DislikedYeah the FX is very algo driven.
Everybody who pays attention to market depth (micro view) will notice a lot of noise.
In the cash market happens quite the same.Ignored
I'm very interested in finding out more about how the algos are operating. From most of my research I see that they are executing a lot of orders these days so to have a strategy built up around trading them would be very handy.
In doing the detective work I would say that the best way to find them is by checking for footprints along there benchmarks on different time frames and seeing if there is any response by price being near them to ascertain if orders are being executed there or not. This would probably be sub 5 mins as the algos are also working to reduce market impact. Now I do understand that these levels are also dynamic.
With TWAP I think that if we were to see swing points being made at regular time intervals then we could maybe join them. However the algo would have had to put maybe 2-3 orders into the market before this could be recognized. This would also being based on the fact that the IOC orders being executed would leave some kind of trail.
With regard to VWAP is this calculated on a per trade basis i.e The VWAP starts being calculated as the orders are executed? So for this we would need to have an idea of the market volume being traded to ascertain our vwap calculation. This one thing I'm really not certain about.
These are two of the most well known benchmarks from what I've found are there anymore that would be important?
What I see being difficult is to track the IOC orders especially if the algo is also only trading position sizes relative to current liquidity to reduce market impact. When looking at the EURUSD a few days ago I did notice this little curve glaring at me and when I measured it with time and price there was small relationships between the time between the swing lows and also the distance the market moved? To me it just looked a little to non random and especially with it being on the 1 min chart. Was this maybe because I'd had my drink spiked??? Heres the link to the chart as I know that Carnegie wanted to keep this thread chart free.
http://img263.imageshack.us/i/timewe...eragepric.gif/
I'd be interested to hear a few opinions on this.
Darkstar: Thank you for your words of encouragement its people like you and the other guys helping us out that keeps us on track if not this thread would probably be dead in the water by now.
All the best folks.
James.
PS Maybe we need to start looking for these patterns on the chart.
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