Discussion in 'Automated Trading' started by stock777, Nov 17, 2009.

  1. With all the bullshit that gets slung about hft, I don't recall ONE actual example of a trading system in print.

    I mean there are 10,000 regular trading systems out there, and no?? hft?

  2. Baywolf


    Did you read the famous NYT article on HFT?
  3. Here are 17 trades for tomorrow 18NOV09. If you fill in the SUB column you get to trade 51 times. If you make up a sub sub column and use the OTR chart you can trade over 150 times.

    Is that enough trades to qualify for HFT for tomorrow?

    All are reversal trades one after another. If you do partial fills spread them apart by 15 to 20 seconds and do about 5x the max blocks at the time of the trade. This will run you up to about 1,000 individual prints for the day.

    Usually, I fill in the bar numbers on a more detailed sheet where I fill in about 10 to 12 pages like this but with two to three more levels of detail.

    Have fun tomorrow. Some people may see this as 1,000 calls in advance and in order....... LOL....

    Seeing the FTT on bar 77 (Tuesday) cancelled afeter two FTT's in the am will be some fun moment for some of us. Put a horizontal line from bar 77 (properly gapped) so you can see it coming.

    watch out for those FOMC's if you don't check regularly...LOL..
  4. As noted the open was a short entry held to end of bar 1 (pt2) and reversed up long to top of bar 3 (pt3). From there running to the FTT took a while. reversing short @ pt3 meant holding for several bars. For me the VE let me know there would be two moves (M1 and M2) to clear on to the FTT. I sidelined for M1 and M2. and waited for the BBT 2 long to get under way going long.

    On the Cash cow the signals are lites (purple for short, green for long)

    See my notes for the calls made on pic 1 yesterday.
  5. things went smoothly this am heading into the lower pace market after bar 18.

    attached is the call sheet from yesterday all filled in into the present short BBT 3.

    We did not exceed the extreme values of the bar 77 gap adjusted nor the bar 19 extreme of the BBT 2 long FTT.

    So we can skip the cancel possibility and head down to BBT 3 short to bring into view the end of the short channel.

    This is probably why I did the posting since this is the first short channel ending after the failure of the Bull retrace of this Depressiion. See Trader666's commentary to the contrary.).

    Keep a horizontal line running from bar 19 topto see if the short BBT 3 can be cancelled by point 3 exceeding pt 1. when you are testing R of a market, you always have to be cognizant of the retest's possibilities as you trade the profit segments of the BBT's.
  6. market pace background.

    as it turns out the market moves at different paces during different parts of the day.

    We are in BBT 3 and he volume is beginning the thrird pace segment of the day. this means that there is little momentum and as a consequnce lesser volatility.

    Expect more internals and less translation.

    You will notice on the Cash Cow, this time of day the MACD and Slow Stoch go to neutral and the FAST stoch signals the moves on a sub BBT level. you will be trading these about every 2 to three bars as a sub routine I mentioned in my first post here. Right now the nets are running about a point as noted above in the table. Annotating the subs can moslty be done with just the RTL's and LTL's. Not making it to the LTL is the price action signal but volume leads this signal (see the OTR chart volume).

    Here are the parts of the day and the min and max of points per trade during each segment.

    bars, min, max

    1>18, 2>3, 10
    19>30, 1, 3
    31>45, 0.5>1.0, 2.0
    46>66, 1, 3
    67> 78, 1, 3

    Bars 79, 80 and 81 are after the NYSE close.

    You can see, today, trading the second BBT long still had some uump because we were in the bar 1 to 18 period largely.

    at bars around the time of this post 28th bar we are moving in a lateral short dominant series of moves called CCC.

    I noted that 1:15 NY time will be when things pick up again.

    Volume basically calls the market and carving the turns.

    We are making a transition from a short dominated market to a long dominanted market. The long will "fail" as did the last long channel.
  7. As a wrap up on calling the next day's price trades, here is a screen shot of the whole nine yards of BBT 2. One thing that is very pleasant is the Strtech/Squeeze of smart money trading. You can see this on a sub BBT level.

    Carving the turns and having to use partial fills to complete reversals is where the fun of expertese lies.

    Not much to do for a while.
  8. stock777 asks about seeing a HFT algorithm/piece of code and Hershey shows some handwritten crap. Yeah, real hi-tech high frequency trading there, Jack!
  9. I am a little confused here at what is going on. It looks to me that the market has been in an up channel since the beginning of Nov. Could you clarify as it sounds to me that you are saying the short channel is now ending and a long channel will ensue.

    One thought is that you are talking intraday channels and not multi day that I was referrring to since the beginning of Nov.
  10. Thanks for your comments.

    Obviously you are hot for HFT. Good luck.

    I felt that it was a little humorous to post the calls a day a head and then just post how they came to fruition in a HFT thread.

    You may want to check out the OTR chart and the Stretch/Squeeze to watch the HFT going on and pushing the trades I took after making the calls a day ahead.

    Coding HFT is an identity to the the slower fractals called BBT and sub and sub sub. When you get inside the 10millisecond fractal it looks just like any other fractal. On a three point range the net per contract over an hour plus is about 11 points. The only input needed is the OTR tick P and V and the S/S ingredients. The S/S usually leads the OTR moves.

    I don't do any visual under 100 milliseconds, coding the faster fractals below 100 milliseconds is not complex at all if you use finite math instead of stats. Most people create stats from the book, however.

    A good cheater is doing the coding for the four games played on the DOM. Once you have those down then you can using timing gating on the OTR and S/S to only let through the signals for making money.

    As no one figured out on the Cash Cow, the two gating techniques were the most important. (Google Bwolinski to check out how to miss the boat).

    Only 30 to 45 minutes until the first short channel after the RTL BO of the Bull retrace ends. It will be fun to see how the markets get serious about this depression.
    #10     Nov 18, 2009