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HFT is required for liquidity providers to participate in the derivatives market. The only way that this could be avoided would be total consolidation of exchanges and order books and making private sale, OTC, and dark pool trading illegal without public dissemination of volume and...

Well, I think it is better to just have positions long and short. That way when the outlier event happens you have an out sized profit to take, as well as a large loss that is likely to roll down from traders using your strategy (buy/sell when outlier happens).

I do a couple things. First I take small profits for a few times because I have high probability. Then I make a slightly larger bet. If it goes against me I wait......then I make larger bet. When trading martingale the average price is what is important, because you are increasing your...

It's just an example of a spread dude. It happens to be a favorite among the big money prop firms because of the risk profile (hedged in equities and hedged in rates market). My "strategy" is that I measure HFT index arbitrage and that gives me an informational advantage. Then I trade using...

That chart shows the cash value of a basket of futures (long,short,short,long) Dow Jones Index Futures Ultra Long Treasury Bond Futures Russell 2000 Futures 15-25 Year T-Bond Futures Technically, this is probably called a rate index fly. This is a heavily spread basket. A long short basket...

I'll give you an example of algorithmic trading that you will never be able to do. Calculate and predict the exact cash value of a basket of ultra liquid rate and index futures. If you could do that and automate then you might have something. The problem is beyond you at this time, of that I am...

Look at the chart for last week of OCT. (white process is heavy buying and selling) The shorts took positions starting from 10:00 AM and 12:00 PM on Tuesday. Then they sold into institutional accumulation until approximately 14:00 PM Wednesday where they were forced to cover. Shorted again...

Well, I actually try to predict what the red line is going to do. This is because the machines will not allow the price to drift from the red line. The basket will trade one one side of the line and this will start to pull the line up or down, then it reverses very strongly. It's easy to see...

Couldn't you just 'dollar volatility adjust' the positions (historical vol/trailing vol/rolling vol) for a simple solution, generally?

The new micro structure is the trading between exchanges. Chicago and New York. Futures in Illinois and stocks in NYC. The exchanges are linked via microwave radio towers that transmit data at 99% the speed of light. Retail is clueless that this has become the entire basis for the market...

I am seeing some deals on apartments in Spain bro. Can't get apartments in US for 49k Euro. Taxes matter, but stuff like this can make a pretty big difference in terms of quality of life. I wouldn't mind moving to Spain. Also, great timezone to be in if you trade the NYSE open. (I don't...

There are tax treaty with many country. But, it is very complicated. This is why many trader who reside overseas have LLC and accounting structure to control tax. Money that you earn in US has to be reported to local tax jurisdiction of residence (in most cases). Yes you are liable for tax no...

Look up something called 'The Great Moderation' The Fed and global central banks have guaranteed unending nominal GDP growth. This, combined with weak real wage growth and trailing household net worth (global rankings) will cause what was known as 'The Lost Decade' in Japan to happen here...

Where's the sausages mate? NOT a proper fry up!

Hi Gary. I also use IB and ThinkorSwim. They are kicking ass for me. I do the same thing as you. I am using IB EXCEL API and custom VBA scripts now (DDE IB GATEWAY API). You can check out my solution in this thread. The code I use for it is free and you can check it out if you follow the...

Hi guys. I'm wondering if anybody would know how to leverage having US and EU nationality (specifically US and IRELAND). I'm only gonna be trading futures on CME and ECBOT, and maybe EUREX / SGX / OSE later on (but never really as much). Is there any obvious location in EU where I could take...

There is a real problem when huge amounts of US consumer spending is being funneled through tax advantaged entities in order obtain near zero effective tax rates for people who measure profit in billions. The tax code is 100% a tool for the mega rich to competitively cheat the US consumer...

Do you understand mark to market? You know that any loss is immediately removed from your account right?

What you can do is just take the position off in smaller lots. You send a basket order to close half the position, or just take a couple lots off one leg and then take some off the other until you can send an order to get flat. You can run into problems if you send an order to close both...

The thing that is cool about that is that the robots and automated algos that are trading this type of stuff are using the exact same system to predict the price. You know how I know that? Because it is too hard for normal traders to do. That chart shows the cash value of a basket of futures...