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Care to clarify? Formula or equation?

Problem: So I'm looking to get some data on rate vol, and the ICE BofA Move Index is behind a paywall. Potential Solutions: (1) Use model volatility on rates ETFs -- e.g., build my own index using model vol for stuff like TLT, JNK, UBT, etc. (3) Use futures implied vol? (4) Calculate an...

I think it really depends on the market, but I have lots of proxies for order flow, some of them clever, some laughably simple. Maybe they're harder to understand than this type of software. For example, the ICS market (long/short yield curve spreads) greatly determines order flow in the rates...

I use IBKR TWS and the Excel Api, and also have TD account for TOS. I can recommend.

That he trades through a dealing desk 'bucket shop' and tries to impress upon noobs that he's doing some kind of FIFO workaround via brokers is just a complete joke. Moreover, when you look at the income he's getting from his various dupes, it would be self defeating to trade in this manner. I...

https://interactivebrokers.github.io/tws-api/dde_intro.html I use DDE but I doubt it's the best.

The concept of arbitrage continues to mystify you. You're a curious member on ET, since you attempt to lead an informed discussion of options trading, yet your posts are riddled with statements betraying a total lack of understanding basic notions. You don't understand statistics, I'm sure.

Bonds are up? Not from what I'm seeing. Quite the opposite.

You're one to talk. You're the guy with a pathological avoidance (denial) of relevant aggregates. You would do well to start talking M2, M3, and total mortgage debt in the US. It's amazing that someone who puts as much effort into economics as you, could be so naive when it comes to credit...

Let's compare notes. Integrating or summing first and second derivatives (or proxies thereof). Yes. I've found that simple calculus can work wonders on momentum analysis. The trick is to figure out how to do it. There are very few comprehensive resources for this kind of thing. Better bone...

That may be the problem.

What is your settled cash amount?

This is the algo in thinkScript.

A script I use with the "Dorsey Inertia" function is using this index in it's calculation. Similar to this one... https://www.tradingview.com/script/DLKmDryJ-GKD-C-Dorsey-Inertia-Loxx/ This indicator is really an algorithm that is watching price vs an intelligent analysis of price/volatility...

Apparently, I've been using this without even knowing about it. I did a bunch of indicator dev stuff a while ago, and while I found many useful things, this one, popularized by Donald Dorsey, has proven quite useful to me. Does anybody know anything about Dorsey or the rel vol index? Thanks.

You see some algo's and you know they're killin' it. I see it in the rate flys and all the DV01 spreads in futures, and the index spreads where the discount offers a capital efficient hedge, e.g. cutting margin on a large position with relatively few NQ contract. DJX/RUT comes to mind on a...

Some work only when vol is being suppressed or reversing. Some work only when interest rates are high/low or dropping/backing up. Some work only when pre-market or after hours had action, etc. There are as many edges as there are markets, and you can find them if you learn how. One way is to...

He said he was doing close to a trillion notional PER DAY in overnight financing (repo, swap, basis, whatever). Killed it on Fukushima, and almost blew out on franks. It's an interesting story.

Watched it yesterday. I've seen a couple of his youtubes, but this was much better. Kid is smart, worked hard, got lucky, and kicked ass. It's an underdog story and I can relate to the guy. That said, he does have Oxford and LSE degrees. Not surprised that to win his trading game his...

You can transform the data using regression. If you difference the data against a trend estimate, and then difference that against the integral of the transform, you can pinpoint your so called "rounding top" formation. That one is related to the second derivative of price. The h&s one is...