Recent Content by jelite

  1. Databento launches real-time CME data

    Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids...
    Post by: jelite, May 7, 2023 in forum: Announcements

  2. How much do you aspire to make per year trading

    So that would be about 15-20 points per contract, which would be amazing relative to the daily range. Probably better to discuss what % of daily...
    Post by: jelite, May 31, 2022 in forum: Psychology

  3. what is the maximum mathematically possible daily profit

    Olsen’s papers on empirical scaling laws in high frequency fax data is a good read on this topic. The length of the price ‘coastline’ is estimated...
    Post by: jelite, Apr 5, 2022 in forum: Trading

  4. One Single "Tie-Breaker" Metric

    Are you restricted to picking only one or can you allocate X% of risk to first and 1-X to second?
    Post by: jelite, Apr 28, 2021 in forum: Strategy Building

  5. EMini Tickdata and the effect on orders

    DTN is decent in my experience, checked it to cme datamine on a specific occasion and it matched precisely on millions of ticks. But you would...
    Post by: jelite, Jan 7, 2021 in forum: Order Execution

  6. EMini Tickdata and the effect on orders

    Are you using your own tick-data for the backtest? Or did you get it in a package from a vendor? ES has millions of data points (~10MM) every day,...
    Post by: jelite, Jan 6, 2021 in forum: Order Execution

  7. Order book tick data

    Nanex (if it still exists) sells historical 'tapes'-full order book data for US futures (I think they also do options). Their quality should be...
    Post by: jelite, Oct 29, 2018 in forum: Automated Trading

  8. CME security tick sizes history

    I only need this back to 2011.
    Post by: jelite, May 3, 2018 in forum: Data Sets and Feeds

  9. CME security tick sizes history

    Is there a simple way to find changes in tick sizes (minimum price increment) of liquid US futures traded on CME? I would look for dates on which...
    Thread by: jelite, May 2, 2018, 2 replies, in forum: Data Sets and Feeds

  10. Time and Sales/Trade Aggregation Question

    It's really trivial if you put some work in it. First you need to start with the understanding of how cme matching algorithm works and how things...
    Post by: jelite, Dec 10, 2017 in forum: Data Sets and Feeds

  11. Manual tape reading & DOM in an algo age

    Everybody calls 'manual' something different. In futures properly reading 'DOM/tape' with a 'helper' software but still manually is helpful....
    Post by: jelite, Nov 20, 2017 in forum: Trading

  12. Statistical R and S LEVELS for ES and CL

    So support/resistance are 1(2) tick(s) from low/high for CL(ES)? How statistically significant is that? Or do they vary day by day?
    Post by: jelite, Nov 13, 2017 in forum: Journals

  13. Is Daytrading difficult or impossible ?

    The actual question of daytrading being difficult or impossible has a clear answer and therefore is not that interesting. Therefore I find it more...
    Post by: jelite, Jul 16, 2017 in forum: Trading

  14. 100 % wins over 240 days

    Try talking to DOM993, I think he developed infrastructure for NT with all sorts of redundancy (plus he is really a good guy-just talk to him).
    Post by: jelite, Mar 12, 2016 in forum: Automated Trading