Are you serious? If so, I would like to ask you some Q on your "theory": Do you know how fast a trade is executed? From my single mouseclick till I get confirmation 'fill' halfway round the globe? You really think someone is frontrunning orders in a millisecond? And "dumb money" do lots of thousands of orders in a minute, they are spread all over the book and in different directions too. If someone are frontrunning orders placed in the orderbook, they will at least not trade opposite "dumb money", they would rather try to follow "smart money". Best regards, an X-dealer.
I never said anything about frontrunning orders. What I described is the way it has happened before e-trading, and does happen in the open pits, and they just only transferred this practice to the computer since that's where the retail gamblers funds are to be had now. _________________________________________________________ a fool and his money should have never got together in the first place
What to trade? I couldn't say. I've been trying to setup a demo to take a look at how the futures market looks. I'm most interested in seeing how the DOM works. This is because I use the open book and L2 alot; i've heard its somewhat analagous. (that being said, there are a lot of times where I deemphasize it) You've probably figured out that I scalp equities; cheap stocks like q, lu, cpn, ect. I've been doing this a few weeks now and have been doing good right from the start. So naturally, my view on scalping is a bit biased. If i'm having success scalping for a penny, i'm likely to think that scalping for a tick is possible. (its not always a penny...sometimes I let it go further depending on the tape. There are no hard stops/goals, and I don't use a stop loss...I'm just ready to get out when the tape says its time...I'm not sure how one would expect to be able to scalp for 1 penny using a fixed stop loss) I've heard that scalping the DAX for a tick is possible. There are no futures shops in my area, so i'm considering doing this on my own. I originally thought my shop would ask for a contribution, but since theres not, i've got some cash to take a look at futures. I was considering buying a course from a Mark O. at Velocity Futs. I don't think its intended to show me how to scalp for a tick ( i can't really think of any product that shows anyone how to scalp for the smallest increment or read the tape), but it would probably be good just to have an nice introduction. I think its interesting how locked in some people are with their views on trading. For example, we were taught some basic things in our training class...you could think of them as general rules. But the one thing I've noticed is that scalping is more of an art then a science. A guy asked me today why I was shorting Q. He said the open book and l2, as well as the market indices said go long. i just said, well....its in a downtrend. I just tried to explain to him that just because we were told to use the open book for support/resistance, its not always that way. Just because you see a 1 million dollar bid on the l2 in LU, that doesn't necessarily mean go long. I tried to explain to him that there are just so many different scenarios to consider, and after you see all these scenarios played out, you kind of go through all these "if then" scenarios in your mind. I seem to see more "if then" scenarios day by day. Its not just some mystically "feeling"...its just a lot of "if then" scenarios. Unfortunately, he didn't get what I was trying to say. When there was a million on the bid on LU, I was front running it once. He said, "you better hope thats real", to which I replied, "me too". But then I just tried to explain to him, "look, its not always going to hold, but if a million on the bid isn't going to show support for you, what is? What number will it take for you to determine theres some probablity on your side? You have to factor that bid in with the rest of whats going on. Like you saw red prints go off in time and sales on NY, where the the 1 mill bid is at....it looks like the selling is being absorbed...so the bid looks like it might be real...you've got the little bit of TA that we use suggesting that its real, by hitting the MA over and over again....you've got the indices showing convergence....and no LU doesn't really move all that much off the markets, but its on my side right now....ect ect ect. In the end, I just said if you are going to doubt OB and L2 everytime, then just don't use it. In sum, I just want to trade a futures product that allows me to trade in a vaguely similar fashion. I'm not terribly interested in trading on a larger time frame/swing trading/ect. I'm more or less interested in scalping for the smallest increment. If anyone has any suggestions on this, or would like to explain why this is not possible, I'm very open to any opinions/suggestions. Thanks everyone for contributing to this thread. I've found others like it in the archives, but none that talk about this specifically.
Thanks for the clarification on front-running in futures since I was fairly certain that ordinary front-running wasn't even possible in the usual pit sense since futures are on an electronic exchange. SO, alternative front-running is available and would be bracketing the market at the appropriate decision points since it is a point that precedes the arrival of the masses (so to speak) that inevitably push profits into your balance sheet. Actually, you can even front-run the pits since volume lulls happen before the order queue spikes (the signal for the floor guy)... OT??? As for today, 198 back-to-back (ie. continuous) trades on the ESU05 contract for a net of 18 points (1.9x H-L) per contract less comm. The breakdown is as follows, 66 of the 198 actions aggregated a result of 38.5 points (4.1x H-L), 76 of the 198 actions were actual washes (ie. bid reverse == ask reverse or vice versa), and the remaining actions resulted in the day's net. Is this simple? Bottom line, "difficulty" is a perception and somewhat of a crippling mental limitation/orientation. How about, where is simple money made in the futures market? A few iterations of these Q's (ie. what is the next simplest) and eventually everything is simple since your experience$$$ will have established it as such. Kindest Regards, MAK!
i've used the term "front running" to describe stepping in front of size, before everyone else gets there, as opposed to putting your order in and waiting in line. Sorry, if its incorrect. That just how some guys used the phrase once; feel free to correct me if I misused it. The other interesting thing I've come accross is whether or not the OB or l2 actually works. One of the guys I started with asked me this. I was like, "hm...i don't know...some of the most wildy successful traders have probably never used it...and then again our trainer uses it pretty good....so I don't know." I'm sure the DOM gets the same reaction as well...actually I really can't say that because I haven't really heard anyone talk about it.
I don't understand how people can make money in the long run scalping for ticks (1-3) using Xtrader. I don't think it's possible using retail (IB) rates. I can imagine blackboxes doing scalping, co-located at FCM site, with a few msec overhead. And exchange member prices. To me, human scalping of liquid futures, it is the equivalent of picking dimes in front of bulldozer. What if there's an "accidental" fat finger, like in ER (100ticks in seconds) or YM (150ticks in seconds) last few weeks. What about Globex going down for hours. And those were not "emergencies". A critical issue is the very large tick size (0.25pt in ES, 1/32 in US bonds) which totally ruins your odds, as your edge needs to be huge, if you're scalping for 1-3 ticks.
I understand front-running the same way you do. Front-running the pit (floor guys) is always on the table too from your console and fortunately it is entirely legal. The DOM is interesting, but largely OT. However, I can't resist chatting about it. Several posters can speak at depth (pun/no pun) about it because they have extensive knowledge and skill with it. I am currently in a mode of processing, and refining my knowledge and skill of it. A few items about the DOM. The first depth (ie. immediate bid/ask and bsize/asize) has similarities akin to a countdown clock like the one for the shuttle. YES, I know that orders appear and disappear from the bsize/asize values. The ones disappearing via cancellations are from participants who require the most knowledge about DOM. So it goes... Transactions are continually ticking in and decrementing the bsize/asize by an amount equal to the transaction size. Eventually, one of the two sides (asize or bsize) reaches zero and a new Bid/Ask depth populates the DOM with new bsize/asize values. This activity is continual and constitutes all bars. As an illustration since I often get PM's saying I confused someone; you may need to pardon my temporary use of the term short since I will for the moment be referring to it in a goods sense as opposed to the actual sell & buy to cover standard. At all times there are two items available on the market shelf so to speak, for the choosing, a short contract at the bid, a long contract at the ask. Like any aisle in your local supermarket, this shelf (ie. market depth) has a specific number of short contracts available (bsize) and a specific number of long contracts available (asize) at the current depth. In other words there is a queue of asize and bsize contracts available at the respective bid and ask quotes. Still using the supermarket analogy, each shelf is a price depth. The DOM displays the several depths, IMO, IB's Market Depth displays it more intuitively. The Bid depth shows the current queue of shorts extending down at decreasing price shelf values below the current market shelf, and the Ask depth shows the current queue of longs extending up at increasing price shelf values above the current market shelf. Certain types of orders continually update the supply of what is currently available for the current prices. So what of the fluctuations in asize/bsize. These fluctuations stem from only 3 activities. 1) A tick/transaction - a decrement in the respective asize or bsize depending on whether it is a long or short tick; 2) An order cancellation - a decrement in the respective asize or bsize; 3) A limit order at bid or ask - an increment in the respective asize or bsize (ie. this last one I suspect since it is based on my experience with very illiquid NYSE stocks). As you may be finding out, there is a minority with respect to bid and ask sizes that is the controlling faction. Demand/Supply people (wherever they may be, could spend some time focusing there). What is control in the above conditions? What doe$ the control provide? What of the other depths?... What is of even greater value is those who are about to enter the market. It may be worthwhile to piece together and/or measure some/any/all of the above dynamics with respect to time and then develop some skill in how to use it. Interesting??? Kindest Regards, MAK!
EXTREMELY! Is it possible to trade solely off of DOM(reading the tape) or is it necessary to have the market structure down before delving into this? From my experience, it was necessary to have a structure of understanding before delving into DOM. I think a seperate thread should be discussed since this is OT. Regardless, you are doing a great job at helping. Great Post.
We all see that you have the hold and reverse down meaning that back-to-back means three actions constitute two profit takings. For an 81 bar market I usually am running at 20 to 40 actions. 200 is your round number and take my high value of 40. I shoot for 3X (H-L) and you are grossing 4 and netting 2. Both of these records are comparable. Further I do show 1/3 of my profit takings as either washes or 1 tick gains. I avoid the 1 tick losses by being risk adverse. I am on the five minute chart.... I guess you aren't...lol... So If you aren't and you switch, guess what? By doing just what you do on the 1 min on the 5, I think the 200 will become 40 and the 38 - x =19 will cause the 38 to hang up there and x will diminish. You will be at a little less than 30. I think the washes will drop fromm 66 to under 10 as well. Dividing by 5 gives you 13. Sideline part way through convergence and do the BO in the pm by doing a two to three action entry to pick the side of the first trending run up. You can grab a tick or two and go the other way or you can grab a tick or two and grab another best position few ticks and act to go with the original direction. What it means is this: you are very anticipatory and do in fact front- run the smart money and you see several of the principal strategies rolling on the DOM (work harder on the DOM and only look at it after your have swept the pro-rata volume and to discern one of >, < , or same. The five min check points on volume are 0.5 (10%), 1 min (20%), 2min (40%), 2.5 min (halfway), 4 min (80% and you relax on extra time), and start over. dicserning volume and then doing the check out on DOM keeps you oriented to the dominant strategy that is coming into the market as new owners who faked out old less clever owners leaving at the wrong time. The switch is going to take a week plus maybe. You will get tense slowing down and revert for safety and survival comfort at first. The gross shows clearly that you are underdamped as I mentioned. Running at 4X of H-L gross is very superior. We are NOT talking in any way about drawdown possibilities. They are going off the table more and more. To front run best you do it just in time and not with a too soon sloppiness. In those cases where consecutive actions are actually two part of a reversal in effect, that is you exit to take profits and reenter to go the other way, the game is to reduce actions (lower the count) by slowing the exit and accelerating the rentry to strike a best gross and longer next hold. A win win type of improvement. So the subject is harmonics. Are your end effects odd (triangular) or even (boxy) in character. respectively you do the 2 pair for odd peaky endings and you handle the other as a stall just in time(see the dissolve on a steady two pair and concurrently the x2x on the volume. So everthing gives you more time to do what? Sweep and analyze. Do two sweeps and one analysis. This is a slight slowing for you. And you get some chances to see "What wasn't that?" a little better. Have a longer lunch on the sidelines when the signal to noise ratio is way up there on less than market sustaining volume. It just happens and there is no game in town when it does.
Thrown off the horse early in the am meandering and low volume chop. Banked $150. If I traded like this every day I might as well work at Mickie D's. Same money but they throw in 2 burgers and fries for free.