelled move? If momentum was strong after 21 ticks would you hold on if there was no resting inventory in the way? Would you bail early if momentum subsided? Sorry for the avalanche of questions. It seems to me that you have built up a very robust set of tools and I was a little surprised that you did not appear to be looking at them for exits (though I could quite easily have missed something). The trouble I find with 'momentum' is that it can change very rapidly (instantaneously actually). Of course you can smooth or decrease the sampling rate with the issues of lag that introduces. I don't use a momentum indicator per se though I have looked at pace, trade intensity, volume, delta etc. to construct novel and useful indicators. I think after a while you can gauge momentum pretty well by how price develops in real time. If I wanted a pure momentum indicator I would look at change in price (velocity of price) multiplied by the volume that occurred during that change (the 'mass'). I guess delta nuts might split up the volume dependent on the bid/ask at the time. I would average this over a sample period.

Interesting that a guy who owes his success to quickly learning to be mechanically disciplined is talking about trading from his gut. Another book for the kindle, still haven't got round to the Turtle one yet.

Indeed, However there are a few 'proper' brokerages. The list is growing too which is kind of refreshing. The only trouble is that there tend to be more restrictions in sizeing with some (e.g. the ones that hedge every single position). I generally agree with Lazarus (which is why I didn't post originally). There was handy link someone posted a while back that listed 'proper' DMA brokers. Broadly speaking there are two types of broker that are pretty different in many aspects.

Glad you got it sorted out. Your broker doesn't sound too great

So one of the 'bucket shop' brokers then presumably anyone that starts to make money is put on refer to broker and subsequently leaves!

I have spent quite a lot of time trying to learn to read the tape over the years. Apart from forming the basis of a scalping strategy in it's own right it is no doubt a useful skill to finesse entries for other types of trades. I think I probably have the principles down but sometimes have trouble seeing things when it is all happening quickly. Some times things flip around pretty darn quick. That is the appeal of a more visual orientated approach. I am pretty good with 'spatial' stuff but a bit slow with numbers. No doubt that could be improved with practice. The bigger issue is not so much the flitting around of the numbers but realising that a scenario that you have correctly identified has 'failed'. In fact sometimes something will appear to 'fail' only to move a couple of ticks and then have the bulls/bears re-assert themselves. I think it is probably a bit more 'art' than science. Where you taught 'the tape' in the prop shop you worked at?

or for larger arrays use a loop, I think that's described in one of the docs tams did. for n = arraysize-1 downto 1 arr[n+1] = arr[n]; arr[n] = variable;

scew = mean-mode/sd (Pearsons approximation) --- so VWAP-PVP determines sign/direction if VWAP is greater (above) PVP it is positive (up) if the VWAP is less than (below) the PVP then it is negative (down)

I was aware of the 'rules' hence my comment on them

Good to see you posting again 86834. Observation will quickly show that very very frequently the market trades towards size, counter intuitive perhaps but you have to believe your own eyes. Markets are there to facilitate trade and if you accept that you can think of them as systems that search for liquidity. Maybe then it is not so surprising. The trouble is the order book can flip from top heavy to bottom heavy as quick as the market can go from uptick to downtick.

the summation method seems weird to me you could go zero on 2 of the 3 instruments and still win, you could be furthest wrong on all 3 and still win. A better way would be to add up the number of points each person is away from the actual price of the 3 instruments. Lowest score (closest across all 3) wins.

Yes so. You are looking at historic prints to anticipate future events. I am not disputing that one can use the tape to anticipate changes but it is still looking at past events to gauge future events. Ones a trade prints it is history, sure it is recent history (a few 10's of milliseconds) but it is history. Agree with your other comments and am not disputing that you might not see things on a regular bar chart that you can see on the tape. Incidentally there are ways of visualising data that can reveal things that previously you would have needed to look at the dom to see. A good example is market delta's suff, even though it only looks at the first level of the order book it gives an idea of what is possible. Whether you call that a 'chart' or not is debatable I guess. I'v attached a couple of images with stuff that I have fiddled with. They give an idea of visualisations that are possible, you don't really get the full effect as they are dynamic updating with every order book change and print but they give an idea of what is possible. Are they still 'charts'?

Tape reading still looks at prints that occurred in the past, albeit the immediate past.

Dow 10,650 Nasdaq 2,380 S&P 1,150 Guess based on markets ranging around a bit.

I guess no one uses it, ask your acquaintance perhaps?

Having said that with smaller granularity systems (smaller 'time frame' if you like) you will experience all market conditions over the course of a much shorter time. If you are sampling data every 1 minute (a 1 minute chart if you like) the system will experience most types of market conditions within a week, certainly a month. Even in a 'bull' market stuff moves up down and sideways if you 'zoom in' a bit. There is an argument that you should trade different systems (or have a system that trades differently) dependant on market conditions.

Just to make sure I understand correctly the spread is an instrument that trades on an exchange in it's own right. It's not a market I am familiar with I should check out it's characteristics, does it trade on Nymex? Whats the symbol?