It is obviously only a coincidence that when there are a large number of stops in the book that the market manages to find them! There are plenty of rumours of leaks to very very large traders when there are big stops in play.
could any post charts showing where the stops in the market were, and the market reaction as it flushed those stops out
A lot of orders on the book are fake. I just saw the other day 500+ contracts on a bid at one price level (DAX futures), but the moment 100 order hit it, the rest was taken off. very often, it is smoke and mirrors.
asap is right. I have been trading the Dax since 1998. And only the dax, everyday, all day. I have seen the market evolve from the atari black screen of Eurex, to the gui, to modern day front ends. Cancel out program trades in the Dax and it would trade less than 30K a day. Why would paper be in the Dax when they can use the eurostoxx? The eurostoxx trades a million plus a day. A busy day for the Dax is 150K. It is hard to find any prop firms with dax traders anymore. All the locals who made a living scalping busted out or moved to different markets. 95% of the order book is not real and a computer can cancel/replace much quicker than a finger on a mouse. No comparison. The aquarius program can execute 800 trades a second across various markets. Its a different world. And I just read on another thread that reuters will be realising a new program so computers can read the news headlines and factor them into their programming. Wonderful.
roscoe what are you doing with dax at this time? I am running a couple of competing bots based on proprietary models I developed and then switch among them based on their latest performance. Still tough but making money. No wonder why those prop traders have vanished, there's hundereds of bots competing for the ultimate tick there. how the heck a finger&mouse strategy might beat that?
What I am doing with the Dax? That is a great question and one I ask myself about 50 times day. Do you remember the opening scene in the Terminator? Its in the future when the machines rule the world and the humans are running from junk pile to junk pile trying to fight off the monster machines, meanwhile living a life underground with only dogs able to detect the "terminators". Thats basically my life now. Alot of these programs are written specifically to pick off the locals. Whether its as simple as flashing size or pushing the market to short term extremes to try to squeeze locals most of the time its just trying to get people to panic and hit and lift at bad levels. The way I trade now is completely different from 1998-2003. Back then it was flat out easy. Anyone with half a brain could make a good living scalping the dax but those days are long long gone. Even though I can squeek out ticks I realize its a losing end game. The one big downside to all this is that the programs essentially make the markets very efficient. There is very little junk. That lowers vol and minus the occasional global event to shake up the markets, they just don't won't move like they use to. There is always a program on the bid or offer. Compared to only a couple years ago for the most part these markets are boring and will continue to move in that direction. The Dax use to always have 100 tick ranges. Always. Now it can sit in a 10 tick range for 3 hours. Its like trading fixed income. I want my mommy.
Not sure what you mean about DAX being slow. I have been trading it for about 1 year now, and it moves really well. Eurostoxx is what moves quite slow and hard to trade since volatility is low. I do not remember a morning where DAX range was less than 20 ticks during first 3 hours. Usually it is much higher. The action stops after US noon, but by that time most traders are done anyway. Programs will obviously will be able to place arb trades and inside spread trades faster than humans, but other than staff like this, plenty of room for us to trade.