How do you know the coding would be easy enough if you cannot program yourself?
Automated Trading - FAQs
- Thread starter Alpha Trader
- Start date
How do you know the coding would be easy enough if you cannot program yourself?
" most of the value is in the execution framework"
aaabsolutely!
"Except for some very narrow cases, automation doesn't free you from the monitor"
Do you mean rollover and settlement?
aaabsolutely!
"Except for some very narrow cases, automation doesn't free you from the monitor"
Do you mean rollover and settlement?
Has anyone ever tried to discard the data series and use only order routine?
what do you mean?
Exactly that.Othe then the strategy logic,every strategy uses the data series - aka time frames,which starts to become curve fitted from the very beginning.So i wondered if anyone made any attempts to discard the data series at all and use just the order flow and supply and demand,irrelatively to any specific TF.
I don't use a specific time frame, I use ticks. The only role time plays in my system is my "speed limit".
People sometimes see facees in the clouds, or in a water stain on a wall, or even a grilled cheese sandwich. We can debate whether those patterns mean anything without deciding. There are similar patterns in financial data where it's easier to test whether the patterns have meaning.
I have looked at constant capped volume (CCV), accumulated volume (ACV), intraday profiles, etc, plus some weirdo concoctions of my own. In the end, I didn't find any magic indicator that could find patterns that no others could. What really matters is whether the pattern is predictive. For now, I am staying with time bars because the data and backfill are easier to get.
I have looked at constant capped volume (CCV), accumulated volume (ACV), intraday profiles, etc, plus some weirdo concoctions of my own. In the end, I didn't find any magic indicator that could find patterns that no others could. What really matters is whether the pattern is predictive. For now, I am staying with time bars because the data and backfill are easier to get.
If you wish, look into the history of trading.
The advent of data "processing" lead to time frames which allowed fractals to be observed.From smallest to largest, fractals are interlocking. Thus from granularity on upward, an interlocking system is present.
Before this (the equivalent of "dumping" the fractal nature of the markets) market "flow" was "read" using an approach called "tape reading" which did not involve the order book but only the T&S part of the order book.
The two most active parts of markets do involve the order book, but the person you ask your question of, does not know about these two activities at all, as yet.
He is suggesting, most likely, to look at the T&S part of the order flow to achieve something. This is called "tape reading" about which much is known and written.
Supply and demand are not part of the two most active activities of the market either. This happens because most supply is never used nor is most demand ever filled.
You asked a question to find out something; you will not be receiving any substantive input since it is not known to the person you are asking.
People who search for patterns, generally, fall into two categories:
1. Bundling data in different groups (you did this unsuccessfully), and
2. Making use of mechanisms which create more degrees of freedom and find patterns in this data sets by filtering and using logic to pin point specific cardinal moments in the market flow. The "betting BS is not part of this.
To do either of the above requires that the quester stick exclusively to the dictated variable in the Algebra od the base with which he is working. You avoided following this requirement as well.
One Tick would probably be the only substitute of hatred data series!