lastninja2

to clarify: I am particularly interested in the initial puke-out. The knee jerk reaction over the first several seconds/minute or two. my CVD idea was just an example of a random approach I thought up, but would welcome alternative suggestions.

Hi, This could take a bit of explaining... let's see if a picture can help: http://s3.postimage.org/pmlxk4w6r/puke_volume.png Basically if the market seems to have settled in to a range-type day, rotating around an area of high volume in the middle, is there any way at all of estimating just how severe the reaction might be if either of the extremes of the day (the upper resistance, or the lower support) are broken? One idea I came up with was to use Cumulative Volume Delta to somehow estimate how "short" or "long" the market is, and therefore give some indication as to how many contracts will be "puked out", in the event that the market strays too far from the high volume area for players to bear. I am not expecting to get some magic formula haha, but can anyone offer any insight besides "rely on your experience, you will come to learn that a typical puke-out on the bund is 7 ticks" etc etc. Much appreciated - I can clarify if the above did not make any sense!!! thanks!

1) Get a cheap squawk box. 2) Think twice about choosing such volatile markets e.g. CL

in my experience, that isn't so

Thanks, interesting read again. Blue - the reason I cited German ZEW data (purely as an example, I could have chosen NFP, whatever), was because I don't like the idea of standing infront of the market when it spikes in such cases. Why? Well because I worry that there may be a good fundamental reason why prices should shift upwards by 30 ticks, and STAY up there... Whereas if there is no news released, market just bumbling along on low volume and suddenly it dives 20 prices because some guy sold 1000 contracts, well, I feel more confident that the price will spring at least some way back to where it began. Make any sense? But I might well be looking at it in the wrong way. I'm just trying to do the best I can on a shoe-string budget. I'd love to be able to place bids and offers all over the show, a couple of dozen offers filled? No problem, I have the $70,000 initial margin requirements right here, sir. :o

"I've also heard it said that when a 1000 lot type order hits in an obvious way, this is usually the tail end of such a buy/sell program - they've already filled 95% of their order, so they're not too worried about showing their hand with the last 1000 contracts. I have no idea how true that is. Given that you’re fading such orders, if they’re the tail end of a program then that’s probably a good thing." - Very interesting... it certainly sounds plausible. "just seed the entire order book above and below the bands. That way, when your algorithm calls for a 100 bid to be pulled and a new bid submitted at 99, you'll just need to pull the 100 bid as the 99 bid will already be sitting there." - I really like the idea, if I understand this correctly, but in practice I cannot see it working for me. I do not have, nor will I ever have, sufficient margin to seed the orderbook with limit orders in this manner. Assuming I somehow were able to litter the price ladder with bids and offers, in the rare (but eventually inevitable) instance that a very large sudden move occurs, a whole page-worth of limits would be simultaneously filled, leaving me with a catastrophic loss. Furthermore, when do I seed the orderbook? At the beginning of the RTH? Do I pull everything when German ZEW data is due out? Do I the re-seed the entire orderbook? CME's volume to message ratio is done on the basis of (New order = 0, Modification = 1, Cancellation = 3)... this approach would certainly cut down my total messages from 10,000... but it looks to me like it would still be a very large number by the end of the day. "Secondly, play the game the way the CME want you to; devise a method for order placement that can pretty much breakeven (disregarding your primary strategy trades), and then allow 1 order in 40 to fill in the knowledge that these will net out to breakeven whilst keeping you compliant. (although you’ve got your commission costs to factor in, so you’ll find you need to be a bit cleverer than that!)." - Again I really do like your thinking, although I am still waiting for a flash of inspiration that can allow me to overcome my ridiculously high commission costs with a strategy that fills 5% of the time. "I hope some of that is helpful, and let me know if I haven’t explained anything clearly." Yes, very interesting thoughts that would not have occurred to me, thanks for taking the time to write such a lengthy post - I sensed something big was coming after your initial shot-across-the-bow to Predictor

thanks for your reply + suggestion. The band idea is interesting, although I could imagine an issue when the price is fluctuating around the boundary, forcing my software to modify orders constantly. Probably the most straightforward method, and one which I can employ currently, is to just reduce the time frequency of updates to modify every 10 seconds, or what have you. You explained my intended strategy very well... and yes, the really big moves are what can make or break it.

Presume that was a question to me rather than an explanation of fishing? Actually, bid 99, offer 100 I want my bid at 89, offer at 110 (for example) Or even more extreme than that. If market shifts to bid 100, offer 101.... my bid shifts up 1 and my offer shifts up 1. Sooner or later some big shot is going to hit market with enough contracts to spike price in to my orders - BEFORE my software has a chance to re-position my orders

Yeah thanks for the feedback, I look forward to some more shared thoughts. BTW for anyone interested, I put together this for my own benefit... shows CME rules: http://s9.postimage.org/q0cc38999/CME_fail.png Predictor, I don't agree with everything you've said. I believe my strategy does requires 10k messages per day, at a minimum. I don't know what "fishing" is, to be honest. I've heard it alternatively referred to as "baiting". Does it require size to tempt the market towards you? Haha, I don't have the margin to make a dent in any price ladder. Look: my orders are real enough, I just want to sit them away from market all day until some nut case spikes the market in to my order. With a couple of lots I'm not going to help much, by way of liquidity, but give me time and I'll build it up to 20 lots... maybe help that nut case get his order filled without spiking the markets QUITE so far.

Bluehorseshoe : You have the floor, Sir. :thumbs up:

Thanks for your feedback. I do like the idea of my strategy, although as you say algos will do their best to break up the orders. The premise is that, occasionally, some big guys/governments/whoever just HAS to punch the market with 1000 contracts. Whatever the reasons... I don't care, I just want to be there to take a little profit when the market unnaturally jumps a dozen prices. (so to answer your Q... yes fade the pop) I am providing a service here, I think... I will be lessening the magnitude of these unnatural spikes by providing liquidity - that is why I am a bit upset that CME have basically scuppered my plans before I could move forward with them. Damn shame.

Thanks for your replies. I welcome more thoughts - particularly if someone happens to have an inside line on whether the CME really cares. I will eventually put this to the test - but just doing a little bit of due diligence ahead of time, since I don't fancy paying $1/2k fines. Dude. You heard it right. I want to make markets miles away from inside price, and get the occasional fill when some big shot hits in with 1000 contracts. Yeah it may not be the most glamorous trading idea, but the concept is not without merit. Real shame if I cannot follow through. I am giving serious consideration to operating out of RTH. According to CME documentation, if it's outside of RTH - anything goes! Best prepare for some very peculiar sleeping patterns eh, hehe?

Hi, I have devised an automated strategy but it requires that my bids and offers are constantly modified. I guess you could call it some sort of niche market making. In an ideal world, I would probably clock up 100,000 messages to CME during RTH, but 10 or 20,000 would be acceptable. I could live with that. Technology has moved on far enough, I think, that the modern exchanges can handle billions of order modifications in a single session... so any argument that I am clogging up the systems and making conditions more difficult for other traders... I frankly do not buy. However, I am aware that CME doesn't take kindly to this, and that there is every chance of a $1,000/$2,000 fine being handed down via my broker to me, if I attempt it. Is there any way around this? Will a ratio of [10,000 messages : 1 trade] most definitely prompt CME to drop the hammer on me? The markets would benefit if I was permitted to do this - so please somebody - tell me it can be done? Thanks, AJ

Anyone got thoughts on the upcoming GDP data out of China, expected 7.4%? I am considering getting up early (UK 3am) to possibly take a shot at AUD. Just not quite sure of my plan yet. Last data release was in July, GDP came out marginally below expectation.(7.6% vs 7.7% Exp I think it was). I've looked over the charts and the main initial move was a powerful rally of AUD. I cannot quite recall the market sentiment at that time but my reasonable assumption is, the market was looking forward to PBOC bringing out further stimulus. Actually, it seems the sentiment this time around is somewhat different - I am doubting the ability of PBOC to take action any time soon... keep reading that they are after yuan stability, particularly with leadership transition upcoming, not only in China but US too. So provisionally I am looking to play it straight: If it beats expectations, buy AUD, if it falls short, sell AUD. But welcome any alternative ideas ....?

6E sold off after S&P did their 2 notch downgrade of Spain after US cash close... damn shame I was not at my trading platform, I probably had turned off around 9:30pm, but who knew right? But 6E has now rallied powerfully, recouping the losses and plenty more besides. My take is this: Big players are buying 6E whenever it dips, in anticipation that Spain will eventually concede they need a bailout. I recently drew comparison between the Spanish bailout officials and Baghdad Bob - do you remember him? Spain insist that they don't need a bailout and that the downgrade is not justified... peh... we'll see. All that said, if Moody's downgrade Spain, and I am at my desk, I will be spamming sell 6E as fast as possible. The sell-off won't carry on forever... because the big guys will step in to buy it, confident in the knowledge that a bailout is due. But the knee jerk reaction will definitely be a sell. Just my view.

I intentionally did not bother with those squawks coming directly from US trading pits. Too niche for this thread as I see it. Need to Know News Washington based. Focus on US and EU government press rooms, actually in THE rooms for figure release. Conflicting reports on forums about them... Apparently went downhill last few years according to some posters. SCREAM Audio: The only squawk directly from government press rooms | Need To Know News Talking Forex: Squawk London based Squawk. Global coverage of major forex events. Cheap. http://talking-forex.com/live.html RANSQUAWK London based Squawk. Talking forex guys. Very strong negative opinions expressed on forums lol. But some supportive opinions too. (used by some props) RANsquawk - Real-time Analysis & News Ltd FirstCall: Live Squawk London based Squawk. Not got much info on them. (used by some props) Live Squawk Sigma Squawk London based Squawk. 24 hour. (mixed reviews. Analyst called 'batesy' has previously been lambasted by some forum posters lol?) Sigma Squawk - Home TTN: TradeTheNews US based global data feed. 24 hour. (used by SMB prop). Some very strong contrasting opinions on forums. Customer service has been lambasted by some forum posters. Live Stock Market Forex News Expert Market Analysis - TradeTheNews.com ITC BrokerTalk Squawk London based Squawk. +Thorough written material on major events; bond auctions, earnings, speakers, central bankers etc. (used by some props) BrokerTalk Squawk | In Touch Capital Markets Briefing US based data feed. (used by SMB prop) Briefing.com Stocktwits Social network based market info. (used by SMB prop) StockTwits® - Share Ideas & Learn from Passionate Investors & Traders NewsStrike An apparently free US based audio feed. At least some forum posters consider it worth listening to. | NewsStrike.com | [ame=http://www.youtube.com/watch?v=QXwskM6sCgQ]Review of online streaming news services with audio for stock traders and daytraders - YouTube[/ame] Some guy on youtube made this video reviewing a bunch of major news (+ audio based) services. Really impressive effort by this guy. Would welcome more opinions on the above list... What you use, what you think is the best for each asset class etc etc. Would also welcome contributions from other traders interested in unexpected + scheduled news.

Thanks Dude great response. You've set me off on a Googling mission to familiarize myself with all the available news feeds out there. I don't have the funds to create a high end setup unfortunately ... will have to wait for a few bailouts / fiscal cliffs. As to equities - yeah... in the longer run I would love to branch out in to trading individual stocks. As you say, always something going on there.

Reaching out for any other traders with similar interest: Seems the vast majority of traders are busy studying market profile, price action, traditional technical analysis, order flow etc. Nothing wrong with that at all and I know there are guys out there making big money with some or all of the above. But my focus right now is on trading unexpected news events (using Squawk boxes + CNBC if there's a live speech), and potentially scheduled data releases if I think there's a good play afoot. Basically, I sit at my desk from EU pre-cash and there I remain until EU cash-close / US cash-close if I have nothing better to do. I have a screen of ladders + time and sales, and a bunch of a low-timeframe charts on the other. Screen #3 I use to browse various market-relevant news stories, the Daily Mail and The Chive throughout the sessions. 6A: In case PBOC does something. 6B: In case BOE does something. 6J: In case BOJ does something / Godzilla proves to be real. 6E: In case something semi-significant happens in EU or US. ES: Just to keep myself in the loop. CL: In case something happens in the Mid-East / Strategic reserves / Massive shocks. I record absolutely everything, including the squawk. Yeah sure, Talking Forex isn't the best feed money can buy, but it's a decent service if you're keeping overheads low. I don't stress about price action / order flow, so I don't mind using Ninja Trader Free Edition to execute my trades. [ame=http://www.youtube.com/watch?v=rCuTLwBxZgc]2012 10 03 TRADE 1 greek debt extension possible - YouTube[/ame] Here's an example to bring the thread to life. I have a few more but I haven't gotten around to uploading them, and you get the gist of it. So far there hasn't been any massive news, so nothing great to show... if only we'd had that Spanish bailout eh! Any kindred spirits out there?

Welcome some thoughts on this: The market spotlight is pretty firmly focused on Spain right now, and the rising prospect of an official bailout request - thus paving the way for ECB bond buying intervention. That in itself, I can say with confidence, would be a "Risk On" move, and I'd be happy to buy up EUR. But in the meantime, what if a major rating agency i.e. Moody's downgrades Spain? On the surface that would be bad news for Spain and a "Risk Off" development. But surely such a downgrade would make a Spanish bailout request all but inevitable - therefore paradoxically the downgrade is "Risk On". I'm fascinated to see how the markets respond to a downgrade - but I'm not sure whether I want to be long or short EUR....

QUOTE: "You must first have some sort of structure for framing the market and its behaviour. Understanding market movements relative to this structure will help you see things more clearly and develop experience at a greater rate. I agree completely. For the newcomer I would suggest a reasonable starting point, in terms of "framing the market", would be Jim Dalton's Market Profile books. I hasten to add that I do not take Market Profiling to be "the best" or "the right" way to frame the market. Perhaps we can think of it as a pair of glasses through which we can view the markets - more suitable and confidence-inspiring to some, less so for others. QUOTE: You must also document not only how you trade according to your plan, but what you see in the market's behaviour. Then if you can devise ways to clearly monitor and test these observations, you are well on your way to gaining experience." I think this is also crucial. Here's what I have done, and continue to do: 1) Firstly, I created my own trading guidelines (not RULES - I am not an algorithm) in the form of a 9 or 10 page pamphlet. The guidelines existed in my mind before I put them on paper, but the process of typing them out clarifies those ideas and makes me more inclined to stick to them - even in the heat of the moment when the market is tempting me to place a trade. 2) At the end of each day I take a 5 minute chart and mark out where I placed my trades + add commentary. In many cases it will be immediately obvious where I have violated my own trading guidelines. In many cases I will take losing trades, but be satisfied that my reasoning was at least consistent with those guidelines. By analyzing and reflecting upon your performance, the experience gained from each session is doubled. Are the specifics of the trading guidelines important? Initially, I say "No". What is more important is that you stick with them - whatever they may be - for a good while. Reflect on your performance (during step #2) after you have put those guidelines to the test for a decent period of time, and only then can you identify what exactly needs tweaking, and feed those experiences back in to a new guideline pamphlet. I understand the internal battle only too well: You are not a mechanical trader and therefore no two trades will necessarily be alike - but introduce too much discretion... trade in a manner which deviates too far from your guidelines... and I think you will struggle to develop as a trader because it is so difficult to identify where you are going wrong. For EXAMPLE; If you take Jim Dalton's Market Profile approach, your trading guidelines might require that when single buying prints appear on the profile, you only take trades from the long side, until those single prints are "filled in". On a somewhat different note, I'd like to share a personal experience of mine from the last 24 hours, because it has haunted me so badly. My trading performance this week, up to Friday, had been 'okay'. Friday turned out to be an extremely boring/frustrating session, and it looked as though I would be finishing the day around about flat. With not long to go before EU cash close, some unexpected news was announced, and my market started to rise. As seems to be always the case, I bought an extremely favourable price - because my reactions are good and I am always alert. But my handling of that trade, and the trades I would be taking in the next couple of minutes, was incredibly poor. I became too easily spooked by the orderflow, and proceeded to snatch profits, enter more long positions, scratching them as I went... chasing the market all the way up the page. Inevitably, I eventually bought the top of the move and got punished on the pull-back. It should have been an outstanding end to the day, changing the landscape of my week from 'okay' to 'good'. My initial entry price was heroic. Most of the traders I know did very well out of the move - I really felt like the loneliest person on the planet at that moment, haha! I had dreams about that trade last night in which I entered early longs and then sat back as my P/L went through the roof. When I woke up, I set about marking my trading chart - what I had done well, what I had done badly, and devoted attention especially to the big move at the end of the day. As a result of that haunting experience + my reflection on what had happened, I will institute some fairly basic but strict guidelines for similar situations in the future. That is the feedback from step #2 back to #1 I mentioned above. Ahhh... typing all that nonsense out has been quite cathartic.

Well said. Altogether I think this has been a good thread and I'm please I started it. Today I employed a bit of the "all in, scale out" tactic - and probably cost myself a few ticks as a result. I'm still a proponent of this strategy but I think it is important to be selective in its use, i.e. when I strongly believe we are in the midst of a trend. The main draw of "all in, scale out" for me is not so much in any mathematical edge that I might gain from it (not saying there is one, or even that I feel inclined to prove one way or another if one exists, within the context of how I trade) - it's more of a psychological thing for me. As SIUYA mentions, it "helps me to feel good" - and I believe in the long run my trading will benefit from that. I guess in a way, placing a trade costs me a bit of emotional capital each time... I feel a mental exertion when I pull the trigger, and I especially feel the stress when the market is trending without any nice little pull backs, and I have to just JUMP in, or else miss it all. For instance, if the market is trending to the upside and I already have 1 lot long from several ticks lower, I definitely feel more calm and collected about adding additional long positions on the ride up, than if I was establishing an entirely fresh position. To some extent I think trading well is about bending your own demons to work for you, rather than against you, if that makes any sense? Anyhow, that'll do from me.

Eurex Futures Commissions | Velocity Futures dunno about IB but i used to trade via velocity , you can do a lot better than 2EUR per leg on FGBL, FESX etc. Failed short on FESX... damn thing doesnt want to fill the gap!

For a 2 lot chump like me comms something like 0.8Eur/rt on FESX. More size, bigger the discount. I reckon my comms are about 35% or 40% of retail rates. Neg, it's a question I have in the past asked myself, and spent a lot of time pondering. My answer is as per the screenshot attached - I made that about a week ago to put on paper my thoughts. got a trade on FESX long 2206, just hanging on by a thread...

Yeah both true, Being prop means I don't suffer some of the disadvantages retailers do - and I myself used to face. I hear you though tim, sometimes I'll cut myself out of a trade at -2 only to see my original trade idea come to fruition. That said, FESX is generally a bit of a grinder, and more often than not I feel satisfied that "I am wrong" when the trade is moving even a couple of ticks against me. If you were talking about FGBL or ES etc then sure, 2 ticks sounds unrealistic. Lost 4 ticks yesterday (on 2 lots) - seems I really struggle with trendy days. Doing a bit better this morning. FYI, not sure to what extent this is possible in present day conditions but in the past I am aware of some traders making big money scalping 1 ticks out of FESX! (I personally could never get my hit rate high enough to survive on that.

okay... I'm spent whew, totally shattered. For the interest of anyone passing through the thread, I'll enclose a good portion of my trading journal for today, plus 3 charts showing the timing of entry and exits (1 minute chart broken up in to 3 parts). Also got a screenshot showing my basic setup (TT DOM, couple of charts, and theres a market profile you can't see off to the side). Also got some other screens with some news related stuff, but what you see is what's important 99% of the time for me. seems on the face of it, my experiment to run for 3 tick winners and take 2 tick losers was a success. I didn't necessarily stick to it every time - things happen, sometimes you cannot get out for -2, sometimes you can't help but take more than +3. Sometimes a trade goes well but comes back and you have to scratch it or settle for +2. But by and large these parameters served me well. Hope I can repeat this for the rest of the week. date //// win///// loss////// avg. Win///// avg. Loss////// prob////// RR////// #trades/////// P/L 27-Jun///// 10////// 8///// 2.50///// 2.25////// 0.56////// 1.11///// 18///// 7.00 Enjoy - and to any of you experienced guys - while I have a wealth of experience available to me where i trade - extra thoughts very much more than welcome journal 27 june 2012 FESX lastninja2.xls