I am not sure what you mean by this and if it relates to what I was saying about size. Obviously in my example the large traders were the minority of traders and won the "battle." But maybe you mean when everyone agrees, they are all already long [short] so the market has nowhere to go but down [up]. However, you may be talking about something completely different of which I am clueless. Please explain. [Ignore hecklers. While I am now an mp trader, I hope someday to trade purely as a tape reader.] Thanks for your thoughts.
I just ran the stuff as it perked away on IB. We looked for the data set after not seeing it in the time that the print listed. The two of us looked on Qcharts 1 min to make sure the bars were running the same as the print with consideration to tucson time, IB and qcharts. Thanks for letting us know we can't do it and why. The streaming looks quite normal to me and I always use market trades. I did not really see much difference between the streaming and the fills. It was always in the ball park and the timing was not very critical. We will be trading tomorrow. From my past experience, when beginners start up with me, everything goes pretty well. I know ET focuses on a raft of important stuff and considerations. to me, the IB stuff looks very good for use by a beginner. We did a selection of kinds of trades and it just kept perking away. T&S trading is fairly straightforward. When I post tomorrow's stuff here, if you do not think it is correct let me know. I think the IB account will be accurate from what people say. The demo was probably affected by those using it and the data IB uses in their demo may be imperfect vis a vis locating it to prove the things you need to prove. We were surprised as hell that we could just jump on and use the T&S and skip a lot of other stuff.
The minority size on the bbid and bask rules. I use the smaller number of contracts showing to determine what side I am on. If the bbid is smallest then the seller controls and I am in short. I stay there and the market falls. After a while and through several prices changes the smaller number shifts to the bask side. This does not happen erratically. The ratio of the two sizes is something I look at as time passes. The ratio shifts when it get close to even, I know that it is going to flip to the other side. I let it do that. I was referring to the minority in this context. Many in ET think the market goes with the majority. If fact the minority control. All those big blocks going through are fun to see. What I read however is the bbid and bask rows. I do restrict myself to reasonable contract sizes when things are slow. I think the hecklers are earnest people. They work very hard at what they do. What ET looks like to observers has a lot to do with their packs of hecklers ranging around from place to place. I had two different packs on my case tonight. It was fun. When I see a thread started by traderkay, I know she is going to have a tizzie with someone or other. But there are always some people in every thread who contribute with respect to the topic and that is helpful after all. Hecklers present a lot of distaff pictures. How to provisionally replace them is something. Today we sorted out the ones who can find data from those who cannot. We also found out what trading stuff they use. Not much left to do to polish off this pack. I may do the demo again. Real prints will be better though.
Lets return to the discussion on Emini T&S. Who else has developed profitable mechanical systems based on ES or NQ T&S, possibly in conjunction with price analysis? Anyone gleaning information from: trade size? bid/offer depth or changes in depth? last/bid/ask price levels? timing of trades? Iâve found predictive patterns in all of these, mainly through quantitating various aspects of buy/sell pressure, accumulating micro-scale patterns into longer term indications.
prophet, how did you find the patterns? just by watching day in and day out or by doing some sort of hardcore datamining exercise?
I'm still not clear on what you mean by "bbid" and "bask." I see that you are using IB TWS, which shows bid and ask 5 deep. Are you talking about cumulative size of the 5 deep bids vs. 5 deep asks, then stating the smaller of the two rules, or are you talking about something else?
Both, but by examining historical charts, not watching price in real time since I'm better at coding and testing than watching price in real time. I take historical T&S, design a simple indicator or buy/sell signal, then overlay that onto a few historical daily charts, see how the indicator responds, see when it works and when it doesn't, check for overtrading or thrashing. I've concentrated on indicators and signals that perform well (or not too poorly) while paper trading without periods of neutrality, stops or profit targets. The indicator/signal must always indicate long or short (always try to forecast the market), and always reverse using market orders. Ironically, while this is a much harder test for an indicator to pass, it is faster to test numerically because you donât have to brute force test indicators/signals combined with all flavors of stops or secondary rules. I can spend more time mining T&S for undiscovered, yet robust patterns instead of testing countless stop-loss or secondary rule combinations that are only a crutch. Along the same lines, using linear least squares networks (with nonlinear input stages) can be superior to neural nets because they train and converge faster by a few orders of magnitude. Once I have some promising indicators I do some automated backtesting to characterize the indicators and look for ways to control risk and forecast near-term profitability for each indicator/signal. This is equivalent to trying to determine the appropriate size to trade (or whether to trade at all) for each indicator/signal. This seems to be a successful approach. I have found about 10 broad types of indicators (not all derived from T&S) and about 7 unique system types that simulate at between 2 to 6.5 points/day on NQ and ES for the last half year of market history. Iâm reaching the point now where I have more indicators and systems testing positive than time and CPU resources to test them. I have 3 dedicated servers for data logging and real-time systems, but only 2 PCs for testing since my code is fairly efficient (Matlab and C++). I need to add more servers, more IB accounts, plus automated testing and signal distribution code. Lots of CPU power isnât the answer. Things didnât always go so well for me. I spent my first 2 years designing systems and only came up with crap⦠almost quit several times. Iâm no genius at this stuff⦠just persistent and willing to test anything and abandon previous notions when necessary. Reading Elitetrader (current and older posts) has helped tremendously. Thanks everyone!