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BlowFish

Market Wizard
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Everything posted by BlowFish

  1. I am not sure if you have read this thread from the start. If you have re-read post 6 again carefully, that is not what is said at all. BTW any trade "skews the flow" that is my whole point. Why do you think it was an arb trade that caused it? Imbalanced with respect to what?
  2. They are based on Ehlers work, a search for that should turn up somethg.
  3. Then I respectfully disagree. I am used to platforms where you can place a trade or cancel a trade with a single click on a price ladder or chart. I am used to be able to move a trade/stop/target with a single click drag and drop. I am used to splitting or merging orders with a single click. I am used to being able to simply scale in and scale out. All can be accomplished in a split second (literally) on other platforms. MT4 is horrible to place and manage orders quickly (imho). No price ladder no real chart trading.....horrible by any objective measure. Charting fine but for serious trade entry and management third rate without helper scripts. With helper scripts it is just about bearable. This is nothing to do with brokers or connections this is just about order entry software. Actually I don't know of a single real broker that has MT4 for order entry (a broker as opposed to a bookie). MBT where talking about it have they delivered yet? If you are comparing with other bookies software I guess it might compare favourably. I am not sure how you can say that with a straight face. Have you used TT or even Jtrader? How about Ninja or even IB / booktrader or one of the many excellent 3rd part IB add ons? Still if you are happy with it that's all that matters.
  4. Constant Volume Bars. Each bar is nn contracts.
  5. Not that I am aware of. The issues I mention are documented earlier in the thread and are largely due to the ELA functiions insidebid and insideask. They return the current best bid and ask rather than the one that was in force at the time of the tick you are processing, This makes them prone to race conditions. Random thoughts 38.... I have always thought it would be pretty interesting to analyse pulled orders versus filled orders. Seems to me that when you get directional movement it is as often as not due to orders being pulled as it is the dominant (aggressive) side 'consuming' them.
  6. You might want to look here TradersCALM - Calculating risk of ruin to answer your question about what sort of return a competent trader might expect to make. All you need to know is here. You will quickly see that it depends on the nature of your edge (%winners - average winning points - average losing points) and the biggy what sort of risk you are prepared to accept. (By risk I mean risk of blowing up your account not risk on any particular trade though the 2 are correlated). You can probably find an excel spreadsheet knocking around that will allow you to see how changing different variables effects things. These variables will be different for every trader which is why there is not one size fits all.
  7. I should re-iterate that perhaps the biggest problem is with how tradestation and multicharts implement certain functions (asynchronously). This is before you even consider how you are going to utilise the tools.
  8. Tell him we miss his posts too
  9. Be careful what you infer, even with risk arbitrage (as opposed to mean reverting arbitrage). Ask yourself what is the fundamental characteristic of all arbitrage trades be they mean reverting or non stationary? The program that ran at that point may well have determined those instruments where undervalued in comparison to other correlated instruments but unless you can show similar opposite direction trade triggering at the same time in those other (relatively) overvalued instruments there is absolutely no reason to infer that the trade is not directional.
  10. As I said before the criteria I used was timeliness and completeness. I also gave an idea of how I tested those (some rudimentary code to measure delta time). My end is pretty good though only 20 meg (cant justify 50 meg beyond bragging rights) having said that the lag across it will be the same for the data feeds I am comparing.
  11. Marker you should look up "hack". "pirate" and "reverse engineer" they are not the same thing. Kind of academic really as no one is trying to hack or reverse engineer anything. Blue Ray posted some indicators based on public domain code. If they resemble the PBF ones that suggests one thing to me, PBF are just like the TTM guys....selling stuff that is essentially public domain code.
  12. The first that springs to mind is the NYSE which is a specialist market. Richard Ney talks a lot about specialists, he was on a bit of a mission to expose the advantages that they have though.
  13. In my experience. Zenfire is far far far far superior to Tradestation. Far superior. Esignal I have not used for a while (probably a couple of years) last time I did it could seriously lag in fast markets. Guess it islikely improved now.. Zen does use UDP but that is not really an issue if your infrastructure is good and poor infrastructure will effect any feed. Zen and ninja I am not so sure about. Sadly seems like the ball has been dropped with NT7.0 so I guess I wont be looking at it again until 7.5 whenever that is. I guess it all depends what you mean by "high end"The two big things are timeliness and completeness. The method I am currently using (and have used in the past) are fairly robust (robust in respect to the quality of the data that they require). Having said that I am thinking about rolling in a couple of extras (order flow and inventory type stuff) for this I am leaning towards Zen or TT for live data with DTNIQ for history. Edit brown I think James was saying Zen is inferior. I did not keep my test results I just monitored in real time with code that recorded differences in feeds. Zen was clearly the most timely and complete. Multicharts is quite a good platform to compare feeds. Edit2 if you use different platforms for different feeds you obviously have another variable. For example if using ninja/zen and .net does garbage collection that will cause a hiccup that is clearly not due to the feed.
  14. As Jerry says the inconsistencies come from averaging the volume in a bar to an average price for that bar. It's a data sampling issue if you like (a bar is a sample). A further observation, with the VWAP the difference is not to significant. After a day there may be a tick or two difference between a 1 min chart and a 10 min chart. With the PVP the issue can be much greater. If you look at how the PVP is calculated you can see that it will jump when there is a new peak. You may get a new peak when there is not one due to averaging or you might not get a new peak when there should be one due to averaging. Keeping an eye on the volume profile might alert you to this possibilities (two peaks of similar magnitude). If you are bothered about accuracy use a small time frame chart and transfer the lines to your trading chart. I always have a 1 tick chart scrunched up in the background to know precise values. Sadly when I tried this with NT it choked as this can be processor intensive.
  15. A stop order will become a market order when price trades at the stops price.All the stops at that price (in that queue at that price if you like) will be matched against orders in the queue on the other side of the book (limit). This will be matched in order that the stops where placed against the limit orders in the order they where placed. If there are more resting stop orders than on the limit side they will be matched against the limit queue at the next level (as they are now market orders). That is slippage. This might trigger more stops however they will not be filled until all the stops from the previous level are filled in FiFO order. If the limit side of the book is thin you might get several ticks slippage before your stop is filled. Edit in early days of electronic markets many exchanges did not implement market orders. When you placed a market order your broker would actually convert it to a stop well inside the market so it would trigger immediately. So for example if the market was trading 6523.5 and you wanted to sell market the broker would sell on stop @ 6023.5
  16. Hehe imho MT4 is so bad at managing trades you pretty much have to use EA's unless you are a masochist!
  17. UB thanks for not taking offence. I am some what relieved if truth be known, rather too frequently I look at my posts and wonder if I am simply being argumentative and petty. If the number of private messages I get about your indicators is anything to go by you have certainly been successful in startling a few Lets hope you have woken a couple of slumbering (potential) giants.
  18. I am not sure which is 'best' either but Wilmott and QuantNetwork seem to be pretty popular amongst the quant community (whatever that is )
  19. Look at the dom the numbers you see are the cumulative values of limit queues at each level. Each number you see is the cumulative value of orders on the book at that level (that particular queue). On the other side of the order book is another queue at each level where stop orders reside. These are not shown (though in some markets a market maker or specialist can see these).
  20. Whats your initial stop...20? maybe 40? Do you stop and reverse at 40 perhaps? Also wondering what you target. cheers.
  21. UrmaBlume, I am not sure I am one of the more gifted I think AgeKay probably beat me to the punch figuring out all of your indicators. I did have a trade intensity indicator coded pdq as it was something that I had thought about independently anyway. Just saying I am not a detractor. Having said that I do wish that you applied a similarly rigorous 'quantitative' approach to your forum posts as you do to your tools and trading. The trouble is that many of the posts lean far to heavily on rhetoric imho, I think you might have been quite revered in ancient Greece. :) Rhetoric usually employs three audience appeals, ethos, pathos and logos. Ethos - seeks to establish credibility of the speaker. One of Stiedlmeyers personal students, many years successful trading, technological superiority, many joint ventures with the great and the good etc. Pathos - uses emotional appeals to influence the audiences judgement. If you use XYZ method you are likely to be a loser, only losers post here etc. Pro traders would laugh you out of the room. (I mentioned Hyperbole in another thread, I guess it would be included here). Logos this is using 'logic' to construct you argument be it inductive or deductive. This is what I try to zoom in on. I am not sure what your punchline is to be honest. There seem to be a couple of logical themes but they appear to me to be non sequitors or simply irrelavant to the thread. in fact they are 'pathos' and 'ethos' dressed up as 'logos'. Having said that I do see a few of statements that appear useful (and I happen to agree with) but why obscure them with 'pathos' and 'ethos'. Here's my point. Only the gullible will be seduced. Those who are not gullible but in search of knowledge will likely be confused and sidetracked. Those with the attributes you seek for partnership will probably not want to engage.
  22. FIFO is indeed simple (first in first out). It should probably be pointed out that there are a lot of separate queues, At each price there will be two queues. A 'limit' queue, the sum of which shown, there is also a a stop queue on the other side of the market that is not shown. If you have used a 'DOM' or price ladder this is quite easy to visualise. Matching will precedent price first followed by arrival time of the order.
  23. I prefer the stair steps gives a fixed level to trade against.
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