BlowFish

Ahh Ok thanks so chalk and cheese. Dukascopy being a broker and Oanda (whilst having a decent reputation) being a bookie (so about as far removed from the primary market as you can get ). How did you find Dukascopy? Seem to get favourable reviews though a few complaints about slippage on there 1 click trading. I think people dont realise that spreads do open up sometimes when things get volatile. At least with a broker you know it's down to infrastructure rather then manipulation

Thanks for the reminder. If it is the guy I think it is then it's well worth a look.

If I might ask, who do you use as a broker Garak?

Hi Marko, Not sure if you will catch this before you go.....happy holidays anyway. A question. When applying the TVGR to the FDAX what do you do with the 1st hour of trading (when nothing else is open and price tends to drift)? Do you give it an 1h15m to close the gap? I'd be inclined too I tend to treat the 1st hour as a short overnight session. Cheer.

I'd be interested to hear who you and the other guys trading Spot use as a broker? Heres the thing. There are two completely different ways of 'trading' spot. 1) Through an actual broker. In this case the advantages listed in this thread apply. As far as I can tell real brokers are very few and far between for retail customers. Slowly the situation seems to be changing. 2) Through a bookie (market maker as they like to call themselves). In this case none of the advantages in this thread apply (except flexibility in position sizing). Most of the big name 'brokers' that people refer to are actually bookies. Heres another thing. Even the handful of real brokers will often deal with small orders (minis or micros) differently. In this case they usually 'make a market' themselves. My suspicion is a lot of people are using number 2) whilst enthusing about the advantages of number 1). One is not trading the primary market if 'trading' with a bookie, you are taking a bet on the future market price. As the market is not centralised the guy you are taking the bet with tells you what the price is (this can be manipulated in the short term). This is a pretty clear disadvantage .

Me too! :):) ....

Glad you are sorted

That is exactly what I endeavoured to answer. Let me try one more time. Yes you can. It depends on the infrastructure of the data provider, and the infrastructure of the shop. (That was one of his questions will different shops be better for data timeliness and the answer is yes, definitely) CME provide data to the data providers all is equal to that point of distribution. The data providers differentiate themselves by there infrastructure. Put as simply as I can .....Latency α (Data provider & shop infrastructure). Latency is what determines 'sooner'. It is measured in units of time. Latency is determined by infrastructure. Different providers (and shops) infrastructure are certainly not the same. When you are looking at millisecond magnitudes there are lots of factors. Location of equipment is every bit as important as 'capacity'. All other things being equal (they wont be) then a shop next to where the exchange/data providers ticker plant is will have an advantage over one further afield. Just trying to help here, I do have experience of these things (though this being the internet everyone is an expert aren't they )

Heres a good example of the DAX flexing its muscles. The spike into the high was 40 ticks in a couple of seconds, it came back almost as quick. Sometimes it does 40 one way back 40 the other and then resumes trading where it was! It usually seems to be around about 4o ticks for some reason. Actually i guess you saw this but this is not atypical behaviour (to use a double negative).

For those like me (a bit slow on the uptake sometimes) you can read about TVGR here http://www.traderslaboratory.com/forums/110/taylor-trading-technique-2623-28.html#post55148 Edit: Oh and thanks for the FDAX sequences always enjoy them.

3-6 points on the DAX is pretty impressive. Mind you it is a very versatile instrument, you can nickel and dime it (scalp) or capture some pretty nice 100+ tick intradday moves depending on your approach. There is an old thread somewhere about DAX trading only a few pages with peoples thoughts on it. Actually DAX is not bad for commissions because of its fairly large €€€€ per tick (and volatile nature) in fact taking 1 tick on 3 contracts will leave you a good €25 Euros profit, not that shabby for a single tick! Be careful when you move off sim you do get slippage at times. Recently it seems to have been playing pretty nice.

You will find plenty of those round here! You'll find quite a few baseless ones too (not that I am suggesting nates is). Fortunately it's a pretty good natured community and people don't get too bent out of shape if you challenge them. Edit: Maybe I should add there are odd pearls scattered around too.

I have a love hate relationship with the DAX....at the moment it's love. It does seem to exhibit schizoid tendencies now and then though. )

Yes it does. I answered it a few posts back. It depends on the infrastructure that you employ and your data provider employ.

You are wrong. The size of the pipes between CME data providers, brokers etc. that are colocated are the same. The latency will come between the data provider and the shop. How can the CME guarantee infrastructure between Thompson and the prop firms they have contracts with? They can not. I am staggered.

I just noticed you are in London, trade Liffe (or maybe Eurex), The boutiques in London are going to be way behind anyway (until data can travel faster than the speed of light through glass).

Then that information is incorrect. One of the largest factors in latency is location, it is proportional to distance. That is why the HFT guys put there kit in the same data centre as the exchange. You have been mislead. The CME does have a policy of using the same length cable to colo partners regardless of where there rack is physically located within the data centre, perhaps that is what they are talking about? (I still bet goldman have a shorter link) Edit: Another thought, what can the CME possibly know about a shops infrastructure? At best they can say that they make the trade data available to the data providers at the same time. You certainly have been mislead or misunderstand what you have been told.

I am one of those Having said that I figured that if one was inclined they could probably condense things down to half a dozen (or less) pages of principles, tables and 'rules'. There seems to be a lot buried in text that could be fished out into simple tables and what not.

Almost certainly some shops will, but you would have to look at their overall infrastructure. I guess you are talking about execution engine also? With the direct connections that you mention location will start to be a factor too. I am not sure how circuits are typically delivered in the USA nowadays? Quite a while since I did work there.

It does seem that there are a one or two real (Direct Market Acess) brokers coming online. I have experience of MBT and IB. Does anyone have experience of others? My biggest problem is lack of volume information, bid/ask ticks might be OK for some approaches but not for the statistical measures I am currently using. Guess its fine if you trade pure price.

Hi Marko, I am rather interested in your DAX cycles and sequences. If it's not too much trouble I wonder if you might post a little about them (perhaps just a sentence when you post the first DAX chart of the day). I get the impression it is kind of informal so perhaps thats not practical. Cheers.

I try to resist the urge on the whole Though have to bite my tongue sometimes BTW Ninja have screwed up with 7.0. It has separate bid, ask & last tick databases with ......guess what?....... 1 second resolution time stamping. So no way to reconstruct historic data streams with correct sequencing. There data storage is a nightmare too 1000's (literally) of small files. Prone to cause hiccups. Talking of hiccups lets not get started on .NET when it decides to do whatever housekeeping it decides to do.

The 'context of the thread' is Futures Arbitrage in particular pairs trading. I would respectfully suggest you are taking things further out of context of the thread . (I am pretty laissez fare when it comes to thread policing but do like to point out when people start calling apples oranges). My point was not about 'disruptions in the flow','footprints of the elephants' or 'finger prints of the pros'. Neither was it about whether these could be detected, traded, exist or are imagined. You are clouding things with these arguments and replying to points that I did not make. Whatever as they say As an aside has anyone read "Finding Alpha: The Search for Alpha When Risk and Return Break Down" by Falkenstein? Looks interesting.

Neeto I don't have that dialogue on my 6beta2 but TSSupport are not renowned for there version control What is the hieroglyphics in the contract description box? Is that to do with getting historical data?

I can't comment on Miners software (I did read some of his stuff when god was a boy, can't have been that memorable as I don't recall much about it). I have to respectfully disagree about forging your own way. There are plenty of systems, methods and approaches for sale and in the public domain that can be traded profitably. There are some right here on TL. Some gurus spread this idea ('you have to make it your own') to hide the fact that the stuff they are peddling is not particularly efficacious. The reason that people fail at trading is more likely to be that they can not consistently follow a system or method rather than it being 'faulty'.