Big money moves markets. Where would big money get any yield besides stock market?
I remember a podcast with Larry Williams where his trend trading had 30% win rate. He seemed to do alright for himself. Most people would stick...
Didn’t even know people could follow time and sales. I turned on a time and sales in Amibroker once with IQFeed for Appl and Spy. My head wanted...
If I was tackling the problem I’d first build a sample of large gaps and try and measure the move from previous day close to the peak before it...
How much change we talking about? Data does get corrected and with darkpools reporting trades late as they can, not uncommon.
The hard part is when are you wrong? Theirs huge volatility on a big gap up. Either it runs away from your or you get chopped up with stops...
Here’s an idea. Take a bunch of historical intraday charts with gaps. Make a rule set, see what results are. If it’s profitable. Try it with small...
Yes it should. Beautiful thing about futures is theirs one exchange for each product so theirs no transparency between where your orders going....
Algorithm could detect your a legitimate buy order at the limit and just keep walking up. You’ll see mm algos hit your bid for a share or some...
Fills in futures markets..... never heard that before. Beauty of futures exchange is their one exchange, none of this 13 exchange/100 darkpool...
If your thinking of HFT as the ones that print money everyday making markets and arbitrage, the problem is it’s not scalable and more funds isn’t...
https://interactivebrokers.com/en/index.php?f=1590&p=stocks1
I mean the commissions saved while you lose control of account for a day is horrible trade off. But seems theirs huge demand for long term buy...
Don’t know about IQFeeds API. In Amibroker I always had NBBO reflect in real-time but the plug in for Amibroker only recorded NBBO for historical...
Ones an index, ones a futures contract. Difference is because of dividends and cost of carry. Theirs really no reason the ES has to track the...
What condenscending comments?
Your going to get the same fills give or take a couple pennies every broker. Their might be some slightly better prices in some darkpool but lit...
Secretive world. Give flash boys or darkpools a read. About as much as you’ll find out about it. Even the big banks don’t really understand how...
Saw this referenced on Amibroker forum. Looked it up and might have to tinker with it this weekend. Sure many users here could possibly get good...
Eric Hundsader I’ve listened to on chatwithtraders and a couple documentaries on flash crash/black boxes from vpro I think it is. As far as he’s...
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