Ok guys I'm gonna try to keep this brief. Background: I have a Math Degree (High Honors); studied finance, programming, econ, stats, market history, trading, news and all of that. This stuff has become my life. Just assume that I'm ready to talk trading for real. When I say spread or spreads I'm talking about differentials using NQ,YM,ES, and RTY. Recently I found the 'Holy Grail' (as far as I'm concerned) in the US equity space. The edge I have basically tracks institutional participation. In other words, the guys who are really using all that ES liquidity. Then I cross reference that with the action in the spread paper and the classic TA. So this thread is just about ways to use an edge like this. Things that seem to be working: (1) Using a strategy 'Roll it up' where you start small (using few lots or spreading) and then trade larger as profits accumulate (pre-market, open,intraday, and near the close). (2) Switching from scalping the outrights to futures spreads and back. Sometimes trade the spreads directionally using the edge as well. (3) Looking at the exact levels where (significant) buying occurs so that I know when they (the big guys) are letting the market come to them. (4) Really doing the hard stuff (cutting losers) and knowing when to get spread or reduce size. This takes practice. (5) The hardest technique has been to put on (using the edge) a directional trade using NQ,YM, or RTY and then scalp against it using ES (up to the margin limit!). The margin offsets let you trade retarded size doing this. This is really hard though. Do the real traders on here think (1) is a good idea? It seems like rapid succession basket orders would be ideal for some of this stuff but I am using TWS and the API is too much work for me to mess with. Any suggestions or workarounds? TWS Basket Trader is pretty clumsy. Real locals and futures industry guys are like heroes to me. Thank you Bone and Maverick74, Overnight, PropWarrior, sle, desriero, Xela, Qlai, and others for helping me by posting here.
I don’t trade futures/spreads but your #1 and #3 look familiar when applied to trading in general. Though regarding TWS API, I saw another post about IB working on REST API and already offering beta version, which you could ask them about. This would allow you to easily submit orders, retrieve trades and account summary, etc - via web/URLs. This week IB is also supposed to start being active on these forums (possibly due to launching the new API ?). https://www.interactivebrokers.com/webtradingapi/
Thanks for the suggestion but I think I have solved the problem. Just use hotkeys to send market orders for the less liquid E-Minis. I can blast off a bunch of market orders to initiate spreads like YM/RTY or NQ/YM and have hotkeys that can get me flat or reverse positions. Thanks for the suggestion and good trading to you.