i am sharing it jnowing that there is not infinite volume on its trades and that I am giving up my own profits. but i believe the free market with knowledge and sharing by humans who can pit machine vs machine will make sure the market stays in a better equilibrium. so i will share it.
RTM = revert to mean It looks like your screen capture took place not during the RTH. Either way, as stated a simple buy/sell limit (x)ticks or std dev from the mean as an entrance and the mean (perhaps an MA) as the target. You would need a much larger data set than 5 to figure out if there was any order to the price spikes.
I appreciate your answer and actually the data set wouldn't be as large as you think. If you were to sit back and take a guess as to which marekt this is from common sense then how would go about doing that? I am being serious not playing games.. feel free to pose a question and your answer adn i will eb honest adn let's see if you can figure out where this came from on your own with a little help from me. only if you want too..
when you say RTH are you referring to Regular trading hours? if yes.. then this pattern shows up in regular trading hours in a lot of different stocks and commodities. it also has different volumes and times; however, i hve narrowed it down already to a specific subset of areas to focus that ALWAYS casuses this algo to fire.. adn that is the knowledge that took me a long time to figure out, but sometimes, it shows up and other times it doesn't.
I have a question for you about this pattern if you have the time. I will give 2 examples of this algo.. example 1. algo fires up first and then later fires down. example 2. algo fires down first and then later fires up.. THE ALGO in both examples always .. starts then it fires and goes up but will end up where it started within that bar. or if it fires down to start.. it will take the market lower.. and then back up to where it started in the same bar. The next time the ALGO fires it does the same exact thing but in the opposite direction. so if example1.. it fires up and then ends up where it started.. then the next firing off would be down.. so here is a price example let's say in corn corn is trading a 3.02 on the screen and let's say it is example 1.. so algo fires up .. then it fires down a few bars later. mkt trading 3.02.. algo is "turned on" so then a bunch of buys come in like 4-10X the usual volume and spieks corn..3.03 3.04 3.05 3.06 then 3.05 3.04 3.03 and back to 3.03 all within the same bar.. okay.. now some time goes by.. and boom the algo fires downward.. mkt was at 3.00 even and algo second half of it fires down.. 2.99 2.98 2.97 2.96 2.97 2.98 2.99 3.00 all of this in the same bar. HERE IS MY QUESTION.. 1. what or how is this algo profitting in your opinion? is making money on the upward bar as it goes up and down to where it started? and same with teh down firing? 2. Or is somehow selling on teh upward bar..somehow in the hft world is it passive selling to buyers and then in the socnd half.. Buying passively to all the sellers.. so this algo is actually capturing (selling) from the up ward bar .. and (buying) passively from the downward bar.. to capture or profit from the large spread for the high bar to the low bar? In my corn example.. the high bar to the low bar ranges from 3.06 to 2.96 which is the highest range= 10 cents.. which in futures is equal to $ 500 dollars. the lowest range high to low is 3.02 to 3.00 which is a range of 2 cents which equals $ 100.. rememebr the opposite side of these trades is passive and hft algo.. so teh buys that got filled had matching sells.. those matching sells only make money if they can match on downticks to buy at a lower price.. thus.. the next half of the algo that fires down. is somehow makign sure it can passively be onthe buying side as sellers come in to offest the huge volume it jsut bought a coupe bars before. They not necessarily trying to pick up just the spread and this case and this causes serious problems in market structure and equilibrium but I digress. anyway back to this example. What do yu think is going on?
exactly..you drill down to the smallest granularity where they can only hide within 1 second. they show up like an algo parade on display.they cant hide even at 1 second you can spot