hehehehehehe Ok so here was my strategy: Wait for bid/ask imbalances and trade on the opposite site. Then what I would do is, say it got to like 1:1.5 with 1.5 on the ask, I would go long. Remain in trade until closed out or until ratio goes back to 1:1 and then close. Average trade length was probably 5 seconds. This didn't work as well as expected. First. I was using the micros, and the DOM for the micros, and I realized after a few hours that I should probably be using the DOM for the NQ ES and YM instead. When I compared the mini and the micro, they didn't match up in terms of ratio. Therefore I was probably using bad data. Second. I have no idea how to position size. I tried initially with even sizing, bracket orders, +1 tp and +1 sl on the NQ for example. This didn't work. I kept getting stopped out all the time. I tried making tp closer. No. I tried making sl longer. No. I didn't want to make the stop loss large because then you're in one of those 1-loss-for-every-10-profitable-trade positions. Third. Price jumps over open orders. This makes no sense. It jumps over open orders, then goes back to where it was. I tried to take a shot of this happening but couldn't do it fast enough. Let me be clear, it jumps over open orders, leaving those orders on the DOM, and then goes back to where it was. I tried ES, YM, and NQ (micro obviously). The only string of success I had was a group of 3 profitable trades in a row on the NQ I think where the ratio was 2:1 for a few seconds. I remember thinking "holy crap it's still 2:1" click. Profit. "holy crap it's still 2:1" Click. Profit. "whoa it's still 2:1" click. Profit. What's weird though is the ratio is only determined by what you can see. Ok so let's say there's a huge order of 500 sitting 11 points away. As price moves above and below by one point, this order will appear and then disappear, which means the ratio will change from 1:1 to 5:1 and back quickly. But those are so far away it doesn't really do much. It's like you need to weight the closer numbers more. After tens of trades and a negative pl for the day, I decided maybe there's something else that will work better. But I think knowing the proper ratios for the different contracts might be important, too. NQ is the only one that really approaches 2:1 ever. YM is like 1.5ish at most. ES is like 1.25 at most. So this probably could be automated if it worked. If ratio > x and bid size > y then market order with z sl and a tp. To be clear I'm not using any fancy DOM trading setup like Jigsaw (or Sierra?). Right now I'm watching the NQ DOM, afterhours, it's 38 bid and 77 ask and it's climbing up up up. Probs will try again tomorrow. I literally spent like 5 hours demoing today. I haven't done that in years.
That simply cannot work with the amount of spoofing that goes on. If you want to see it in live action, look at the forward month on the indices. 03/2022 as of now. You'll see it! It is disgusting, and the CFTC is simply too understaffed to tackle the issue. Would take an army of analysts and researchers, or a rulebook change, to make spoofing go away.
IronFist, Have you given up on option trades? I remember a few months back you had a series of questions around very basic option concepts. Trying to compete against execution algos via click trades is not likely to end with a positive expectation.
I use Jigsaw and I really like this DOM even if I don't trade just on the DOM. This is light and stable and best of all, it shows the volume profile and gives a good feel of the momentum. I would suggest to read https://blog.jigsawtrading.com/which-dom-trading-setups-actually-work and other available information. Good trades!
Hi, no, but most of my options positions exercised and I'm now watching a speculative position of weed stocks. Heh.