good luck, I can see what you're trying to do. Whydont you try and at least log the prices and mkt depth on fx futures before deciding on a process to try and capitalise on potential moves. Even on 6E which has the most liquidity, you're not going to find muc more than 20-40 contracts at the top level of the book
Putting whether this is successful or not aside I have someone wanting to pay me for this so I'd appreciate any additional advice. So far I've got hack Bloomberg & RealTick as suggestions. But the ratings for RealTick on ET are absolutely horrible. Thanks for everyone for the advice so far.
Great post! Exactly! The point is probably during the news the speed of execution is even more critical (so effectively they 'read' the news faster than anyone human) and also the algorithm to pile up on those moves must determinant to 'find' those levels of prices where the winner is able to push then the price in his trend favor...trashing the other partecipants until he decides it's over (or reversing his position). Also in all this fast moves, you have the cash and the futures arbitrageurs...so you could image how many machines are against each other. Oh yes -- then there are the humans, too!...trying to figure out what's happening and something thinking -- in mass -- f**k you!...I will beat those bots! :eek:
Hi there, I am currently backtesting potential profit from trading on economic releases. My idea is to research on a worlwide basis the economic indicators (US,Canada, GB,etc) and trade them based on statistics. I am also reaerching on Oil (oil inventories) , Tbond and emini volatilty (economic news). I am starting off with US Non farm Payrolls data and trying to get an idea how the market reacts to the news depending on the unexpected actual data. For example if median estimate of Non farm Payrolls is 100k and it comes below 50k the eur/usd would probably jump in the first 2 minutes around 40 pips and then it might retreat. I know is delivered at the same time as Unemployment Rate and Average Hourly Earnings probably bringing some noise to it , but Non farm Payrolls is what market care most. The potential profit can be determined statiscally after "hard" work on data, even though as I am working in a high volatility environment I have to test it with 10.000usd (1 lot in FX) to see if it works (after working on data). I am planing trading this idea with FX. I´ve checked the time sales of the EUR futures and I could not see if it is better than FX. Here is what happened on 05-Jan-07 (consensus 100K and actual was 167k): Before announcement the future EUR/USD was trading @ 1.3129 @ 8:30:00 price reached to 1.3104 @ 8:30:01 price reached to 1.3095 @ 8:31:00 price reached to 1.3065 As FX is not a centralized market I do not have time and saled to trust on. Any idea which asset (FX or future?) is the most suitable for this kind of strategy? Anyway, I see execution as a very important aspect. Although, I have bloomberg (I get news with no delay) broker execution is extremely important added that I will place a market order...ouch! In the future if works for me I might use an API with Interactive Brokers to improve order execution. Anyone have done something similar? I would like to know if any of you is trading/researching this strategy. Perhaps we can exchange thoughts or codevelop. If you wish to discuss/develop this topic privately please email me at emarco@fibertel.com.ar Best Regards Juan
You will be joining thousands of traders doing the same thing and most of them with much more experience and more money than you. All the best.
Hi Luke, something i came across... not sure if it is applicable to your interests but it was another way to gather news data to trade... in an auto way... http://www.streambase.com/developers/library/code/memefinder/ cj... HAVE STOP <img src="http://www.enflow.com/p.gif"> WILL TRADE
InteractiveBrokers also has news and market data. Has anyone here tried to use the IB API to trade off of news releases? I'm interested in trying this, and any feedback would be appreciated.