darthtrader

I watched 1-3 of NYMEX so far. Really great stuff. I think it would certainly help to read the Logical Trader first. Alot of the concepts didn't make much sense to me but were much more clear here, plus he mentions the volatility calulation that he leaves out of the book. His pivot moving average is an interesting idea. Almost like a moving average of the MP value area.

wow thanks ines!! thats great, so much material. do you have any of the other symposium 03 speakers? cool to see just what Fisher looks like.

Not a movie but a series of TV documentaries, I've been watching everything Adam Curtis has made thats up on google video this past week. Totally mindblowing stuff. The Trap - Basically about Game Theory and how the ideas have crept into the modern world to create a very limited idea of freedom. The Century Of The Self - Mostly about Edward Bernays/PR/propoganda and Freud and how these ideas have changed "the american citizen" to the "american consumer". The Power of Nightmares - Mostly about the neo conservatives/Leo Strauss vs radical islam and how these ideas are shaping the world. if you just search for the titles or Adam Curtis on google video and filter for "long" they should come right up.

Looking forward to it also. I really need to hone my understanding of the bond market. 6 bucks used on amazon sounds good to me also. A book I found that was recommened a few times(forget where at this point though) but haven't purchased yet is: "Bond Markets, Analysis and Strategies" by Frank Fabozzi http://www.amazon.com/gp/product/0131986430/ref=pd_cp_b_0/104-2375231-1848749?pf_rd_m=ATVPDKIKX0DER&pf_rd_s=center-41&pf_rd_r=1ZWV6V2N5TP2BZHY7XTA&pf_rd_t=201&pf_rd_p=317711001&pf_rd_i=1428808175 Quite a tome at almost 800 pages.

Ahh great idea torero with distractions. Here is a good one for that, Computer Alarm Clock http://www.download.com/Computer-Alarm-Clock/3000-2350_4-10368563.html I use this as my alarm clock on the computer in my bedroom. The kookoo sound has to be the most annoying thing i've ever heard in my life. Good point on patience. Have to come up with something for that. I had a terrible morning and went and tried the reverse only for a half hour. 32 trades, 25% win/loss and -$600. I think this one has promise, especially for me as I'm still at the newb stage of being too concerned with my winning % more so than my pnl.

Steenbarger makes an interesting point in Enhancing Trader Performance from the way athletes train for a game. He basically brings up the fact that athletes will train at more extreme/harder levels in practice than actually during the match/game. Then during a game its more just a mental game and the mechanics of what needs to be done are automatic. I think it might be an interesting discussion on brainstorming ideas for trading practice. Obviously this would need to be done in a simulator, Ninja is pretty ideal though for this considering you can record a market for the day, play it back and the paper trader is extremely realistic(plus its free if you have a datafeed for it). My first thought would to record a correlated market to one you do trade and then play it back at 2X the speed. I'm sure over time this would help out the speed of your pattern recognition a great deal. I'm not sure if there is software that can do this though. Another thought is to record a correlated market to one you trade, then early in the opening range, put on a paper trade but you have to stay in for a set amount of time that you set before you enter the trade for a much longer time frame than what you normally hold for. Once your in you can only use the reverse botton on the dom. I would think this would be nice practice as far as price action goes. Even if you have some bias from knowing where price went overall from real trading it should still have some value. anyone else have any ideas?

Dohhh...I have forgot to even check the premium section of this board in months. I've just started to move down this path as I'm finally getting the hang of C# and Ninja. James, what are you using to data mine, just excel? Thats absolutely my focus right now. Have you ever read the "System Development with acrary" thread on elite trader? I think thats far better than any systems book available. One thing he mentions in there that I would like to eventually evolve towards is he has his automated systems and then when he is around he tries to front run them discretionary wise. I think thats a pretty interesting way to trade. Here is the first potentially useful thing I've done with data mining(if you can call it that) Basically tried to take the daily average range of 5 minute bars on SPY with Ninja and then plot them in Excel. Seems to be a pretty interesting indicator of volatility. The data is not totally accurate as I think I'm missing some of monday morning sessions from my newbness with ninja. Its interesting how that first big spike up in feb 07 had more volatility and a bigger range but was orderly. Current volatility/range is just schitzo.

I've pretty much added PREM to my trading at this point. I've pretty much given up on getting any other information on programs outside this. my observations so far are: -IndexArb's fair value levels are great, its basically the zero point where cash and the futures are in line. -IndexArbs program probability levels are totally useless. The programs come in alot more than at the levels they say on the site. I've still never seen PREM hit the levels they give as the lowest level let alone be even close to the upper/lower end of their probability level. -If you plot the fair value level it makes alot of sense to get in on the futures in the direction of PREM and not so much sense to be on the otherside of PREM(at least on YM). If you get in on the other side your basically overpaying for the futures vs cash. -I have yet to see the futures be over/undervalued vs cash, then the cash market move so fast in the opposite direction that it triggers a program. -If you do the above, your still never going to know when cash/futures get out of wack to trigger a program. If you get in on the futures when they are undervalued though, maybe you get lucky and a program goes off in your direction. Its really interesting on a breakout at a key level because you can kind of see in price action when the programs move YM for 10-15 points, then you get the chasers who then give the futures a bit of follow through. If your in the trade and get a program on your side, its a good time to take some profit and sell to the chasers if it fits your time frame. -Its especially good to watch this for trade management once your in a trade if your time horizon is low enough. If PREM drifts to the other side of your position and then spikes down huge it might be a good time to scratch if the program hasn't gone off yet. If it has your stop will probly already get hit before you can click the mouse anyway.

That is interesting. I've never used TS and figured everything just reported TICK in 5 second intervals. Did you see at all if DTN/Esignal was just adding them all togather vs TS? If TS reports 100, 100, 0 -100, -100, DTN/Esignal reports 0? I'm not sure how big of a deal this really is but it does kind of suck to not have the optimal setup with a dedicated feed.(I use DTN, its 5 second intervals if you look at the tape) Linda Raschke mentions tick hook like patterns at +400/-400 in Street Smarts. I also love the pattern and would highly recommend getting hold of a cummulative tick indicator to go along with it. It really helps to put the hook in context. The danger is without cummulative tick you don't know if your trying to fade an over reaction or if your trying to fade the market even though things are being tipped in the direction of the hook overall at the bid/ask. Its especially bad if your trying to fade the top of a range with a hook but cummulative tick is going in the direction of the hook, good chance you get caught on the wrong side of a breakout.

hey Subq, can you point me to where you found Steidlemeyers newer stuff? I would love to have a discussion on how we can use the developement in computing/data over the past 15 years to add to the original MP concepts. I also don't put alot of weight in the value area. For me its just easier to eyeball it on a volume profile. It also messes up IMO when you have a nice double volume distribution, if your only looking at TPO based value you might easily miss the lovely breakout trades between the peaks of the volume distribution. Really this discussion kind of boils down to time vs volume. Both though are market generated information and probly doesn't make much sense to discard one or the other. My real problem with current MP software is we really need something that can backtest new ideas.

Hey Mr Ed, sorry about the terminolgy. I was pretty much refering to algorithmic trading when I mentioned program trading, the broader sense of the word. Maybe the arbitrage side though what we might be actually able to see with PREM. I'm not sure if you caught these statistics, it was in some link I found from what you posted. This was sopposed to be an average day the way the trading breaks down: NYSE Closing Summary Trade Date 8/16/2007 NYSE Trades ....8, 908, 020 NYSE Volume....2, 989, 836, 240 NYSE Dollar Volume ....115, 188, 118, 914 Retail Buy Trades ....152, 848 Retail Sell Trades ....204, 524 Total Retail Trades ....357, 372 Retail Buy Volume....53, 008, 213 Retail Sell Volume.... 76, 575, 492 Total Retail Volume....129, 583, 705 Program Trading Index Arbitrage Program Trades ....576, 924 Non-Index Arbitrage Program Trades ....6, 231, 010 Total Program Trades....6, 807, 934 Index Arbitrage Program Volume ....111, 238, 364 Non-Index Arbitrage Program Volume ....1, 534, 370, 009 Total Program Volume....1, 645, 608, 37 . Program trading accounted for 55% of total NYSE volume. Retail trading accounted for 4% of total NYSE volume. Program trading accounted for 76% of NYSE trades. Retail trading accounted for 4% of NYSE trades. The problem came though from the index arb sites levels. I plotted lines for what they gave as the threshold on the PREM for when there was a probability greater than zero of the arbitrage programs coming in to get cash back in line with the futures. The levels were not violated all day so indexarb was basically saying there should have been zero probability of arbitrage all day when those stats say that its normally half the volume. I'll try this again all next week, maybe I just messed something up yesterday. What I mentioned about the breakout was certainly a big leap/speculation. The thing is though I have to question that if the programs are doing that much volume, that when you see price jump ultra fast that its the programs and not humans all getting in at the same exact time. If some of programs are so directly piped into the system they can actually execute orders in 10 miliseconds they would seem to me to be the obvious culprit. I'm not sure how useful that would be if true but it could be an interesting filter to stay out of bad trades if that indexarb site levels worked. If you knew there was a 50% chance of the arbitrage programs going off it wouldn't make much sense to step in front of that on the other side. Check out that janowski.pdf if you have not, that presentation sounds incredible. Here is his version of the terminator script:) " How is it Possible to Compete with the Speed of Automated Systems? • The answer to this question is to NOT compete with the black-box systems (at least at their own game) • The key is to eliminate the “lay-ups” that traders give to automated systems • Traders should conduct trades at prices that are somewhere between the desired buy & sell prices of such systems (i.e. “fair value” trades)"

Hey Jerry, I'm not sure if this would be the thread or not, but any chance you could post a little "trader bio" on how your trading evolved from when you started and what eventually led you to these ideas? I'm still slowly integrating your ideas into my style and something like that would be quite interesting/inspirational.

so does anyone use PREM still here? I remember soultrader had it on his videos but I didn't really get it then. I've been watching the fair value levels from indexarb all morning on YM and S&P PREM. I almost want to say those levels are kind of bogus. 3 hours in and the PREM has not hit the level they gave any probability of program trading to yet on either direction. If programs are such a high volume of the total market that makes no sense at all. I almost wonder if their formula hasn't accounted for the dramatic increase in program trading in recent years. Something interesting from watching the tape this morning is when PREM started moving up, once it hit its peak above 2 you seen the tape go crazy and a fast 20 point move up, closing and prem go back to being flat. I would think that was basically programs arbing the ES/cash and then arbing on the YM/cash dow to keep everything in line. If that was the case then PREM should be a pretty nice thing to watch. Especially if your looking to counter trend trade, doesn't make much sense to be on the wrong side of PREM if the programs are going to come in and blast you with heat on the otherside to close the gap with cash.

I tried it out last year, I actually didn't even realize they have a scripting engine. That's very interesting. Does it do backtesting on options? I think it could be tough to find the stuff you want without coding it yourself though.

Ahh great stuff guys, I remember that indexarb site but couldn't find it tonight. I found this site that has some interesting information from that pdf somehow, haven't gone through it all yet: SPI Futures trading systems components of SPI200 index futures I totally agree Mr Ed, its extremely fascinating although I'm still trying to figure out if there is any utility to this stuff. I read some on some site from that pdf that some of the program execution trades have got down to 10 milliseconds and what an improvement that is over 100 milliseconds....

ahh good stuff. Little stories like that are what I'm looking for, just little insights. I guess in general what I would like to eventually get into is tracking a few highly correlated instruments against YM as an indicator. Not to do any sort of arbitrage but as that pdf above mentions, "the only way to beat the programs is to not trade with them". I kind of wonder how many times you have a valid setup on your instrument that would have been a winning trade, but some other correlated instrument has moved out of wack(that your not even thinking about) so the programs/arbs come in and mess things up with an arbitrage. Would be interesting then too to see if your setups worked better when correlation was tight with nothing for the programs to trade.

Anyone know much about this stuff? Considering the % volume of program trades I'm trying to get a more general view of the mechanics. What peaked my interest was this little pdf that was from a presentation at the futures summit 2 years ago: "Anti-Arbitrage" - Combating Automated Trading Systems http://www.fts.cme.com/files/janowski.pdf I would love to have checked out that presentation but I can't find anyway to access it now. I know I've read somewhere that the arbs use the ES to "sweep" the big pit contract. I can only vaguely understand what that means. S&P is a good example. You have cash, the big pit contract, SPY, ES...anyone have an understanding of how things fit togather?

I'm still trying to be able to "hear" the tape but just want to mention how incredible ninjatraders tape is. You can basically custom color code all the different possibilities on the tape. above ask, at ask, below ask, between, ect... Also, the CME is having a webinar on order flow on feb 14th that sounds like it could be pretty cool: Education Events - All Live Webinars

I'll try to email nymex this morning. this is the site http://www.clicklive.com/NYMEX/symposium_2003/ Looking at that site just frustrates me...Jones, Boone Pickens, Fisher, Ari Kiev..it would just be so cool to see such heavy hitters actually talking. I wouldn't even care if Jones just talks the whole time about how much money he has! I think the problem might be though that the site shouldnt really be there and the clicklive stuff has just expired without taking the webpage down yet. Interesting chart Szymon. I really need to do a study of the various ORB literature. Pivot can you just post that thread here? If its on another board I don't think James really cares, its not like there is another site that can compete with this one.

I've been thinking about software alot lately and I guess it really comes down to that since everyone is really going to be trading their own style its probly not realistic to expect to have one platform that does everything. I know from reading Brett Steenbarger's stuff he uses Esignal for charts, Market Delta for delta stuff, Excel for statistical analysis, Trade Ideas for scanning stock patterns...While software is expensive bad trading is alot more expensive. The only real option to have everything you want is a computer science degree, a good charting/database developement environment and a few years of programming hours. Not very realistic for most. Neoticker must have an incredible database implimentation to be able to do what it does. I'm not sure its realistic to expect ninja to have anything close to it anytime soon as far as custom index/custom tick is concerned. I could see at some point adding neoticker to the tool box and just use what its good at and other things for stuff its not.

I searched high and low for Paul Tudor Jones talk at this but could never find a working link. Maybe we should try emailing some NYMEX people or the host. It really is absurd for this stuff to not work, that had to be the best conference ever. Are you actually trading using ACD? I've tried to read the book a few times but it never quite sinks in. Isn't there violatility calculations that Fisher doesnt provide that makes the book kind of pointless?

Considering I read Steenbarger's blog almost everyday I can't believe it took me this long to pick up one of his books. There is not much else to say other than that this is one of the best trading books ever written. Its really quite the opposite of any of the "how to make millions in the stock market" book. Dr. Brett pulls no punches as far as the realities of trading goes and basically lays out a blueprint here for those who take this game seriously and want to become truely expert traders. While somewhat of a "trading pyschology" book it more or less pulls ideas from performance research in general and how to apply them to trading. Really nothing else like it. The other part that makes this stand out is that Steenbarger obviously has a passion and talent for teaching/writing and this shines through in the clarity of the thought expressed in the book. http://www.amazon.com/Enhancing-Trader-Performance-Strategies-Psychology/dp/0470038667/ref=pd_bbs_sr_1?ie=UTF8&s=books&qid=1201786560&sr=1-1

I second DTN. While I think they may have had some problems in the past as I've read some negative reviews on them, I've had no problem at all. If you just need good data there doesn't really seem to be any competition in their price range. They do also provide access to their API I believe.

haha, its 43 this morning here and feels like a heat wave.

cool vid James. Have you ever tried cummulative tick in esignal? I've been thinking about giving esignal a go just to try it out if I can't get it going in Ninja. http://traderfeed.blogspot.com/2008/01/nyse-tick-and-intraday-trending.html Funny Crabel was mentioned as I'm just starting to try to integrate an ORB type strategy into my trading for this very reason. I don't think its very realistic to expect to be able to predict a trend day with much accuracy before hand. I think focusing on tools that have to do with the opening range/intial balance is probly a better way to go. The only other market generated information at hand would be how the high of the day is violated. You also have to figure different types of trend days. Yesterday was pretty trendy but more in the sense of auctioning to higher and higher balance areas. The open test reverse during the IB with really strong positive TICK was probly a good clue, but still only a clue.