Futures Arbitrage

[natedredd10 10]

As an aside has anyone read "Finding Alpha: The Search for Alpha When Risk and Return Break Down" by Falkenstein? Looks interesting.

 

old man Blowfish, getting further from the real action everyday...No way anything with the word "alpha" in it isn't a recount of some bullshit street party that happened in the past...

There is some book i wanted to tell you about but forget what it is at the library...its like "tactical trading" something..."strategies" buzz word is in there too, basically a micro structure and WVAP/transaction cost baddass book as in instutional...

This book will just blow your mind though old man:

Amazon.com: Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series) (9781584884132): Peter Tankov: Books

[BlowFish 10]

childs play to bait you into a reaction Pat...

 

TS with nice timestamps if true is great...amazing actually...I had assumed they were not just watching Ninja walk all over them then **** up this bad without a response...

good stuff..

 

I try to resist the urge on the whole Though have to bite my tongue sometimes

 

BTW Ninja have screwed up with 7.0. It has separate bid, ask & last tick databases with ......guess what?....... 1 second resolution time stamping. So no way to reconstruct historic data streams with correct sequencing. There data storage is a nightmare too 1000's (literally) of small files. Prone to cause hiccups. Talking of hiccups lets not get started on .NET when it decides to do whatever housekeeping it decides to do.

[natedredd10 10]

Well... not yet

 

I had an interesting discussion last night with a physicist, and we talked about the natural balance in the universe. Even concepts such as chaos are starting to find some balance and explanation through mathematics. If we are finding that, along with advances in neuroscience and balance within chaos, I would even go as far to say that the emotions behind a crowd can be explained mathematically. The trick here is getting it into a formula, and I'm not so sure that's possible.

 

Then its some physist talking down to you because he doesn't think he can communicate what he knows to you. "Chaos" is a completely bogus concept...

There is bayesian probability vs stochastic process...some would argue stochastic process itself is "make believe" and simply a subset of bayesian probability....i'm not quite to that level of bayesian religion, yet....

[UrmaBlume 10]

Ditmar, how much your shitty poker book sold? Its totally useless.

 

I do respect you though to some degree because no way I tell these morons 10% of what you have....

 

Hard to figure out that the outliers of two arbitrary data points, and two other nonsense data points, are just some kind of weird asian fetish......

 

Oh well, at least I have a book, have 2 more on the way plus enough like the book so that my publisher is smiling and I get regular checks and since you mentioned it - you have to admit it does have a cool cover.

 

Could we see a reference to your book? Or your name or any credible anything you have ever done? I doubt it.

 

As to "these morons," we disagree. Maybe somewhat un-schooled in the more state of the art methods and technologies, but not morons or they wouldn't be here trying to learn.

 

As to the Asian crack - that's all yours.

 

[donaldkagan 10]

"Chaos" is a completely bogus concept...

.

 

Hi Nate, I'm curious as to what you mean by this statement. Are you playing with semantics? What would you call an exponentially increasing error rate in a deterministic system? Are you just critiquing the lay view of "chaos".

 

I'm quite familiar with Bayesian probability, etc. And although I do have a few colleagues who are antagonistic academics within the real of physics, I have never heard someone claim that chaos is bogus. Have you any links to elucidatory papers on this topic? Perhaps you are a PhD and have been published re: "Chaos is bogus"?

I have searched Applied Physics Letters and although there are many papers dealing with chaos, I have not been able to find anything claiming it to be bogus.

 

If I sound glib I do apologize, it's just that I am fascinated by bold propositions, which if accurate would change how I understand the world.

Thanks for your time,

 

DK

Edited March 24, 2010 by donaldkagan

[UrmaBlume 10]

Hi Nate, I'm curious as to what you mean by this statement. Are you playing with semantics? What would you call an exponentially increasing error rate in a deterministic system? Are you just critiquing the lay view of "chaos".

 

I'm quite familiar with Bayesian probability, etc. And although I do have a few colleagues who are antagonistic academics within the real of physics, I have never heard someone claim that chaos is bogus. Have you any links to elucidatory papers on this topic? Perhaps you are a PhD and have been published re: "Chaos is bogus"?

I have searched Applied Physics Letters but have been unable to find anything.

 

If I sound glib I do apologize, it's just that I am fascinated by bold propositions, which if accurate would change how I understand the world.

Thanks for your time,

 

DK

 

Donald,

 

How well done and what elegant understatement, cheers.

 

Also congratulations on where you live. I love Vancouver, think it is the best city in North America, one of the world's most beautiful ports and in the old days I even worked a couple of IPO's on the old VSE.

 

As to Nate, from his join date, tone, style and lack of depth I think I recognize him as an old shoe with a new username.

 

Anyway, again, welcome aboard and thanks for the benefit we can all get from your experience, understanding and even-tempered rationale.

 

cheers

 

UB

[james_gsx 16]

Then its some physist talking down to you because he doesn't think he can communicate what he knows to you. "Chaos" is a completely bogus concept...

There is bayesian probability vs stochastic process...some would argue stochastic process itself is "make believe" and simply a subset of bayesian probability....i'm not quite to that level of bayesian religion, yet....

 

You are quite right, and I don't blame him. His knowledge of math and physics is far superior to mine. I was also with 10 other students, so I would expect him to dumb it down for us

 

I remember you talking about bayesian probability a long time ago, and I must admit that's what sparked my interest.

 

Nice to see you back Nate, but I will be fairly surprised to see you stick around for long. But don't be afraid to share some of your knowledge.

[BlowFish 10]

it's just that I am fascinated by bold propositions,

 

DK

 

You will find plenty of those round here! You'll find quite a few baseless ones too (not that I am suggesting nates is). Fortunately it's a pretty good natured community and people don't get too bent out of shape if you challenge them.

 

Edit: Maybe I should add there are odd pearls scattered around too.

Edited March 25, 2010 by BlowFish

[FulcrumTrader 10]

TS with nice timestamps if true is great...amazing actually...I had assumed they were not just watching Ninja walk all over them then **** up this bad without a response...

good stuff..

Yes TS is FINALLY going to get their data feed set up for proper and efficient BID/ASK differential tracking, since they have been overwhelmed with continual requests to have at least basic Cumulative Delta volume studies......looks like July at the earliest from what I was told 2 months ago.

 

Also, TradeVec platform/charting is setting up their connectivity at this time for DTN.IQ feeds (basic & NXCORE) and I am currently beta testing all the Cumulative Delta tools they have built up per my requests. TradeVec will be a very good simplistic platform/charting option already set up for multiple data feed capabilities with algorithmic functionality. Paul who is a friend of mine from Vcap Futures has been working with the TradeVec team helping them to add features beneficial to traders for more sophisticated type operations, without having to build out custom software apps. TradeVec - Algorithmic Trading Platform | vCapFutures.com

 

I myself will be transferring over all my automated "Accordion" trade entry/management set ups to the TradeVec platform in the months ahead (both directional and hedged systems). Heck, even Mark Brown ( Welcome to Mark Brown ) who is a known fully automated trader for many years is using TradeVec now....... TradeVec

 

Futures Arbitrage or related systems are DEFINITELY in the grasp of retail traders these days without the need of 6 figure system build outs, the game is changing very fast imo........COOL!

[FulcrumTrader 10]

Fortunately it's a pretty good natured community and people don't get too bent out of shape if you challenge them.

 

Edit: Maybe I should add there are odd pearls scattered around too.

I have to agree with you.....the TL forum and even this thread have been VERY CIVIL imo over what you would typically find at elitefader. :rofl: If a supposed professional trader gets their cage rattled by a poster from a trading forum, then what the heck are they going to do when their 1 lot is two ticks against them in the real world.....LOL!!! :rofl:

[BlowFish 10]

Have tradestation made an official announcement? Reason I ask is that I am in discussion with TSSupport (Multicharts) about these things and it might motivate them to make planned changes sooner rather than later.

 

Does TradeVec have VWAP an weighted SD bands around it? Better still a scripting language to implements such stuff. Couldn't see anything on their site about it.

 

Will you be able to buy an outright license? Usually prefer that approach to leasing especially if there are deals for grandfathering in

[FulcrumTrader 10]

Have tradestation made an official announcement? Reason I ask is that I am in discussion with TSSupport (Multicharts) about these things and it might motivate them to make planned changes sooner rather than later.

 

Does TradeVec have VWAP an weighted SD bands around it? Better still a scripting language to implements such stuff. Couldn't see anything on their site about it.

 

Will you be able to buy an outright license? Usually prefer that approach to leasing especially if there are deals for grandfathering in

TS has not made any official announcement yet on upcoming potential changes by summer.

 

TradeVec already has VWAP and they are adding SD bands. The platform is C++ and they will be activating the ability for custom work within the platform soon (few months away). They have the first 100 clients through Vcap Futures getting $47 per month instead of $97 per month lifetime and I will check into a lifetime license option for you.

[TradeRunner 10]

Hi Urma

 

I saw the latest xkcd cartoon and couldn't help thinking of you:

 

 

TradeRunner

[BlowFish 10]

TS has not made any official announcement yet on upcoming potential changes by summer.

 

TradeVec already has VWAP and they are adding SD bands. The platform is C++ and they will be activating the ability for custom work within the platform soon (few months away). They have the first 100 clients through Vcap Futures getting $47 per month instead of $97 per month lifetime and I will check into a lifetime license option for you.

 

Appreciate it. Thanks.

[FulcrumTrader 10]

Appreciate it. Thanks.

 

Info I found out for you - TradeVec is Dot Net based and they will release the beta API this week. Also, their VWAP with deviation bands is already built for release in their next minor update.

[become 10]

Info I found out for you - TradeVec is Dot Net based and they will release the beta API this week. Also, their VWAP with deviation bands is already built for release in their next minor update.

 

Seems a very interesting project, if we'll be able to code in .Net. Will they also have millisecond timestamps for those UrmaBlumish calculations? Better yet, could you provide contact information for someone who could answer questions directly?

[FulcrumTrader 10]

Seems a very interesting project, if we'll be able to code in .Net. Will they also have millisecond timestamps for those UrmaBlumish calculations? Better yet, could you provide contact information for someone who could answer questions directly?

 

Yes as stated before, Paul at Vcap Futures is working directly with TradeVec to help them add various features so he is a perfect contact ( TradeVec - Algorithmic Trading Platform | vCapFutures.com )..... pwilson@vcap.com

[BlowFish 10]

Info I found out for you - TradeVec is Dot Net based and they will release the beta API this week. Also, their VWAP with deviation bands is already built for release in their next minor update.

 

Cheers....very tempted to take a look, I probably will when the next beta is released. I am a .NET sceptic I'm afraid I am pretty sure that ,NET garbage collection is why NT hiccups now and then. Still that's a whole other story.

[maxima 10]

I am a .NET sceptic I'm afraid I am pretty sure that ,NET garbage collection is why NT hiccups now and then.

This reminiscent me an old joke.

 

Isaak - I dont like Schubert

Abraham - Why? Where did you listen to Schubert?

I - Aaron whistled me it over the phone, just yesterday...

[BlowFish 10]

This reminiscent me an old joke.

 

Isaak - I dont like Schubert

Abraham - Why? Where did you listen to Schubert?

I - Aaron whistled me it over the phone, just yesterday...

 

hehe.

 

Some of the 'issues' with .net are well documented I wonder how many programmers are aware of them let alone capable of circumnavigating them? Not Ninjas it would seem You also have to wonder about undocumented 'issues' too.

 

When it comes to coding I am old school - write everything yourself then you know exactly how it works.

[maxima 10]

I hate programming debates. but just to let you know - it works. in large real-time projects like trading platforms for real banks.

 

ninja is not that bad either. if you try and make same application as Ninja using C++ you will need x2 time and x4 money for high level C++ devs and the interface will be ugly and every upgrade/fix will cost you x4...

 

Also there are much less really skilled C++ people on the market who can do the job. so your chances to hire morons skilled in taking through the interview process is very high. so basically C++ project like this would never happen because it will collapse in the middle.

 

HTH

[BlowFish 10]

I am not gonna disagree with you and I could only debate from the perspective of an old dinosaur anyway Sure it works but the problems with data disposal and garbage collection are well documented. As I won't disagree I'll have a ramble instead:D Incidentally using a pre-emptive multitasking OS for a real 'real time' project is perhaps not the best approach. Sure it is possible to throw computing power at it but in my book unless you can meet processing deadlines deterministically its not really 'real time'. Like I said ....old real time dinosaur here .

 

In a previous life (many years ago) I was a software engineer most things where essentially the same then as they are now. (I supose OOP is new but good programmers where using OOP type approaches way before it was formalised) Anyway two or three good guys will always achieve in a year what team of a hundred average guys will never achieve....ever. Even if writing to the metal (which was frequently done to ensure performance).

 

Anyway getting vaguely back on topic, the architecture of NT leaves much to be desired and sadly (I rather like some aspects of it) until stuff gets fixed (not likely before 7.5) I don't suppose I will use it for anything 'hardcore'. Ninja is pretty, I like the chart trader and it's order management stuff however, compare it to say....Neoticker which is not pretty but fairly hardcore (handles lots of data robustly and efficiently). Horses for courses I guess but I wish Ninja was a bit more 'hardcore' but it good as far as it goes.

[AgeKay 10]

BlowFish, thanks for your compliment earlier. I wasn't aware that UrmaBlume still posts here and I am actually surprised after all the criticism he always receives. I am actually on UrmaBlume's side.

 

Call it what you want (indicators, methodologies, charts, math, quant models), in trading it all comes down to the information that you base your decisions on and you won't be able to tell which information is more useful unless you've looked at all the different information or ways to visualize it. I think I am qualified to give an opinion on what kind of information is more valuable than others as I've gone from learning all the indicators and methodologies (the one's that UrmaBlume criticises) to creating fully automated trading systems based on that, then went 100% discretionary, then to something in-between, then spent years coming up with different ways to process data (similar to what UrmaBlume presents) which then turned into custom developed visualizations and charts that are unlike anything you can find in the public all the while thinking I knew what I was talking about, but the fact is that I was wrong (consider 99% of my posts wrong and outdated except the very recent ones). Sure I had successes which I attributed to the method I applied at the time, but I later realized that it wasn't the method but things I acted upon subconsciously from looking at the market for some time. That led me to discard almost everything I had believed about the market and used for trading and ended up using the DOM only with the support of some of my custom developed charts which was a huge epiphany to me as to what really moves the markets.

 

I think I've done more work on everything and changed beliefs more often than most traders. I think the reason UrmaBlue gets so much criticism is because he is challenging our beliefs and whenever that happens it gets emotional (I think I've read someone mention Hitler earlier in this thread?) because changing belief ultimately means that you have to admit that you wasted time on your old belief and everyone hates to admit that they have wasted time holding on to a wrong belief. I do too, but the fact is I've wasted most of my time with regards to trading research and until one realizes that, one will just keep wasting more time.

 

Sorry, for the huge prelude, I just wanted you to know where I am coming from and the reason I am making this post here is that I think that UrmaBlume does an incredible service to the trading community. Almost everything you find on this forum and other trading forums has been talked about before and you have to agree that there are almost no original ideas. This is the reason why I don't even read any trading forums (or book for that matter) anymore, the only threads I participate in are those that I had subscribed to earlier and where I get update notifications. I've read all the earlier threads by UrmaBlume because he was the only one who posted something really original and innovative, but I had forgotten all about him until yesterday where I had another epiphany while looking at the DOM. You know, when you look at the DOM, you see everything, every trade and every order book change. And I saw this one "thing" happening over and over again. I noticed that my best exits were based on it (they were simply perfect) and I always wished that I had not only exited by reversed my position because it always turned out to be the exact local top or bottom. Then I remembered this fortunate time when I had no losing trades for 6 days in a row (and I trade intraday) and yesterday I realized that I had based all my trades on the exact same "thing". Well, this "thing" I am talking about is exactly what UrmaBlume calls ''trade intensity". I have a different explanation for why he sees these spikes, but fact is we do mean the same thing and it's definitely done by computers that have a very good reason to enter there. Most of the time, it doesn't even go 1 tick against them and in the market I trade it's good for 9-10 ticks which is pretty big in that market. I've spent the afternoon looking for this "thing" yesterday and I called almost every top and bottom to the tick even though we had these crazy news about greece. It requires very high concentration which I won't be able to sustain for a long period of time so I am working now on incorporating the detection of that "thing" that into my software.

 

Anyway, he's definitely got useful information to share. And if you disagree, that just means that you're still on a different path (as I was) and you might or might not get there, but if you do, you'll see why all the retail software is total crap and that people like UrmaBlume do have an edge.

 

Btw: I know nothing about quant trading and my math skills don't go beyond basic statistics so that stuff definitely goes way above my head and I can't really comment on the validity of that stuff. But I doubt people would put put so much money and resources into it if it wasn't giving them a good return.

[AgeKay 10]

I am a .NET sceptic I'm afraid I am pretty sure that ,NET garbage collection is why NT hiccups now and then. Still that's a whole other story.

 

I've used .NET almost exclusively since 2003 and NT's hiccups have nothing to do with .NET. The developer of NT have just haven't done a good job. That this thing even works is probably due to .NET, I can't imagine these guys having developed it with something like C++ because then nothing would work. Nevermind that they don't even understand how orders are matched on most exchanges.

 

Some of the 'issues' with .net are well documented I wonder how many programmers are aware of them let alone capable of circumnavigating them?

 

I'd like to see that documentation. But you always have to know your tools no matter what technology or language you use. All myths aside, managed languages like C# are in fact faster than unmanaged languages like C++ in most real world applications because the runtime knows the system its running on (where it can do system specific optimizations) and it knows the resources available on the system. Especially in trading applications where processing isn't constant but dependent on the amount of data at that time, it can be much faster because the garbage collector can suspend the freeing of memory in favor of processing the data faster during peaks of data and then when it notices that the CPU isn't used that much, it will free the memory, thus not affecting the processing.

 

Common problems like memory leaks are almost impossible in .NET unless you really don't know anything about it.

 

You'd think that the largest software manufacturer in the world knows what they are doing when there are putting so much money and so many resources behind. I mean, even Visual Studio 2010 is a complete rewrite in .NET. This is probably the second largest and one of the oldest code bases after the Windows operating systems from Microsoft. They wouldn't do that lightly.

 

Anyway two or three good guys will always achieve in a year what team of a hundred average guys will never achieve....ever. Even if writing to the metal (which was frequently done to ensure performance).

 

Agree and I've also noticed that performance (as in how quickly your app executes) almost never comes down to the language but the developer. A good developer can always write faster code in a slower language than a worse developer in a faster language.

 

I hate programming debates. but just to let you know - it works. in large real-time projects like trading platforms for real banks.

 

ninja is not that bad either. if you try and make same application as Ninja using C++ you will need x2 time and x4 money for high level C++ devs and the interface will be ugly and every upgrade/fix will cost you x4...

 

Also there are much less really skilled C++ people on the market who can do the job. so your chances to hire morons skilled in taking through the interview process is very high. so basically C++ project like this would never happen because it will collapse in the middle.

 

Totally agree. But I'd say 10x the time and money with C++ compared to .NET. I can write a complete new custom chart that you have never seen before in 3 hours. And most of that time I spend making it pretty.

[DugDug 10]

Hi AgeKey - nice post, and (when I use I in this post I think it also means "many others on TL" as well) I agree with what you are saying. I actually criticized UB - not for his system or skills, but for his attitude to everyone. UB clearly has good points and it works for him, but telling people they are idiots for things that dont work is actually not helpful, if for many people they do work.

TL does a great job of providing info across a broad spectrum of ideas, methods, strategies. Thats its beauty. While it could be argued that new ways of doing things are great, and that for some they believe themselves to be pointing out the emperors new clothes and telling people that they are wrong, the other side to this is that when new ideas come along and people claim this is the new economy they throw out the basics of what may actually work. (remember LTCM, CDOs, internet bubble)

There are always two sides to every argument.

The point is that be it the internet or face to face, for a full and frank discussion it requires all parties to want to participate in a constructive, non judgmental way (yes you can say you dont believe something but to say others who do believe are idiots means that you are wasting everyones time in the discussion. (think of some discussions between atheists and creationists as an extreme example).

No one is beyond learning something knew and being reminded that there are sometimes more than one way of doing things.