But you will lose money with each non-working idea. That's why it's best to learn from the experience or research of others, and avoiding wasting time and money on non-trades. Jim Simmons once said that they don't even talk about methods that used ...

Order Flow - Achieving the mindset

This doesn't work. Because there are hedge funds out there who will start buying the gas producers when this law is just a draft. Each time the probability of the law passing will increase, they will buy more. If the probability decreases, they will ...

Order Flow - Achieving the mindset

A lot of us assume that because of adverse selection dealers quote wider spread to informed traders and tighter ones to uninformed ones. But a recent paper (found on this forum) suggests that this might not be the case: url Our first contribution ...

Order Flow - Achieving the mindset

I said that market contains a lot of randomness, not that it is random Read what I said here: url

Order Flow - Achieving the mindset

There is also a lot of randomness in the market. You can't explain every move or know the reasons behind it. I understand your confusion. While I read a lot about the markets, including about order-flow, I don't know how to use just this knowledge ...

Order Flow - Achieving the mindset

But there is a cause for the strong move - somebody is buying/selling a lot. You don't need news to move a market, just orders. What you probably want to know is the actors behind the move - informed traders or uninformed traders? You would follow ...

Order Flow - Achieving the mindset

Can you explain this bit more? Informed traders act immediately and decisively, using market orders if they must. By definition, when you have information that the current price is not correct, you act right away until the inefficiency is corrected. ...

Order Flow - Achieving the mindset

This NY Fed report is not the one I originally read, but it shows the same trend of decreasing deal size - url Since the survey’s inception in 2004, the average trade size declined steadily from $4.3 million to roughly $1.8 million in October ...

Order Flow - Achieving the mindset

Scotty, the interbank isn't anymore what it used to be - the premier place for finding liquidity. It's hard to call ECN's second tier these days. Hotspot daily volume is 75% of EBS's one, and growing rapidly. EBS is not built for HFT, Hotspot is, ...

Order Flow - Achieving the mindset

So post just one of those many edges here then... The more I play this game, the more I realize how true it is that you need an edge. You have absolutely no chance long-term without one. This business requires as much hard work as any other. There ...

Self-help mentality

Don't believe and repeat anything that you hear. That applies to trading too url

10,000 hours to greatness and the Mastery Asymptote

Agree with you. What I'm trying to make others understand is that you can front run an algo only with another (high-frequency) algo.

Order Flow - Achieving the mindset

It's exactly that - faking. To quote from a high frequency trader: The vast majority of the activity in a book is usually made up of add and cancel operations as market makers jockey for position, with executions a distant third. In fact I would ...

Order Flow - Achieving the mindset

Of course they do :-p They are not for trading purposes. These ECN are optimized for algorithmic trading, not manual. Only your robots will have a chance of seeing the real quotes. By the time your brain processes the price, it's already obsolete in ...

Order Flow - Achieving the mindset

Indeed, these brokers are light years ahead of retail ones. Latencies measured in milliseconds, full access to the order book - you can see EACH AND EVERY order come in, execute, or be canceled. BTW, I created a desktop widget which shows realtime ...

Order Flow - Achieving the mindset

So you want to create a group for developing a profitable strategy, which by definition is hard, yet you want beginners to be able to contribute (which won't bring much value). And you have working C++ code that you don't want to share because it is ...

Systematic trading

HotspotFXi is even better than Integral. But much harder to get on.

Order Flow - Achieving the mindset

HFT firms use other venues. For example look at the spread here: url . Most of the time it's under 0.5. With under 0.3 commission you will arrive at a 0.8 spread. You can do a lot of scalping in these conditions, especially considering that you ...

Systematic trading

I don't understand why are you having memory problems. 10 years of full M1 candles (including the weekends) for both bid and ask consume 160 MB - 60*24*365*10*8*4. That doesn't sound like much, even when working on 10 pairs at the same time. I am ...

Systematic trading

Actually I "linearize" the candles: I convert one M1 candle to four values: open, high, low, close, spaced at 15 seconds. When I build the candles from ticks, I also store another flag: what happened first, the low or the high. I use this ...

Systematic trading