A low latency E-Mini strategy

[jtrader33]

My point, badly put in post above, is that there are ways to know the outcome ahead of the momentum ignition, rather than reacting to it.

I'm not a microstructure guy, so the only things that come to mind for me are order book delta or something like garachen's VPIN suggestion. I'm sure there are a bunch of others that I'm entirely unaware of. When you say "know the outcome", do you mean that you know momentum ignition is about to begin or that if it does begin, you have a good approximation for the extent of the ensuing move?

 

[volpunter]

absolutely right (and I never said something cannot be done), which brings us back to square one. The idea itself that the OP came up with is nearly worthless, and the concept has been played with a million times. But yes, the order book itself is a rich wealth of information that can be taken advantage of if one knows what to exactly look for.

A good analogy is that building "making fire crackers is easy, building good explosives not too hard, so it must be simple to build a nuclear bomb."

I am quite skeptical when someone says something can't be done. It mostly means I/we can't do it but others might be able to. It's definitely not easy but academic researchers are not motivated enough to tackle this from a practical point of view. Yes, fading all large orders with some (fixed/dynamic) stop and some exit is not viable, as it's not to go with it. But that doesn't mean one can't add some structural logic around it that would make it work.

 

[Rum Runner]

absolutely right (and I never said something cannot be done), which brings us back to square one. The idea itself that the OP came up with is nearly worthless, "

Gee thanks. lol. As said in the initial post, I realize there would have to be more involved to get it to work, if it would even work. Again, I don't have the data to test it, nor do I have the setup to trade it even if I found something.

The point was to stimulate some conversation, talk about ideas that can actually lead to something. That seemed to have worked, and I'm glad.

 

[Ghost_of_Blotto]

When you say "know the outcome", do you mean that you know momentum ignition is about to begin or that if it does begin, you have a good approximation for the extent of the ensuing move?

Without giving further detail or making any specific claims I'd say both - and also possible to know where to start momentum ignition and how much it would cost to do so.

 

[jelite]

Without giving further detail or making any specific claims I'd say both - and also possible to know where to start momentum ignition and how much it would cost to do so.

You are essentially saying that you can estimate where stops are concentrated and what it would take (i.e. how much liquidity) to move the market for them to trigger. It's not surprising that a sophisticated entity (individual?) might have a pretty good idea (i.e. hard-core stats) on that issue. The latter requires capital, so likely is only reserved for big players (having those stats at their disposal).

 

[Handle123]

You are essentially saying that you can estimate where stops are concentrated and what it would take (i.e. how much liquidity) to move the market for them to trigger. It's not surprising that a sophisticated entity (individual?) might have a pretty good idea (i.e. hard-core stats) on that issue. The latter requires capital, so likely is only reserved for big players (having those stats at their disposal).

Yeah, that's about covers it. Not hard at all where the stops going to be, but protective stops are always held either on servers or retail's computers, but retail is small tickle and seldom blocks of 50/100s. Price orders are moving too fast to do manually most of the time especially during the after hours like tonite but other alerts of volume and time of volume at price levels change enough to take continuation trades of past trend. LOL, I was trying to make totally different three years ago, I never thought about time on change of price. I have since expanded on other markets/setups and runs 24 hours a day, but it is more of tailcoating, don't have to invent new wheel.