There were a number of opportunities that used to present themselves with some regularity , that have simply disappeared. Or move so slowly that they are not tradeable on an intraday timeframe. Anyone else see their meat and potatoes dry up. Any suggestions as to what's working now.
Broken-wing butterflies written at ~|0.23| delta. {thinking thinking thinking....} Even a 1-{skip}-3-2 [!!] on the topside. Other than that, reduce, reuse, recycle.....
The same order flow edge in the DOM that I am using now was still present in data that I've back tested with as far back as 2009. No complaints here from a simple order flow perspective.
Trends, ranges, spikes, channels, flags, triangles, B.O.'s, PB, etc...still today as was yesterday ...as was last week...as was last year...as was..5 years ago...as was 25 years ago...as was 100 years ago. Samathing. All tradeable. Angles still there cos patterns still there. It matters not if they are made by computers or by people.
Care to throw up an example or two or what you look for? I find order flow interesting to look at, and useful at times, but with anything in trading, sometimes it works and sometimes it doesn't. There are also guys who are analyzing order flow mathematically, and that is a whole different ballgame than doing it "visually" by just look at the DOM or a heatmap.
Hi, what software did you use to capture the data and backtest it? Did you have to write your own? If you wrote y our own, is it c++? Did you capture only the levels in the order book or do you also have cancel messages and stuff?