BlowFish

I think they probably will if they are at the same price. For example 17 1/4 bid 17 3/4 asked if a limit order to buy 1 @ 17 1/2 and a limit order to sell 1 @ 17 1/2 came in at the same time they would be matched and filled. In the early days of electronic exchanges surprisingly few supported more than a couple of basic order types. Often a market order would be converted to a limit order well inside the market. I guess things are more sophisticated nowadays. In your example if a limit buy and a limit sell both at 10109 both arriving simultaneously they would simply be matched and reported as trade @ 10109? If they where put on the book it would essentially be crossed with best bid 10109 and best ask 10109? Thats my guess anyway. FT you are probably right about NT, currently it is a square peg and we have a round hole. I am getting some promising results with Zen and Multicharts though I need to do some further tests (purposely overloading MC) to be sure.With MC DTN.IQ is an option too.

Now you mention it you might well be correct! As you say what price would they be matched at? I guess a trawl through the CME site might reveal the answer. You do sometimes get ticks between the best bid and best ask. How about a limit sell and a limit buy arriving at the same time and at the same price. It would not be unreasonable to expect them to be matched and filled without being displayed in the order book?

I am please that there is another champion of RoR. I have posted this link before it is one of my favourite little sites with nothing to promote but a different way of looking at things. TradersCALM - opening traders perceptions just click on risk of ruin.

I have not noticed any data drops from zenfire. I have a 20MB connection with a decent ISP not sure if that is considered good nowadays, toying with the idea of upgrading to 50mb can't really justify it beyond bragging rights. A market sell getting matched to a market buy would explain what you observed Snyp. Incidentally looks like Ninja are really dropping the ball on there handling of historic bid ask information. In a nutshell they are not preserving the correct sequence when storing the ifo for historic retrieval. A major blow for this type of analysis. There is a thread here here about it BidAsk Historical... - Page 4 - NinjaTrader Support Forum maybe if enough people 'vote' they may prioritise fixing this issue.

Depends somewhat on the approach 50:50 type methods with say a 2:1 reward to risk have lumpier equity curves than (for example) a 70% method with a 1:1 RR. The key metric is the risk of ruin which is calculable if you have an idea on how your method performs. You can get to a point where it becomes negligible or (as many do) you can size more aggressively. Out of interest, are you trading the same approach you did with your prop shop?

I guess with only a month trading it is any ones guess at the end of the day . Seems smart to try the water with minimal size. (Is it fungible with any of the other notes? I guess even if not it will be highly correlated. If it was me, that would make me feel more comfortable about it. Let us know whet you decide.

So how much capital are you gonna need to trade it? I should have a very careful look at your money management. Even with 75% winners you will have runs of losses. Will you be OK with a 15k draw down? Just two losses in a row would be 6250 (with 100tick stop) which is fine if you are properly capitalised and have the cojones (OK emotional strength if you like) to step right back up to the plate. You can find out how to calculate risk of ruin for different R:R and %winners here TradersCALM - risk of ruin menu Just be very careful.'Big' contracts that are thin and volatile intraday can crush you (I speak from experience) the damage to your confidence to execute can be greater than any financial loss.

2 trades is not really statistically significant. Come back when you have done 30 (or preferably more). If you are confident in your method sure, go for it. If your approach dosen't have a positive expectancy you are actually better off putting it all on one trade and quitting win or loose. If you have a positive expectancy then little and often and let the edge work it's magic. What sort of leverage are you using? What;s your risk of ruin?

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Read ochies reply again. You expect to do better than the very next tick? You can no till at prices that have already past.

I do have MC but don't really use strategies. I would help but there are probably far better qualified people that are less likely to give you duff information. You do have tick data available for the instrument you are using? Final thought you might get better help on TSSuport support or forum.

I still run a single tick chart with VWAP (just because I can I guess). I have larger bars too. Most of the time the difference is fairly negligible. There is a discussion in the thread I previously mentioned on what is 'good enough'. At the time I posted various charts comparing different algorithms. In the end with some maths help I have managed to come up with a 'continuous algorithm' that is also accurate. I am interested in your FX approach. I am not sure how proprietary your method is but I'd be interested (broadly speaking) how you have achieved it. I wonder if time factors into it (a bit like MP uses time samples to build a profile). PM me if you think it is more appropriate, or ignore me if it is completely in-appropriate! It might be quite interesting to emulate a more correct (than TS) VWAP and not too difficult if you have a proxy for volume. I did notice a slightly different shape to bands in my tests. Not sure how closely you looked at the trading with marketstats threads, they really are pretty good. Between those and yur FX buddies maybe you might be persuaded to persue VWAP a little further.

Contact TSSuport then. It must be a bug if you used the correct syntax.

I think you might be wrong at least that was what you where told when you asked here http://www.traderslaboratory.com/forums/f56/market-order-7485.html

I have to say I am finding it difficult to keep up with TT's 'real time' thread. This could be the perfect antidote with a bit more of a following. I don't really look at enough instruments on a daily that there is much to post. I guess it would only take 10 minutes a day and could be done on one of the free online sites. I always plan to look at a bit more on this sort of time frame with a view to spending less time at work. It's ironic that I never seem to find time to!

Well a very cursory look and my hunch is that a) there is possibly some validity to the approach b) there is nothing really novel there, price action, measured moves, blah, blah. There is no secret sauce. If you find it difficult to pull this sort of stuff together into an effective approach then maybe it is worth shelling out for this or something like it. The technique is secondary providing you accept the principles. My advice would be, be very wary of people that imply the secret to success is in the nuances of the technique rather than the traders application of it. I am not suggesting R is doing this but it is a very quick way to filter quite a large portion of the BSers.

Mention Gann and it conjures up images of astrology, numerology and other strange and esoteric stuff. His writing on more practical matters like money management and price action are as robust as any. Fibonacci Trader - The first Multiple Time Frame Software for Traders has some good info on Ganns price action stuff. Go to the downloads section in the left margin and click on FT Journals. The first 4 have a really solid presentation of PA. (ignore the fib channels bit at the end of issue 1 and 2 unless it is of interest). Like Dunnigan it takes you through simply defining structure and then utilising this in an actual trading plan. It's good stuff.

Tried to import it into MC and it did not appear to have any studies or functions. As an aside there are some issues with MC for this sort of processing. I would be interested how things compare to CQG when you do get it going.

Good job anyway! I am not trying to knock your hard work. Actually if you are familiar with the error in VWAP_H you could probably fix your algorithm to mimic the actual Vwap. The thing is it is processor intensive (not over duly on 5 min bars) as every time you have a new piece of data you need to re-weigh all the previous pieces of data with the new total volume. But sounds like you knew that anyway

And there is the issue, NT does not support a constant delta type bar. (I should say I have not used it for years so this may not still be the case, it would not surprise me as NT is remarkably flexible and open).

Can't remember if I mentioned this before but manipulated is not a useful word to use as it has a few definitions the common two are quite ambiguous. At one end of the scale you have "to handle with great skill or artifice". At the other end of the scale you have a similar definition but can add unfairly, falsely, deviously or even out illegally. So manipulation is likely to mean different things to different people, it is often used because it is emotive whilst remaining ambiguous.

Hey AAA I figured that might be the case. Forming an opinion based on some random forum post is unlikely to move you towards the truth. The way you posted also came across as though this was 'authoritative'. This is how mis-information gets spread and the truth gets buried. In this business of outrageous assertions and inflated egos one has to be a bit more rigorous in qualifying supposed 'information'.

Exactly, I was trying to be tactful. I am a not huge fan of AMT though have respect for those that use it to provide a framework for there trading.

I edited my original post with something else that occurred to me about TS Vwap_h. If you like I can post an ES chart tommorow with my VWAP on. Might be interesting. Averaging across 5 minutes also introduces inacuarcaies, normally fairly inconsequential but last week i did have one day where my 5 minute chart several points off my 1 tick chart (on the DAX). If you are not using tick's or bid ask volume changes then you have something quite novel there

Guess it must use 'ticks' as a substitute. Certainly doesn't look bad but it is worth mentioning ES ticks are somewhat different to FX 'ticks'. It's probably alsow worth mentioning that the TS functions VWAP_H incorrectly calculates VWAP. You need to re weigh the whole sample when new volume 'arrives'. There is a discussion about this in the trading with market stats thread. I am no saying that this isn't useful btw .