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I appreciate that you're giving him the benefit of the doubt but I'm not. Anyone who claims that they have 0 losses due to 'perfect tick symmetry' should immediately be cast as a charlatan and treated as such.

decent non-answer. at least it's concise and not overly verbose as most of the crap you're posting

There is either one of two things going on. ddav is a troll or he is looking to set up a scam. this system he claims to have is snake oil. there has never been and will never be some charting indicator that produces 0 losses, or any system for that matter. he's publicly saying that he won't...

you have to be a troll. there is no way someone could seriously write what you just did. or maybe i'm giving you too much credit and you're just a dolt

Yeah it's possible and I do it. http://batstrading.com/resources/membership/BATS_FIX_Specification.pdf Note on page 18 it says that a midpoint peg order is allowed with the post only functionality (which is to say it will not remove liquidity). So for your example you'd set a limit...

I have seen models that do take near 100% of the time but I've stayed away from those cause they tend to be limited in size that can be traded. But they have had ridiculously high sharpes. I'm guessing you have at least several bps in tcost based on that benchmark, eh? Sounds like you...

Sorry if i wasn't clear or if i'm still misunderstanding you. I was attempting to refute what seemed to be your assertion that the CME block trading facility is a dark pool which it obviously is not. Cause at the CME block trading facility you send pre-arranged trades and due to that process...

My stuff has been built out to minimize tcost in order to maximize size traded/pnl, basically a function of volume passed/time/and characteristics of the stock traded to set limit price, where to place the order (which exchange and order type), and where and when to take liquidity (try to source...

But I'm sure it's comin

Forgot to say that the other huge difference between the two is the information leakage inherent in arranging a block trade. With a block trade you have to call/instant message around to different sales traders in order to find someone to take the other side. In doing so at a minimum one other...

Cause it's pretty easy to see that you're a con artist.

Nope, literally no one. I don't see that there has ever been a trade done with the contract (if there had been there should be a line representing open interest in the pic I included).

I meant institutional traders by saying the street as retail traders are pretty much excluded from direct access to dark pools (except for some stuff through interactive brokers but even then only for taking liquidity). Block trading and dark pools do have a big relationship in that both are...

yes and dark pools like pipeline still deal exclusively with block trades but people would look at you funny on the street if you referred to block trade reporting of futures on the CME as a dark pool since it's clearly not a dark pool EDIT: I think you're just getting the jargon wrong...

Oh interesting. Never heard anyone refer to block trade reporting as being a dark pool. Typically a dark pool refers to a crossing network formed under Regulation ATS (in the US of course) which doesn't display its quotes on the tape...

Well note that I said it is more indicative not that it is the case for sure because there is no knowing given the information available since we can not see the orders. I contrast that with the nasdaq itch feed that actually has displayed orders in which case we could see order sizes. No way...

Here is a screen shot of the VWAP function on bloomberg from 12/3 for ESZ0 The largest trade size is 1095 contracts. The 10th largest is only 563 contracts (and some of those are after/before regular market hours). The average trade size is 4 contracts. That is more indicative that the...

Which dark pool has a 15 minute post-trade transparency delay? I believe that's breaking the rules since all dark pools have to report their executions to the tape within 90 seconds. And should add the ones I trade on report in near real time if not real time. "Currently, all dark pools must...

Did you not just read what I had in my last post or the research paper? HFT's on average are informed traders on a short time horizon so do know on average when the price is going to move and thus are able to cancel/take liquidity/place orders based on that. That is how they consistently make...

Every dark pool posts to the time in sales and you'll see them on the TRF/ADF feeds, so for example in reuters under IBM.DF, wombat IBM.D, and bloomberg IBM UD I know Goldman's Sigma X and Credit Suisses CrossFinder post in realtime as I always see my execs in realtime. But for example...