Yes, data providers are light years behind the evolution. But it's mostly due to the fact that 99% of their customers don't care or don't know how...
I am not sure you are really asking the question. I wish nothing more for you than for this to be a true strategy that will make you rich. But...
I am sorry, those results are not realistic. Really, you can make almost 8 ticks per trade net alpha on ES 4 times a day on average? With average...
Vit, I only looked at your first attachment. You are claiming about 17 ticks profit (on 2 contracts I assume), that's almost 8 ticks per trade net...
You are essentially saying that you can estimate where stops are concentrated and what it would take (i.e. how much liquidity) to move the market...
I am quite skeptical when someone says something can't be done. It mostly means I/we can't do it but others might be able to. It's definitely not...
Didn't CME change this rule and now informs everybody of the fill at the same time? Could anyone chime in on this? Absolutely agree, although...
I like to dig in tick-data... and all I can tell you is that there already is one 'market making' operation that does this all day long on most...
If I understand it correctly, you enter a LONG on identifying a large sell order. Please correct me if I am wrong here. That would correspond with...
That looks interesting, the problem is that the lead time is likely dynamic, do you use other tools to decide when to pull the trigger?
A 100 lot is going to consume 4-5 levels of the book in many cases. Absolutely not tradable the way you describe save for the most liquid times...
Or it was him doing the buying??? Who knows, I guess it could be either him or once he encounters an opposition large enough he bails. Not sure if...
Here comes tick surveilence... the highest volume of that event was at 62.28, 106 contracts filled at the bid-3 ticks from the low. Pretty crazy.
Yesterday around 8:44am CST minute CLF5, a 15 tick drop in about 3 seconds 'out of nowhere' (with volume signature as described by OP). I can see...
I guess with sufficient intelligence CME could track this down (would they want to?). However, wouldn't you say that it could be a task requiring...
This one is a real beauty. On my one second chart(!), it doesn't even show the blip. What is crazy here, is that this mini-move filled an 83...
It's unfortunate if my remarks unsettle you that much. I stand by my statements about that signature being typical for many continuation moves as...
Looked at two of your examples using volume at price. It appears that most volume tends to be concentrated at the peak of the move with 'path'...
Let's assume then that all liquidity in CL/NG etc. can be decomposed into machine's liquidity and everyone elses. Would you say these machines do...
Although in this particular example (NGF5 contract), in HINDSIGHT, it would have been a good buy-at least as we speak now. How can you be so sure...
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