You understand that order book is smoke and mirrors right? No self respecting trader will let you know through order book what his intention are. Do you see any information in publicly available order book that others don't?
Automated Trading - FAQs
- Thread starter Alpha Trader
- Start date
You understand that order book is smoke and mirrors right? No self respecting trader will let you know through order book what his intention are. Do you see any information in publicly available order book that others don't?
What i mean by using no time series is exactly that:
"You can produce signals based on a single snapshot, but those signals are based on past knowledge".
I do realize that the snippet is averaged over the fixed period,hence the data series still used.But i`m still wondering,if there is a way to discrad that fixed data series.I guess i`m talking about some 'impuls' or 'anomaly' or 'random' signals,and what we all unknowingly are searching for.I still believe it is hard(but possible) to achieve something with the fixed data series.
Sufficient enough to understan how pull and add is done.I do have a meaning how it`s done.I`m doing it myself.
90% it`s done by algos,so i`m not sure what self respecting traders you have in mind.
Or did you mean the Entropy law,so any closed system without interference will eventually fail ?
Algo cannot buy a seat or be member of an exchange or have bank account or brokerage account.
The highest performing automated trading systems do not deal in the realm of vs (this versus that).
As a designer/developer progresses he keeps narrowing the automated trading system focus to making timely decisions and taking timely actions.
This divorces him from the consideration of future data, forecasting, and the use of probability.
All data is past data.
All automated trading systems perform best when they provide information in the Present.
this information set must be certain ay all times as the future moves into the Present.
The main topic and forcefulness of an automated trading system is supplying a COMPLETE systemic CONTEXT of the market traded.
The building blocks that are combined to always SUPPLY this CONTEXTUAL CERTAINTY come from using a complete system of operation of the markets. All the building blocks are contained therein.
For me, my work performs by avoiding having a time series orientation, avoiding dealing in forecasting, prediction and probabilities. So my comments are inferior to yours from your viewpoint. I chose to work scientifically using the Scientific Method and it's requirement of deducing and avoiding induction in reasoning.
Volume is the leading indicator of Price according the tenants of mathematics and science.
In the trading world, the final judging of performance of automated trading systems comes down to the extraction money velocity. I compare my ATS performance to the market's offer. This means I make a multiple of the ATR. Certainly, ATS's based on periodic functions do the same; but it not necessary to connect a time series directly from market data to do this. The main reason is the form of the market data. Market data cannot be processes as continuous functions. All market data comes under the general heading of finite math.
There are bad examples of deduction in science when theory and hypothesis are formulated first and if the observations do not fit the theory then instead of discarding the theory the data is being made it fit or simply ignored. This applies to trading as well other than trading is hardly science.
On that note could you point to any convincing evidence that volume is the leading indicator of price?
It calls Induction?Deduction is something that is already proved and accepted.