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The indicator shows how much the futures are affecting the S&P when you compare it to the price action. Also, it is showing what is happening in the bond market (rate futures). There are a lot of moving parts involved so automation is not the first thing I will do....

Interactive Brokers has a free API and cheap data. ThinkorSwim is great for charting but terrible for futures trading. There is no SPAN margin and huge commissions. Tradestation has that easylanguage and I don't want to mess with that and they have expensive commisions too. Futures traders...

I just check the market and my systems at the end of the day. I never planned to do anything except very short holding periods. Stuff like 30 seconds to 10 minutes. A swing trade for me and my system would be like 90 minutes. I built a system that predicts the price action so that I can...

Yea. I really liked the idea of trading on Fridays only and then here and there in the mornings before work. But, the reality is that it hits your quality of life hard. You look at the market at the end of the week and realize you missed all the easy money because you were spending all your...

Hey des, I'm just confused about the advantages of long ITM call few months out. Any comment on any of this? raVar said: I'd buy calls on the SPY, out six to eight months in the future ... with strikes three or four deep ITM....that's probably the best way to approach it on the put side too...

He said he is bullish. He said he expects upside 5-10% in the next 100 days. Seems like should just long the stock or synth long stock than buy deep ITM call.. no?

Wouldn't synthetic long stock using ATM options be similar for the OP goal?

The whole system is dependent on arbitrage. Knowing how much of it is happening, and with what instruments, is the only real way to measure supply/demand IMO. Knowing how a generic portfolio (28% SPX, 72% Long Dated Bonds) is performing will tell you what fund managers are likely to do...

I'm sure that I should quit mine and just trade full-time as well. But, I keep finding myself just doing what is easy, and counting my funds in the meantime. By year end I'm gonna have $125,000 just from working an saving. But, at the rate I'm accumulating it doesn't make sense to keep...

Cool charts. Looks like good analytics you can do with those tools. The bid is being spread around ES, SPY, components, and dark pool. AMD is (competing with other issues) as a potential source of liquidity for cash and carry arbitrage. I'm saying that the new market structure has many...

I just mean that the chain of arbitrage goes like this... (e.g. funds buying with speculators piling on) Buying algorithms => ES offer => cash offer / dark pool offer. Basically the institutional bid gets 'shared' through the whole liquidity pool via arbitrage. The index arbitrageurs need...

Well, I will give you an answer. If large FCM are doing equity acquisition using CME instruments, i.e. hit bid on rate future and lift offer on index future, alternatively (sell cash bond and buy cash equity) then the HFT firm providing offer on the ES will need to lift offer in cash equities...

On index futures or what? You don't mean cash stocks do you?

Here's another quote from this other guy on the forum. . .

Here is an answer from one of the great legends of this forum.

I can think of a reason for HFT to be really important. More important than retail. There has to be a chain of HFT arbitrage that can enable a cash bond to trade against stocks in a dark pool. These are the 'end of the line' in the liquidity game. These two are the ultimate source of all...

Well, now that I think about it, if you spread enough correlated instruments then you probably could use standard statistics theory just because the relationships are so much more well behaved, in terms of parameters. The big funds are using that stuff to do stat arb and so you would be...

Isn't this systemic trading anyway? I don't use systematic or scripted trading techniques, so to me, this seems like the same thing as those guys that use the back test and benchmark method. I read a bunch of quant forums and they say that the whole reason that they need quants to backtest...

Why not just pay the spread and go to market. Limit order is not a game that retail can win.

Which exchange are you talking about? Stocks? CME and ECBOT?