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BlowFish
Market Wizard-
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Everything posted by BlowFish
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Great first post. If you prefer that venue it seems obvious what to do.
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Aren't there issues with TS not time stamping data properly? I think its mentioned earlier in the thread. I wrote it in Ninja as the Zenfire data feed is pretty superior to TS anyway. Incidentally I empirically tested (albeit shortly) volume intensity, tick intensity and a couple of other similar themed tools and found that a time histogram with short constant volume bars gives god results. I actually preferred them.
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How to Write My Strategy Using (C++ or C#)
BlowFish replied to High.demand.trader's topic in Automated Trading
I'm not familiar with IG's platform chances are they have gone for some sort of easy language compatibility. Easy Language was produced by Omega Research and is fairly widely used. Chances are that IG have implement a fairly small subset. I should post what you have and what you are trying to do and see what you get. -
How are you currently timing it? Some sort of 'price action' seems the obvious way, maybe looking at volume too. There are a couple of simple bar (or candle patterns) that are pretty effective at indicating price rejection.
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PowerLanguage/EL How to Recalculate at Session Close
BlowFish replied to Harlequin's topic in Coding Forum
I'm pretty sure that will see you right. It had several approaches with complete code. -
I wonder why you say avoid NeoTicker? It has a steep learning curve (some would say very steep) but it can do an awful lot of stuff Tradestation can't. The tick precise technology is particularly useful. Each to there own I guess. (Having said that I've not used it for years).
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Answer is Yes for nearly all instruments (spot FX being a notable exception) and Yes absolutely. As for advice and comments on efficacy I'll leave that to others
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How to Write My Strategy Using (C++ or C#)
BlowFish replied to High.demand.trader's topic in Automated Trading
It would probably help to clarify exactly what platform you are writing for. Tradestation uses Easly Language. There are a variety that use C derivatives (Ninja for example). If it's tradestation there is a good chance you will get help if you can lay things out clearly or show what you have already. -
PowerLanguage/EL How to Recalculate at Session Close
BlowFish replied to Harlequin's topic in Coding Forum
You might also look for a thread that discusses plotting globex highs and lows. Several tricks and tips related to session times where discussed there. -
Funnily enough that was pretty much exactly what I said in a PM.......great minds and all that. Still look forward to following along wherever the venue. Incidentally are the two tape sets mentioned earlier still available?
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I guess simply by bidding up the price. If there are enough stops these would 'cascade' as they turn to market orders triggering more stops. It's Not hard to imagine that as the DAX is now overvalued compared to the ESX that the same guys are selling into the surge. This is supposition but seems reasonable. I have noticed that instruments with thinner order books and more granularity often whip around a lot more than 'heavier' correlated contracts. This used to be noticeable even with the S&P and the ES when it was first introduced.
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It can be hard enough to maintain focus without having to worry about these issues. I experienced similar when I started, 'trading' CFD's in he early 90's. I hear the new mini FX futures contracts are already picking up volume which gives a great opportunity for those starting out with smaller accounts to participate in a central, regulated market. Oh and well done getting to where you are
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No the reverse, because it is P's personal code and they have kindly released it into the public domain there should be no issue.
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Emini Trading on the First 30 Mintues 8:30 - 9:00
BlowFish replied to cowcool's topic in E-mini Futures
It would be quite doable with off the shelf 'generic' packages. I just think it would be great to have something that plugs into a data feed downloads data and lets you look at it in different ways. Preferably fairly simple and graphical though some sort of scripting would be good. I guess it would be a niche application. Something like matlab (or a free alternative) might be good. To be honest got many more pressing things to do. Dosen't help that I am in lazy mode right now. I also wonder whether it is a useful use of time....I am sure these are the sorts of edges that can get eroded quite quickly (and suddenly). -
Emini Trading on the First 30 Mintues 8:30 - 9:00
BlowFish replied to cowcool's topic in E-mini Futures
Get a copy of excel (or open office). Go to yahoo finance or similar and download a bunch of historical data. Combine the two and see what you find. Ensign Software (which has a free demo) has a feature that provides rudimentary stats like when highs and lows of the day are made. I wish someone would come up with an off the shelf/install and play 'data mining' package for financial time series data. -
Always nice to see someone talk about trades at the hard right edge. Charts are nice and clear, I also like how you have written the commentary on the charts, it makes it nice and easy to follow. I also appreciate the comments on risk, and why you are staying with this trade. I for one shall be watching with interest. Good luck with the 'journal'.
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I am not sure whether it was this thread but I have said much the same in the past. I have seen price marked up 40 odd points...then back to where is started.... then down 40 points and finally back to where it started again to carry on 'normally'. AK not sure there is a logical explanation except it can be thin at times so easy to move.
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Next question where to go? I guess the inverse logic applies there, look where the city boys are going and head in the opposite direction?
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That's interesting, what might that be? I think 'smart money' is not that useful a term, there are several different categories of traders that benefit from 'information asymmetry' making them 'informed traders', they pretty much compete with each other. These are the terms that those writing about market micorstructure seem to prefer (like O'Hara and Harris). That's not addressed at you particularly uexkuell....I blame the guys marketing certain VSA software <cough> Anyway back on topic, why would they give up the spread and go to market anyway? Would it not make sense to join the limit side of the order book with iceberg orders? If they do need to go to market why increase the risk of slippage by pulsing orders? Assuming they have large orders to fill they require liquidity. There will be other traders competing for that. In any case you might enjoy Harris chapter on bluffers and manipulation and how they can get stuffed if liquidity providers adjust their prices quickly enough or if value traders (as defined by Harris) are currently participating on either side of the market. If on the opposite side of the market the bluffer will likely hit a wall of greater liquidity if on the same side they will be competing for the same liquidity. Would you pulse orders to hide order flow or to make it look greater? (to be honest only the later would make sense to me) Is it that effective? I guess that would be the first step for me in understanding why someone might want to do it. What sort of participant might want to and why? Those interested in this sort of thing would undoubtedly enjoy:- Amazon.com: Market Microstructure Theory: Maureen O'Hara: Books Amazon.com: Trading and Exchanges: Market Microstructure for Practitioners: Larry Harris: Books
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And what do you sell?l
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There are only a couple of tricks they can use to pull historical data. The obvious one is to store all the info you need real time in your own database/file. This assumes that the data was captured real time at the client. The second is to read historical data tick by tick and make assumptions based on the relationship of tick(n) to tick(n-1).This actually is a pretty good 'proxy'. Thats pretty much all they can do.
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Bid-Ask Pressure Indicator for Tradestation
BlowFish replied to Soultrader's topic in Trading Indicators
MyVol - VolTmp gives the volume of the last transaction just put a test for whether that is larger that the block size you desire before accumulating at the line if InsideBid < InsideAsk then begin -
Also don't forget that with most index futures the different flavours are fungible (mutually substitutable). However ES and SP (for example) are different instruments and trades are reported separately. Unless things have changed SP trades must be reported within 'X' minutes. X is relaxed to 'Y' if a market is declared as 'fast'. Last time I watched both ES & S&P (which was a long time ago when the big contract was clearly the king), it was like watching an elephant (S&P) with flies (ES) on it's back. It would be interesting to compare now.
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This is probably the wrong thread for 'discussion'. Having said that. A 'good' system does not need to be complex. Further more lots of systems whilst they might not be 'good' are 'OK'. A 'good' trader should be able to wring profits out of an OK system. Furthermore people spend way to much energy (imho) on the entry part of the system which is perhaps the least important part of the process. It is possible to make money with coin toss entries (or a simple BO if you prefer) if you have sound money management (and a reversal criteria). A trader without a sound money and trade management plan and/or with poor discipline will loose even with the very best system. I'll say no more, Sun sea and sangria time (well for a week or two at least).
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I have to echo what has been said. Resist the temptation to jump back in to get you out of a hole. Unless things have significantly changed in you and your approach your results will not be significantly different. From your recent questions since you joined here I would strongly suspect they have not. You are in a particularly difficult place (that I have found myself in on a couple of occasions) and that is having suffered a pretty substantial draw down. Even with a 'winning system' I will bet a penny to a pound that you will have difficulty following it. This is when the fear really cuts in and you (if you are anything like most of us) will start doing things that you know are wrong. The subconscious/emotions call it what you like, will start operating the mouse button for you out of fear of loosing again. You might want to read Mark Douglas' books he explains this quite well and most people recommend them. I would devote the as much (or more) energy into preparing yourself to trade again as searching for a system.