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I'm going to give you a very important lesson in price action: 1. There are market orders (includes some algos) 2. There are limit orders (includes some algos) Market orders are the flows between buyers and sellers and vice versa at the best available price. Limit orders are some distance above...

What exactly is the thought process that led you to that conclusion?

@Overnight great journal. Have you thought of putting together a check list so you avoid cognitive biases in your trading decisions?

You need to understand how flow/volume impacts price volatility through the day. Volume at bid or ask tells you who’s in the drivers seat.

Zoltan thinks the Fed will unwind as the asset cap for Wells Fargo will be lifted...which would introduce $500B in demand for assets and can ease a potential taper tantrum. If they can pull it off it may be a soft landing.

Also, those big investors are not trading the news lol. When they submit their order for 500k shares, they probably spent 1-4 weeks analyzing the company and speaking to management. And no big investor wants to have a big market impact, which is why they use algos...

This is the wrong interpretation of the efficient market hypothesis. EMH is a framework that is useful for market participants to evaluate their strategies. The idea is that if prices reflect known information, then you cannot make excess returns analyzing known information...

@expiated Yet, I maintain the chances that the effectiveness of my approach will break down over time is virtually nonexistent given that the entire system is based strictly on mathematics—which does not fundamentally change. I'm not sure I agree with you here. Mathematics describes...

you need an OMS tool.

@expiated what makes your system better?

Yes.

What’s your edge and trading approach?

Let’s put it this way. There are some strategies that can harvest the returns derived from illiquidity, liquidity provisioning, and variants of the momentum factor intraday. Those strategies require expert knowledge of market structure, liquidity, and flow to be successful. No one running those...

Disagree.. the time and effort is to actually analyze the company not it’s time series data lol. That’s the easy part.

Flys > straddles.

Use roc and set the period.

Implied vol is the 1std that is expected.

Stock indices are baskets of stocks. Stocks represent ownership in business entities. Business entities are valued based upon future free cash flows and the discount rate. Free cash flows have been rising for major stocks as the discount rate has fallen. Hence, the value of stock market indices...

1. Take timeseries data like price 2. Calculate log change in price 3. Calculate standard deviation on the log change in price Do this in excel. Log change is "=LN(X/Y)". Standard deviation is "=stdev.s(data)"

Nope.