Grey Box Scalping

Discussion in 'Automated Trading' started by punter, Jun 12, 2009.

  1. punter


    theres a barrier to automation for most scalpers. cost, lack of programming skills, and mainly an inflexible/inappropriate gui to enter orders a.k.a, not hotkeyable.

    i've always known scalpers that wanted to "automate" some part of their strategy, and its usually very simple concepts, like, "gee, i wish i didn't have to babysit this dead stock because I don't want to miss my out" or "man, i wish i had a magic button that would throw out multiple offers after I buy this breakout (like if you bot 1500 shares of gs and wanted to offer out 100 shares for 15 cents.

    these aren't even strategies, they are just simple things that even profitable scalpers have a hard time finding access to.

    Now the kicker: what do you think would happen to the ave scalpers profitability if simple automation like this were available in an easily accessible gui requiring no programming experience.
  2. jjw

    jjw ET Sponsor

    for the gs example you site, i think a bracket would do the trick. what other types of strategies would you like to see?
  3. punter


    are you saying an easily accessible GUI which requires no programming experience exists for stocks ? i'm only speaking of stocks, i'm aware some futures platforms have things i've discussed, like tt's oco trader/display size thresholds ect.

    but i know of nothing like this for stocks that has a similar, easy to use interface a.k.a does not require communication with a company/programmer/nothing has to be built.
  4. I'd have to mention that I trade using Price Action when I scalp discretionary and I use a blank chart along with Level 2 and a news feed.

    That said...

    What you are looking for is going to be a tidbit tough. My discretionary process is a cumulative recollective process. I follow the markets and interpret the market based on how the Price Action acted recently.

    For example, let's say the market hits a support and you start seeing the Ask volume increasing. From a snapshot perspective, this signals that the market will hold the support and retrace. But during the course of reaching the price, prior to the market hitting the support, if the Long side Volume was weak via TOS and liquidity not being taken much, I can suspect that there aren't much Buyers trying to offset their position. (OK... this is a very generalized example but hopefully you get the point)

    Above said... I have to post another priori. Grey Box is about having a clear cut delegation of the trading process between what is going to be done by the computer and what is going to be done by the human trader.

    Now the question to everyone else would be...

    Which part of the trading process will be done by the computer?
  5. punter



    for the sake of comparison, lets say you're very specific and you only watch lvls of support that have broken but have been broken by an offer stepping down. say you'd like to blow up the offer once its about to go. well its pretty hard to do that with a stop limit order or anything that is unable to be as precise as a discretionary trader.

    it would look something like this. support was 10.00, broken by a 80k offer stepping low in GE which is now showing 9.97 x 80k. you decide that when theres 10k left, you'd like to swipe 3k of it. obviously this is impossible to time manually. (if you can catch the last 10k of an 80k order in any stock, let alone ge...well...yeah...i guess you know something i don't)

    having the greybox pay that offer based on a size and volume threshold which you've set based on either a absolute number or percentage of display size is the kind of execution variables i'm using because its the most basic function of any high turnover (50-100 individual separate trades per day) scalper. obviously theres more to a scalper than just execution, but if you can't do this, then it doesn't look good. think of these variables as being hotkeyable, so in the heat of the moment, you are able to limit bid through the stepping offer, set your venue, your tier, and then you had a hotkey that sets the display size you'd like to see before executing (your buy order would obviously be pegged to the offer until this requirement had been reached)

    this is the kind of execution a greybox would do for the scalper, not some cookie cutter buy the macd when it cross and do my pre determined, bracket order strategy.
  6. punter


    i also want to make it very clear that i'm not asking "does anybody know where I can find this type of technology" or anything like that.

    i'm simply looking for feedback regarding what scalpers think this type of technology would do to the ave scalpers profitability if it were

    a. only introduced to the minority of the scalping population.

    b. made available to anyone, and everyone.
  7. MGB


    NinjaTrader already has this kind of functionality called Advanced Trade Management (ATM). You enter the trade with discretion, ATM will exit the trade based on your criteria for you. So, at least, some part of the trade is automated.
  8. punter


    again, i'm speaking only of stocks.

    and what is available after an entry execution has been made seems rather limited (only 3 possible orders)
  9. As long as you have a data feed for stocks that is compatible with ninjatrader, you should be good to go with the ATM from Ninjatrader.

    It does use a wizard format, but to get the most out of it, you may end up learning a little bit of C#...or just cheat and go to elance...
  10. punter,

    Cooltrade ( was designed to do exactly this. There is no programming interface. I can trade long and short at the same time using strategies that use common terms/metrics from pull-downs. You tell it your profit goal, stop-loss, trailing stop loss, profit protection, pull-back, etc. and it does all the buying/selling automatically.

    You can even run in simulation mode.


    I like it because there is a community to facilitate sharing of strategies between users.
    #10     Jun 13, 2009