Automated price action strategy - first test results

[eusdaiki]

Quote from Rationalize:

This gets a little bit harder with undisclosed and dark liquidity.

If I am posting large, I'm not gonna do it in a lit venue.

And, as for getting in before the move, what about order priority?

Can't front run a block without paying up a tick. Issues like that.

Swings and roundabouts + an expensive data feed.

Reserve orders are a problem when reading the L2 to spot S/R.

Dark liq not so much since it doesn't stoP the price from moving.

When I talk about getting in early it is by paying the spread and lifting offers once the L2 shows that the prob is on the right side…

 

[Rationalize]

Quote from ronblack:

Trying to understand what price will do from the orders in the book is like trying to guess which poker player will win from the size of the bets. Only historically significant patterns can provide some indication of future price action.

Yep .. then you're into hidden state Markov model madness.