Futures Arbitrage

[BlowFish 10]

BlowFish,

 

....snip....

 

UB thanks for not taking offence. I am some what relieved if truth be known, rather too frequently I look at my posts and wonder if I am simply being argumentative and petty.

 

If the number of private messages I get about your indicators is anything to go by you have certainly been successful in startling a few Lets hope you have woken a couple of slumbering (potential) giants.

[UrmaBlume 10]

Lesser known but with a bit more content is

 

Nuclear Phynance

 

But don't expect anything but utter contempt if you don't speak their language and don't ever expect any specific useable technical information.

[UrmaBlume 10]

Urma I find everything you are saying interesting and agree with most of it, and believe that computers can definitely help us with clearer visualisation- however I guess the feeling that gets evoked from people via a few of your posts is "Sure I am happy to discuss things, but I just dont feel like being told I am a fool for my previous beliefs, ideas or for the previous tools I used because that was what was available, and if I continue to use them even if profitable I am a fool"...the first response will be emotional not rational.

(whats the old joke of NASA spending millions to design a pen to be able to write in space, when the Russians say we just use a pencil")

 

Maybe we need to use those computers to help us interact with other humans in a better way.

Startling people and telling them they are mentally infirmed or criticism just does not work.

(I know as sometimes I am guilty of it)

(Dale Carnegie "how to win friends and influence people" Chapter one - Principle one - Dont criticise, condemn or complain.)

So on that same point I should just shut up now.

 

Startling people and telling them they are mentally infirmed or criticism just does not work.

(I know as sometimes I am guilty of it)

 

It completely works for me, I use it as a filter. The real ones and the smart ones know the difference between value and buschwa.

 

(Dale Carnegie "how to win friends and influence people" Chapter one - Principle one - Dont criticise, condemn or complain.)

So on that same point I should just shut up now

 

People I know and whose friendship I value think that Dale Carnegie is for those to whom the lowest common denominator is an UpTick.

 

The most, the best, the smartest and the highest value is never available to the 90%. That's part of what makes it the most, the best, the smartest and the highest value.

 

UrmaBlume

Edited March 18, 2010 by UrmaBlume

[DugDug 10]

thats why I suggested the lowest common denominator book possible- you need the help.

Generally the smartest people in the room are the ones who actually know they dont know everything and are not the best and the smartest at everything.... the others are just boring arrogant sh..theads.

[james_gsx 16]

thats why I suggested the lowest common denominator book possible- you need the help.

Generally the smartest people in the room are the ones who actually know they dont know everything and are not the best and the smartest at everything.... the others are just boring arrogant sh..theads.

 

I know very well what I don't know, but I am definitely not the smartest person in the room

 

... except maybe some of my classes - specifically my economics class :crap: What a waste of time.

 

I'm going off topic again, sorry about that.

[thalestrader 14]

...People I know and whose friendship I value think that Dale Carnegie is for those to whom the lowest common denominator is an Up Tick...

 

UrmaBlume

 

I tried to pass this by, but the irony is too much too bear in silence. Those who truly are among those dwelling knowingly in ignorance, for example, my friend Dug Dug, understand this intuitively.

 

Best Wishes,

 

Thales

[MidKnight 12]

As an example of the application of intelligent agents to processed market data the shot below is of the last 30 minutes of trade in today's ES. Times are PST.

 

The bars are 2k volume bars. Each bar represents about one thousandth of average session volume. This makes them about 24 second bars.

 

This is an application that we use to teach "scalping with an edge."

 

The color of the bar represents the dominant bias in that particular time/volume frame. In the chart below you will see gray bars (no dominant bias), red bars (sell bias) and blue bars (buy bias).

 

The blue and red + is a recommended entry price. The small red dot is the recommended stop and the blue a good point to scalp. These are what we call TradePoints. The text defines those points for the current bar. Both the text and the TradePoint dots are automatically posted at the first tick of the bar and updated every tick. The second chart down shows a no trade recommendation.

 

The middle sub-graph shows a calculation of net new trade by commercials over a multi-session time frame.

 

The bottom sub-graph shows a collection of weighted biases from 7 different time frames. The yellow is cautionary, the red - sell bias and the blue - buy bias.

 

 

 

 

Hiya UB,

 

I have always liked your posts and thoughts in them but it just occurred to me. If you really want to turn peoples heads on this stuff and challenge their beliefs, why not actually present them as a quantitative case showing that it is actually an edge? You don't have to do it with your stuff, or anything you value. I am just getting at the actual exploration of an idea from a quantitative standpoint would be far far far more beneficial and thought provoking than posting your charts and describing what is plotted on it. You see what I'm saying? Your chart posts are really not much different than looking at any 'old school' indicator that fits the current data shown.

 

No offense intended,

MK

[Kiwi 16]

Correct MK.

 

UB comes across as another indicator seller. He even uses an old sales technique implying that the clothes are too good for his audience. And yet he never gives real time examples. Or any other way of verifying them. And he has a secret cabal of the cognoscenti who visit here, read the posts, and quietly laugh before going back to the secret chocolate factory.

 

An alternative view might be that he's a condescending old bore living in a fantasy world and trying to ameliorate his boredom here.

 

Surely that couldn't be true. I'm certain that hes a warm wonderful human being who's just sharing with us poor folk.

 

[james_gsx 16]

Correct MK.

 

And yet he never gives real time examples. Or any other way of verifying them. And he has a secret cabal of the cognoscenti who visit here, read the posts, and quietly laugh before going back to the secret chocolate factory.

 

 

I don't want to come across as defending anyone, but I do have a legitimate question. How would you give a real time example on a forum for a trade that could take 10 seconds?

 

I have personally given plenty of real time examples, winners and losers. But if I were to show others my high frequency trading setup, would I be doubted for not posting real time examples? Even if those trades took less than one second?

[UrmaBlume 10]

UB thanks for not taking offence. I am some what relieved if truth be known, rather too frequently I look at my posts and wonder if I am simply being argumentative and petty.

 

If the number of private messages I get about your indicators is anything to go by you have certainly been successful in startling a few Lets hope you have woken a couple of slumbering (potential) giants.

 

NP BlowFish, I always appreciate what you have to say and how well you say it.

 

I too have received many dozens of PMs on these indicators and charts and the only negative PMs I have received have come after I either refused to sell them or refused to give someone the code to them.

 

All of my charts and indicators are my and my developers' own original work and it is interesting to me that well over 95% of the posts here are about someone's opinion of someone else's work or someone's application of someone else's work. I find the biggest complainers are the ones least likely to originate anything.

 

It constantly amazes me how much some get from my posts and graphs and at the same time how little some others can see in those very same charts.

 

I also find it interesting how quickly those that have no technical point can get so personal and so petty. Oh well that's what makes it a market. We are delighted with our work and with the people we have taken on from this forum and find that our filters work just fine.

 

Information = Equity

 

 

Cheers

 

UB

Edited March 19, 2010 by UrmaBlume

[Kiwi 16]

Correct MK.

 

UB comes across as another indicator seller. He even uses an old sales technique implying that the clothes are too good for his audience. And yet he never gives real time examples. Or any other way of verifying them. And he has a secret cabal of the cognoscenti who visit here, read the posts, and quietly laugh before going back to the secret chocolate factory.

 

An alternative view might be that he's a condescending old bore living in a fantasy world and trying to ameliorate his boredom here.

 

Surely that couldn't be true. I'm certain that hes a warm wonderful human being who's just sharing with us poor folk.

 

 

 

You are right James, asking for real time is asking too much.

 

It was unfair and I should give UB some credit for the entertainment value. I liked his bunch of secret quants who come here, browse, never post and then go back to the magic cave to work for him.

[zdo 20]

I haven’t been following these cutting edge (Volume Splitter, etc.) threads closely or lately… so if I’ve totally missed something along the way, please forgive me…

 

Being your typical online ahole, I can easily find ways to agree with all of UB’s detractors. His online personality, his agenda, whatever. Nevertheless, I’m glad he’s around. If nothing else, his posts catalyzed me to finish an indicator that I’d been monkeying around with for some time to visually represent transaction / order / etc flow. (see attached jpg. note: this in the moment sample was actually not a very good example AND timeframe, market, indicator name, even some colors, and all the other complementing / synergistic indicators for this method not shown for proprietary reasons)

 

If my two stacks (grey and colored) were summed / combined it would come close to being similar to the spikes on UB’s screenshots. I kept them separate because sometimes they diverge in sign (unfortunately no examples happen to be on the attached shot, but it would appear with the grey stacking on one side and the colors on the other, etc and that provides very useful / tradable information for me personally). Haven’t checked to see if his spikes consistently lead mine in time either – don’t care. I don’t trade just the spikes themselves. I look for ‘tells’ before / at the beginning of spikes, etc. (actually several other patterns in non spike areas are just as good for me as nailing spikes… generally it’s evolving to have more and more value in exits / scaling out of some systems in addition to its value in entry work )

 

I haven’t explored how UB’s indicator (like in http://www.traderslaboratory.com/forums/f208/futures-arbitrage-7639.html post # 6) goes so flat in the areas away from the spikes, but I suspect his algo’s amplify the effects of size while mine includes size but applies different wrinkles…but really don’t know… don’t really care ( lump me in with the archaic dummies I guess)

 

Unless I were to start snagging programmatic access to the actual TimeAndSales data in TradeStation feeds, I really won’t be putting much more energy into this. Don’t know what tricks he’s doing with TS datafeed, but my assessment right now is that TS data sure seems less than adequate in quality for this type of work…

 

I’m not quite getting how all this stuff is so cutting edge and how realtime bar (and bar - like) charts are archaic. You can’t exactly HF surf the ripples on a fast bar chart (with a high enough hit rate, at least), but you can learn to surf the waves… and I can’t imagine HFT making the waves go away (and killing itself in the process)… Just saying …

 

All that said - thanks UB.

[waveslider 10]

FWIW, here's my idea of the best method of futures arbitrage - - (the original topic of the thread - now my post appears off topic)

 

Get a room full of beginning traders, give them some stochastics and MACD and do the exact opposite of what they do.

If 90% of traders go broke, then that should be a slam dunk.

 

My real point should be that making $ in the markets doesn't need to be rocket science, it just takes thinking creatively.

 

Strategies with only a few lines of code can make $, and if they do, who is to say that they are "for fools". If I get laughed out of the room (cave) by the secret quants, who cares? Still made $.

 

My message is that newbies, don't get to discouraged or intimidated by the quants. You can do it if you are dedicated and creative.

[Cory2679 11]

Get a room full of beginning traders, give them some stochastics and MACD and do the exact opposite of what they do.

If 90% of traders go broke, then that should be a slam dunk.

 

Hence, the "bucket shop"...or typical modern spot forex broker!

[UrmaBlume 10]

FWIW, here's my idea of the best method of futures arbitrage - - (the original topic of the thread - now my post appears off topic)

 

Get a room full of beginning traders, give them some stochastics and MACD and do the exact opposite of what they do.

If 90% of traders go broke, then that should be a slam dunk.

 

My real point should be that making $ in the markets doesn't need to be rocket science, it just takes thinking creatively.

 

Strategies with only a few lines of code can make $, and if they do, who is to say that they are "for fools". If I get laughed out of the room (cave) by the secret quants, who cares? Still made $.

 

My message is that newbies, don't get to discouraged or intimidated by the quants. You can do it if you are dedicated and creative.

 

Very good waveslider. I completely agree with all of it.

 

Maybe you are right, lol, maybe I have been spending too much time trying to track commercial speculative trading when fading the public might just be the answer. Arbs world-wide will be PMing you for formulae.

 

You are again correct when you speak of the value of creativity when it comes to making money in the markets.

 

Nobody I know, quants or otherwise, laughs at anybody who consistently profits in these markets. They do chuckle sometimes at some obvious loser who is trumpeting candlesticks in a neural network world.

 

I certainly, and maybe more than most, salute those who are able to use less than optimal methods and concepts to overcome retail brokerage fees and still consistently take money from today's markets.

 

All that said, the methods and concepts espoused in charts in real time, VSA, profiles, etc., are not state of the art and they are less than optimal for trading in any time frame and those that dispute that fact simply have never seen the inside workings of a real state-of-the-art quant-shop.

 

Of course smart, hard-working, beginners should not be intimidated by anything written or espoused by anyone, especially me. I applaud up and comers possesed with energy and a spark of creativity and actively seek them out for employment. I do, however, feel the coming pain for those who think reading 2 books and a week on this forum is all it takes to conquer the ES.

 

While odds of nineteen to 1 against are tough to overcome by anyone in any endeavor, I agree that creativity may be the single most important factor that separates the 5% or less that will taste success from the rest of the pack.

 

Well Said WaveSlider.

 

cheers

 

UB

[Kiwi 16]

FWIW, here's my idea of the best method of futures arbitrage - - (the original topic of the thread - now my post appears off topic)

 

Get a room full of beginning traders, give them some stochastics and MACD and do the exact opposite of what they do.

If 90% of traders go broke, then that should be a slam dunk.

 

My real point should be that making $ in the markets doesn't need to be rocket science, it just takes thinking creatively.

 

Strategies with only a few lines of code can make $, and if they do, who is to say that they are "for fools". If I get laughed out of the room (cave) by the secret quants, who cares? Still made $.

 

My message is that newbies, don't get to discouraged or intimidated by the quants. You can do it if you are dedicated and creative.

 

 

Actually, as amusing as this sort of proposal always is, and as amusing as it is that gururu agrees with it - these ideas actually don't work. Once you remove spread and execution costs from it the experiment falls into a financial hole. The only people who can make it work are on the other side of the equation in bucket shops and even they are careful about covering their risks.

 

The issue with newbies isn't stochs or macds or urmablumesuperindicators: it's that the rest of their trading isn't up to scratch. Otherwise all of the turtles would have been super winners and even Mike Covlll would be able to trade.

[maxima 10]

UB comes across as another indicator seller. He even uses an old sales technique implying that the clothes are too good for his audience.

I still have a hope that he is what he says. Looking for loose talents who hasnt realised their talents yet...

 

Like a sport team coach would watch a competition in some small remote Scottish village to find a gem. Polish and sell it x20

 

Seriously UB.. You talk too much.

 

If you want to find someone you should probably provoke intelligent talks. And not to pour your contempt and despair onto the heads of other people.

 

I am not with you neither I am with them so I dont care either way....

 

But look from the practical side on the problem... Imagine Hitler or someone with similar attitude to worthless bio-masses succeeded. And all those stupid retards were burned in furnace to produce fertilizers.... Now you are all circled with tall blond guys with nice muscles and all that clear thinking. Now imagine they all are know something about mean reversal, cointegration and all that sh*t... So where would be you then ? Somewhere in the middle .. Would you like so? Stay in a queue for a bowl of soup thinking of Wyckoff? Do you really want to?

 

Who would your brilliant quant strategies rob in that case?

 

You will not be able buy even a Tissot for your 60th birthday..Cmon take it easy

 

--------------------------

Anyway.. I wanted to ask you a question. You mentioned couple of times something what you generaically called more expensive datafeeds. Would you tell - have you tested feeds like CQG and NxCore and what are they like to each other?

 

I thought NxCore is kinda higher quality data feed but it looks like DTN but with better timesptamps... I know that CQG has better data feed than DTN IQ Feed... What about NxCore? Is it just a nice wrapper to IQ Feed with better productivity and more granular timestamps?

 

The other question - does CME provide same quality/quantity of real-time trades / quotes to all connected users or there are different tiers of data quality?

 

I mean - do DTN CQG and TT for instance have same input data on their servers as say Lehman or Merrill?

 

P.S. If you dont / cant share the information please ignore this message.

 

Edited March 20, 2010 by maxima

[Shell128 10]

This would be my first post on this forum. I have been watching UrmaBlume's posts over the past couple weeks and as an aspiring trader (honestly, I've never traded a single contract in my life), his posts have given me some good ideas. I can't claim that I will successfully trade any of his ideas, but I do find them interesting and creative. I am posting here because I certainly want UB to keep sharing his ideas. I have no idea what you mean when you advise him to "provoke intelligent talks". As far as I am concerned, he has posted some of the most thought-provoking ideas on here. I have partly implemented a trade intensity indicator and the intensity spikes do look promising although it's not fully developed yet -- needs more filtering. I have had a couple brief messages with him and both of his responses were encouraging without giving away anything proprietary. So UB, please keep posting, I'm listening and thankful that you are here. Also, you insult him a few times, ask him questions, and think he will answer you???

 

I still have a hope that he is what he says. Looking for loose talents who hasnt realised their talents yet...

 

Like a sport team coach would watch a competition in some small remote Scottish village to find a gem. Polish and sell it x20

 

Seriously UB.. You talk too much.

 

If you want to find someone you should probably provoke intelligent talks. And not to pour your contempt and despair onto the heads of other people.

 

I am not with you neither I am with them so I dont care either way....

 

But look from the practical side on the problem... Imagine Hitler or someone with similar attitude to worthless bio-masses succeeded. And all those stupid retards were burned in furnace to produce fertilizers.... Now you are all circled with tall blond guys with nice muscles and all that clear thinking. Now imagine they all are know something about mean reversal, cointegration and all that sh*t... So where would be you then ? Somewhere in the middle .. Would you like so? Stay in a queue for a bowl of soup thinking of Wyckoff? Do you really want to?

 

Who would your brilliant quant strategies rob in that case?

 

You will not be able buy even a Tissot for your 60th birthday..Cmon take it easy

 

--------------------------

Anyway.. I wanted to ask you a question. You mentioned couple of times something what you generaically called more expensive datafeeds. Would you tell - have you tested feeds like CQG and NxCore and what are they like to each other?

 

I thought NxCore is kinda higher quality data feed but it looks like DTN but with better timesptamps... I know that CQG has better data feed than DTN IQ Feed... What about NxCore? Is it just a nice wrapper to IQ Feed with better productivity and more granular timestamps?

 

The other question - does CME provide same quality/quantity of real-time trades / quotes to all connected users or there are different tiers of data quality?

 

I mean - do DTN CQG and TT for instance have same input data on their servers as say Lehman or Merrill?

 

P.S. If you dont / cant share the information please ignore this message.

 

[UrmaBlume 10]

I still have a hope that he is what he says. Looking for loose talents who hasnt realised their talents yet...

 

Like a sport team coach would watch a competition in some small remote Scottish village to find a gem. Polish and sell it x20

 

Seriously UB.. You talk too much.

 

If you want to find someone you should probably provoke intelligent talks. And not to pour your contempt and despair onto the heads of other people.

 

I am not with you neither I am with them so I dont care either way....

 

But look from the practical side on the problem... Imagine Hitler or someone with similar attitude to worthless bio-masses succeeded. And all those stupid retards were burned in furnace to produce fertilizers.... Now you are all circled with tall blond guys with nice muscles and all that clear thinking. Now imagine they all are know something about mean reversal, cointegration and all that sh*t... So where would be you then ? Somewhere in the middle .. Would you like so? Stay in a queue for a bowl of soup thinking of Wyckoff? Do you really want to?

 

Who would your brilliant quant strategies rob in that case?

 

You will not be able buy even a Tissot for your 60th birthday..Cmon take it easy

 

--------------------------

Anyway.. I wanted to ask you a question. You mentioned couple of times something what you generaically called more expensive datafeeds. Would you tell - have you tested feeds like CQG and NxCore and what are they like to each other?

 

I thought NxCore is kinda higher quality data feed but it looks like DTN but with better timesptamps... I know that CQG has better data feed than DTN IQ Feed... What about NxCore? Is it just a nice wrapper to IQ Feed with better productivity and more granular timestamps?

 

The other question - does CME provide same quality/quantity of real-time trades / quotes to all connected users or there are different tiers of data quality?

 

I mean - do DTN CQG and TT for instance have same input data on their servers as say Lehman or Merrill?

 

P.S. If you dont / cant share the information please ignore this message.

 

 

Gosh. Thanks. I have so been seeking your inputs.

 

As to my birthday - It was on 3/17 and was my 66th.

 

As to your post and your questions - Bite Me.

 

Maxima looks more like Minima to me.

 

Cheers

 

UrmaBlume

 

PS - I love London -the last time I did business in your city I stayed at Browns, I traded at the Jefferies Desk in Finsbury Circus, I drank at the Chelsea Arts Club and I gambled at the Palms. While some of them may not be today - they were quite suitable then.

Edited March 20, 2010 by UrmaBlume

[Kiwi 16]

Pretentious and prat go together so well don't they?

 

Like merchant and banker

 

Condescending and twxt?

 

 

Enough poetry ... he can't help himself creating an imaginary world where he lives above the plebs. An aristocrat of the industry. Worshiped by thousands. Wow. He's such a man.

 

 

 

Shell128,

 

The likes of this one don't go away. Well he left a couple of other boards where he was recognized for what he was and chased off. But we're just gently playing with him here so he'll stay here.

 

You will note however that everything he "offers" is a variation on the same stuff. Just an ego game at the expense of newbies.

[Kiwi 16]

Ahhh ,,, hes just a sad old man.

 

I should just let him alone to play his game. Enjoy yourself Urma. You aren't worth my time.

 

It's a live and let live site - if someone wants to believe in you, the mysteries and the promises, then who am I to protect them. They'll believe in The Secret so why should I try to stop people believing in the secret. It's the internet.

 

I declare myself off the Urma hunt. If there weren't fools out there then where would the money come from?

 

Have a very pleasant Saturday America and Europe :beer:

[maxima 10]

:cheers: . . . . . . . . . .

[maxima 10]

As to your post and your questions - Bite Me.

UB, I thought my post was neutral to you...

 

as to the question - I'll find answers sooner or later. I always do. I was trying to engage you in positive conversation away from the ET-like useless banter.. Guess who lost more.

[UrmaBlume 10]

......I certainly want UB to keep sharing his ideas. ,,,, As far as I am concerned, he has posted some of the most thought-provoking ideas on here. ..... I have partly implemented a trade intensity indicator and the intensity spikes do look promising although it's not fully developed yet -- needs more filtering. I have had a couple brief messages with him and both of his responses were encouraging without giving away anything proprietary. So UB, please keep posting, I'm listening and thankful that you are here. ........

 

 

Shell,

 

Thank you for the very kind words. I am delighted that so many dozens have found value in my posts. Sorry for my stalkers but that's the internet. One started out kind of neutral, then becam a hater, then apoligized and thanked me for my contribution and now is back to stalking. Though he has said he is done with it - I doubt it, kind of like a woman scorned.

 

Anyway, keep up with your work and your exploration. Keep it original, subject it to rigorous testing and don't take anybody's word for anything.

 

If you are interested in the practical application of intelligent/predictive agents, I will have a new thread up as soon as I get the rest of the text and charts together.

 

Good Luck and if I can be of help PM me again or Skype.

 

cheers

 

UB

Edited March 20, 2010 by UrmaBlume

[Shell128 10]

Shell128,

 

The likes of this one don't go away. Well he left a couple of other boards where he was recognized for what he was and chased off. But we're just gently playing with him here so he'll stay here.

 

You will note however that everything he "offers" is a variation on the same stuff. Just an ego game at the expense of newbies.

 

He has posted information that myself and others have found very helpful. Therefore, I appreciate his presence here and hope he continues his generosity by posting more material.

 

If you don't believe that topics such as these:

 

http://www.traderslaboratory.com/forums/f34/trade-flow-harmonic-trade-5288.html

http://www.traderslaboratory.com/forums/f34/measuring-pressure-6079.html

http://www.traderslaboratory.com/forums/f34/trade-intensity-5277.html

 

are useful, then please share with me some ideas from your trading system. I am always interested in learning better methods.

 

Thank UB for your support. I appreciate.