Search results

So broker knows where FX market will go? Or they are simply keeping their books in balance?

Many trading software vendors give you some free data as a sort of incentive to start using their platform. For example free version of NinjaTrader lets you download a few months worth of L1 and L2 futures data. As well, free version of MultiCharts lets you download few days of futures and few...

you are right, +/- 0.1 SPY's point would be OK.

maybe I just brute force it with statistics on yesterday's prices. Ugly, but straightforward. I actually just need to convert SPX's price into equivalent SPY's price.

Hey Pythonista, most prop-firms clear trades through MetaTrader 4.0 & 5.0, because most brokers clear trades through this backward and antiquated platform. Such is a luck. But, there is a Python library, that I haven't tried, MetaTrader5 v5.0.45 As well, there are these x2 articles on...

Me again. I'm combining info from SPX and SPY options to make my trading decisions, but I have a problem with converting SPX prices into SPY prices. SPX is approximately x10 times SPY, but it is last few significant digits that wreck chaos. Currently I just make an rough estimate relative to...

Huge problem with this algo is that this is well known thing in the industry and this edge can't last. How many people read this thread, say x1,000. How many are going to take action at least x50. x50 people competing for x2 ticks :D. And people who read this thread are nothing when one takes...

Not really want to derail the great thread, but I'm currently downloading tick data with MultiCharts free version and can only get about x4 days at most. Can you please put more light on how to get x2 years of tick data?

religion is just a form of marketing. You listen carefully to people, then over the course of few days, or as it might be nights, you come up with conspiracy theory which in essence tells back to people what they want to hear. In return, inch by inch, people sleepwalk themselves into giving you...

Hmmm, that's interesting idea. IMHO levels are dictated by options, because options are set at round numbers. Now its only questions of finding the function that is expressing that profitably. Again, from eyeballing, momentum has a life of its own, and momentum with volume would slice through...

yeah, I am aware of that style of thinking. I think that comes from the fact that an average indicator needs on average around x10 bars for calculations, which is about x1 hour and phases of they day don't even last that long. I'm familiar with S&P 500, and there are x3 distinct phases during...

yeah, I already know that, I use it a lot in my discretionary (paper) trading. Just looking for the easiest programmable way to express with code, with a smallest possible delay. In my eyeballing analysis I know in which mode I'm within 2-3 '5m' bars, but code typically needs like 5-10 bars...

I followed up and check one of so many papers. It was really super heavy on math. My question is, does this has any predictive value for trading or is simply just useful for calculating options prices?

The way I look at that is, I'll just get the data and then do the stats on it. If stats works then it works. Even James Simmons said we can't prove that something works, we can only calculate statistical significance, and then choose to trade it or not. There is statistical method called...

Thank you for an insightful response. I recently "discovered" that stock indices basically have x2 modes, calm & volatile. And one basically has to have switch to start or stop trading according to volatility. It seems that VIX is best among many options as this "switch". For example using VIX...

I have only a minimal understanding of options, but occasionally use them as a reference. In my understanding if Put / Call Ratio (PCI) is going down stock index should go up and vice versa. And that's NOT what happened yesterday, on Tue. 3.Sep.2024. PCI was tanking, but S&P 500 was tanking as...

I only had Binance data-feed. My test wasn't too clever, I didn't do any code or such, because free Bookmap doesn't let one save the data. I was mostly looking for convergence and divergence of delta at peaks. I was just eyeballing it to asses is it worth me saving the data and writing the code...

my x2 cents worth is that I paper traded bitcoin with cumulative order flow on Bookmap and it kinda worked. As well I then paper traded fakeouts in a direction of the main trend and that kinda worked.

I'm just thinking loudly, not saying this is a solution. It seems that basic problem comes from the separation of L1 and L2 data in x2 different formats. So, maybe one needs to extract this data into x2 separate text files and then join them up into a "virtual" data-feed. That way trading app...

Yeah, there are few performance metrics that are missing: 1. net profit / drawdown ratio. Actually lots of traders use this ratio as performance metric because it tends to pull out strategies with the lowest drawdowns. 2. Standard deviation of returns and cumulative returns. Again, this...