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  • #1,741
  • Apr 25, 2019 11:28pm Apr 25, 2019 11:28pm
Quoting hilmy83
{quote} you can also implement the market depth, but you have to build it forward I think most retailers do put bids/offers as stops..but then again, i think people are savvy to hide those. I don't trust the DOM much after i read about spoofing and that cme is not that strict with it. But it's an option to view the potential liquidity. Using this with rithmic woudl probably be more interesting https://www.sierrachart.com/index.php?page=doc/StudiesReference.php&ID=375 {image}
Do you ever sleep? LOL!

Lots of good info. Thanks for taking the time to post it.
  • #1,742
  • Apr 26, 2019 2:12am Apr 26, 2019 2:12am
I CAN'T FUCKING SLEEP CAUSE THIS ASSHOLE BIRD IS LOUD AS FUCK! I EVEN RECORDED THIS BASTARD

https://www.youtube.com/watch?v=x2F1rYiggZ4&feature=youtu.be
  • #1,743
  • Apr 26, 2019 3:28am Apr 26, 2019 3:28am
Quoting hilmy83
I CAN'T FUCKING SLEEP CAUSE THIS ASSHOLE BIRD IS LOUD AS FUCK! I EVEN RECORDED THIS BASTARD https://www.youtube.com/watch?v=x2F1rYiggZ4&feature=youtu.be
https://www.youtube.com/watch?v=2EuzHfvS--w
  • #1,744
  • Apr 26, 2019 4:54am Apr 26, 2019 4:54am
my 2 cents on deltas, market depth, volume balance of bids/asks:

been there, done that, spent huge amount of time and efforts; not worth it.

market structure changed. there are algo trading going on to mask the real volume in play.
  • #1,745
  • Apr 26, 2019 9:33am Apr 26, 2019 9:33am
Quoting alphadude
my 2 cents on deltas, market depth, volume balance of bids/asks: been there, done that, spent huge amount of time and efforts; not worth it. market structure changed. there are algo trading going on to mask the real volume in play.
when you say "mask real volume" what do you mean by that

the volume that we're looking at are transacted volume. How do you hide that? maybe you're referring to the DOM volume (limits) that you can play around and hide and deceive people with. But once a trade is transacted, it's registered and it's there..
  • #1,746
  • Apr 26, 2019 10:00am Apr 26, 2019 10:00am
Quoting hilmy83
{quote} +$425 took a hit in the US session that i coulnd't recover from. Adding this to observation that i should not trade in between gap prices {image}
+$2660

still working towards consistency. One thing i have going for me is that i can take my losses better than most losing trader AND i am more aggressive than the typical retail trader. So those two combination of things kind of work in my favor, even if my system is subpar for now.

More to learn.. the grind continues

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month to date
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  • #1,747
  • Apr 26, 2019 10:03am Apr 26, 2019 10:03am
Quoting hilmy83
{quote} when you say "mask real volume" what do you mean by that the volume that we're looking at are transacted volume. How do you hide that? maybe you're referring to the DOM volume (limits) that you can play around and hide and deceive people with. But once a trade is transacted, it's registered and it's there..
I think he means breaking of large orders into smaller bits via iceberg or other algorithmic techniques to make it appear like regular "retail" volume in order to avoid front-running of orders. those will be very hard to trap in volume profile but with enough screentime and analysis, anything is possible. just how long is what I question myself.
Staying in my lane...
  • #1,748
  • Apr 26, 2019 10:05am Apr 26, 2019 10:05am
Quoting hilmy83
I CAN'T FUCKING SLEEP CAUSE THIS ASSHOLE BIRD IS LOUD AS FUCK! I EVEN RECORDED THIS BASTARD https://www.youtube.com/watch?v=x2F1rYiggZ4&feature=youtu.be

Thats the mocking bird ........... your blessed to have him sing to you........... some mockers ( at this time of year) will sing for hours late at night.

LOL
Live today like theres no tomorrow-- Prioritize like you will die today
  • #1,749
  • Apr 26, 2019 10:22am Apr 26, 2019 10:22am
Quoting iamsovereign
{quote} Thats the mocking bird ........... your blessed to have him sing to you........... some mockers ( at this time of year) will sing for hours late at night. LOL
if the bird can sing like this, then i don't mind lol

https://www.youtube.com/watch?v=gjnPzfouivo

https://www.youtube.com/watch?v=af4cM5xdI4o
  • #1,750
  • Apr 26, 2019 10:29am Apr 26, 2019 10:29am
Quoting VEEFX
{quote} I think he means breaking of large orders into smaller bits via iceberg or other algorithmic techniques to make it appear like regular "retail" volume in order to avoid front-running of orders. those will be very hard to trap in volume profile but with enough screentime and analysis, anything is possible. just how long is what I question myself.
well yea, the pros will definitely hid their hand so to speak.

But just to be clear, when i make money, i don't think i'm taking it away from the pros on a consistent basis. It's the average schmuck taht i'm trying to fuck over. You know the "price action" and the default indicator system traders.

Also i'm starting to see how the vwap execution algo is taking shape. Maybe it's in my head..but i'm still working at it.

https://www.interactivebrokers.com/en/index.php?f=1124
  • #1,751
  • Apr 26, 2019 2:22pm Apr 26, 2019 2:22pm
Quoting VEEFX
{quote} I think he means breaking of large orders into smaller bits via iceberg or other algorithmic techniques to make it appear like regular "retail" volume in order to avoid front-running of orders. those will be very hard to trap in volume profile but with enough screentime and analysis, anything is possible. just how long is what I question myself.
that's correct. I mean the DOM bid/ask sizes.

Also, bear in mind that NQ is a secondary market. The price discovery is based on supply/demand; and also mainly based from the primary market; the Nasdaq stock index.

meaning; the market makers on NQ change their bid/asks based on the movement in the primary market.

Some quants front run the NQ market makers; by calculating the index themselves; seconds before the index is calculated by Nasdaq; hence having *quick look into the future*.
  • #1,752
  • Apr 26, 2019 2:42pm Apr 26, 2019 2:42pm
Quoting alphadude
{quote} that's correct. I mean the DOM bid/ask sizes. Also, bear in mind that NQ is a secondary market. The price discovery is based on supply/demand; and also mainly based from the primary market; the Nasdaq stock index. meaning; the market makers on NQ change their bid/asks based on the movement in the primary market. Some quants front run the NQ market makers; by calculating the index themselves; seconds before the index is calculated by Nasdaq; hence having *quick look into the future*.
so i'm assuming you're a pure price action trader? i mean if you're dismissing the volume, what other ways would you approach the market besides price action

And if you are a pure price action trader, you're basically using the same obvious information that all retailers see. So what is the edge there?
  • #1,753
  • Apr 26, 2019 3:18pm Apr 26, 2019 3:18pm
Quoting hilmy83
{quote} so i'm assuming you're a pure price action trader? i mean if you're dismissing the volume, what other ways would you approach the market besides price action And if you are a pure price action trader, you're basically using the same obvious information that all retailers see. So what is the edge there?
DOM volume used to be useful before the algos conquered the markets.

I trade forex based on the price movement. tried using number of ticks with no success. I also tried full market depth provided by LMAX api. no success too.

volume can be a leading indicator if it is accurate and available. Tim Sykes crowd use it successfully on penny stocks.

if you can get the true volume info in any market, that will be useful.
  • #1,754
  • Apr 26, 2019 4:02pm Apr 26, 2019 4:02pm
Quoting alphadude
{quote} DOM volume used to be useful before the algos conquered the markets. I trade forex based on the price movement. tried using number of ticks with no success. I also tried full market depth provided by LMAX api. no success too. volume can be a leading indicator if it is accurate and available. Tim Sykes crowd use it successfully on penny stocks. if you can get the true volume info in any market, that will be useful.
For now i'm using intrabar volume profile to identify cluster nodes (poc) at my entry/exit points. I have provided examples of how having this additional layer of information within price itself helps improve my accuracy. Went back further in my historical trades and found evidence that supports my assumption.

But if you know me, i don't care for theories and discussions without results to back it up. So we'll see how my consistency improves going forward.
  • #1,755
  • Apr 26, 2019 4:29pm Apr 26, 2019 4:29pm
Quoting hilmy83
{quote} For now i'm using intrabar volume profile to identify cluster nodes (poc) at my entry/exit points. I have provided examples of how having this additional layer of information within price itself helps improve my accuracy. Went back further in my historical trades and found evidence that supports my assumption. But if you know me, i don't care for theories and discussions without results to back it up. So we'll see how my consistency improves going forward.

by all means Hilmy, as a trader, you always have to verify ideas before you put money in it. what you are doing is the right thing. test it for yourself. being lazy in trading wont work.

sometimes users share their findings, without providing evidence, because that will take time and efforts. it depends if the data are available at the time of discussion.

for example, does AI work in trading? in my findings, it does not. can i prove it? i can but at what cost? it is going to take me days to prepare the evidence. what is in it for me?

i personally room the forums to get ideas. and get useful collaborations with you guys. when i find a potential idea, i verify it myself if i think it is worthwhile. all my trading strategies are actually gleaned from the web. i have tested almost all commercial EAs out there in the market.
  • #1,756
  • Edited 10:44pm Apr 26, 2019 9:49pm | Edited 10:44pm
Coming back to the weightlifting game with a goal to compete at the masters 40 (currently i'm 35). I have a long way to go, but I think I have a good chance at the M40 level given my youthful asian genetics hehe. Hopefully im disciplined enough to stay with it when the time comes...

minute 2:48 is my average lift (165lbs)
https://www.youtube.com/watch?v=wRaLigPk4TI

typical M40 competition. Minute 1:15. that fatigue hit is real lol
https://www.youtube.com/watch?v=5vK9yncYndQ&t=18s

The BEAST Russian Klokov..truly motivational
https://www.youtube.com/watch?v=DRTuNH_8r9A
  • #1,757
  • Apr 27, 2019 6:20pm Apr 27, 2019 6:20pm
Time to laugh my ass off

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  • #1,758
  • Apr 28, 2019 7:00am Apr 28, 2019 7:00am
Met a former forex trader...

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  • #1,759
  • Apr 28, 2019 8:03am Apr 28, 2019 8:03am
Quoting hilmy83
Met a former forex trader... {image}
one who lost his pants on the last flash crash!?
there is always, always another trade!!
  • #1,760
  • Edited 9:12am Apr 28, 2019 8:23am | Edited 9:12am
I'm feeling like a nerd this morning.

Lets talk leverage

currently the CME offers 20:1 leverage on the emini NQ. To calculate leverage you take the notional value/margin required to trade

current Nasdaq index price=8146.4
current multiplier per CME =20
notional value = 20x8146.4 = $162,928 (this would've been the cash value if you traded without leverage per contract)

however margin required to trade 1 contract = $7600

Leverage = 162928/7600 = 21:1

nice. BUT, brokers can set their own leverage (gasp)

AMP for example requires only $500 (which is typical futures broker for stock indexes)

futures broker leverage = 162928/500 = 325:1

You're getting wet down there yet? no? ok let's do a little math

In forex, people always claim to have "cheaper" commission or that it moves more. You're incorrect if you think that. It's ok, cause you're just an ignorant mofo

In forex, price moves in PIPPETTES not PIPS

In FUTURES, prices moves in discrete ticks

to show you why that is important, lets look at volatility charts

Lets take one of the volatile forex pairs, the all great GBP/JPY.

Here is the avg atr of the last 20 days

GBPJPY avg 20 day atr is around 90 pips

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NQ avg 20 day atr is 280 ticks (mind you this is one of the slowest days in NQ)

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Why this is important is in the cost structure


lets take IC markets as an example

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10 "tick or pipette" move in gbpjpy is equivalent to 1 pip move
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you pay $3 per 100k size and your avg spread (true ecn) is 0.8 pip. Now understand that the gbp/jpy is quoted to the 3rd decimal, so in reality it moves in .001 pip

so $3+.8x$8.96 (this is just what i calculated to be $/pip for gpp/jpy)= $10.16 (i'm not sure if thsi is RT, but let's assume it is)

if i place a long @ 144.130 and exit out at 144.131

this market needs to move 1.2 pips (11.2 ticks) to be exact to b/e

Lets take at look at futures:

1 tick move in NQ=$5
AMP RT comm = $3.6 or about $4 (if you have less than $10k)

I buy @ 7837, and it moves 1 tick

$5-$4 (comm) = $1 in profit

do you see how fucked up the forex industry is? you are blinded by the fake marketing of leverage and small accounts needed. Meanwhile you don't realize you're fucked from behind..

ok i'm done lol...
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