eCBOT (YM) stops, who can view them?

Discussion in 'Order Execution' started by mtzianos, Mar 16, 2005.

  1. vikana

    vikana Moderator

    I've bought the high tick and sold the low more times than the opposite. Somehow the market tends to shake out stops. Over time, it really doesn't matter.
     
    #41     May 4, 2005
  2. duard

    duard

    Mt Zianos

    Can I ask what prompted you to take those trades? I.e. where did you initiate your trade and what was the reason? Why did you put your stops at that level?

    Just curious.
     
    #42     May 5, 2005
  3. Actually, I didn't mention it sofar, but I've started doing this type of side-by-side "testing". It'll take some time to create a meaningful sample.

    I understand what you imply and obviously the concern that the "Chinese wall" between a brokerage and its prop operation isn't so inpenetratable afterall, has crossed my mind. Which authority (e.g. CFTC, SEC) is overlooking these issues?

    I do this in other markets. It's is more of an issue in bonds and even ES, where tick size increment is extremely large relative to daily range, e.g. a daily range 10-20 ticks

    I imagined that in YM with a range of 60-120 ticks, it'd be much less of an issue...
     
    #43     May 5, 2005
  4. For what it's worth:

    Stopped 10317 (which was also the High Of Day in YM, ES made higher highs around EOD)

    Just to clarify again, I'm not taking dozens of trades per day (out of which some would obviously get stopped at an extreme simply by chance).

    E.g. yesterday 11-May-05 there were 3 trades for me in YM (2 executed and one missed/not-filled).

    So, out of the 2 trade taken, 1 was stopped at extreme.

    So the percentage of trades getting stopped at extreme tick of a move/day is pretty high.

    [​IMG]
     
    #44     May 12, 2005
  5. volente_00

    volente_00

    Here is my tip for you, I call it the rule of twenty. Never put your stop less than 10 points above or below a number evenly divisible by twenty. When falling YM loves to crash through 20 point intervals such as 200, you rarely see it stop at 240,220,200 as the panic drives it under these intervals. The same holds true for rising, it rarely will stop right at 300, 320, 340 etc. Also 320 was a short term support level a few days ago so setting a stop right at it is just asking for it to get hit.
     
    #45     May 12, 2005
  6. Its easy to get paranoid about the market. It has an uncanny ability to find and flush the weak hands. Newer traders seem to have an uncanny knack for entering and placing their stops at the worst possible locations. They dont have to see your stops to know where they are. YM is very noisy and requires a lot of wiggle room.
     
    #46     May 12, 2005
  7. Also, looking at the spread of Dow futures vs cash, you can see that at that point it was the highest of the day (10pt diff)

    green/red bars = spread of futures vs cash
    blue bars = YM M5

    [​IMG]
     
    #47     May 12, 2005