Chinook's EUR/USD (E/$)Mumblings
- Thread starter chinook
- Start date
Interesting to note how the MM on EuroFx definitely wretches away at watching the 80+ contracts at 1.3257 - it's almost as it's taunting him. A defense is laid out for 1.3260-ish and pressuring the cool 80-lot ...
Strange, why let the lot lie there in all it's size when it could easily be triggered or similar ... ? Thus it could hit the MM easily. Seeing Globex user-ids could probably give the answer .. but ..
edit: heh, 1 minute after this post - the lot was removed, when it had been there for almost an hour.
edit2: it was moved 2 ticks up, but the MM won't touch it. The MM had jumped a few ticks now and then to get away from the 1.3259-ish level leaving a blank tick between etc. to pressure upwards.
I am trying to code and "learn" these patterns in the book as they happen and change. Finally someone took the lot.
One could almost start to think the MM was lurking on this board with nothing better to do ...
edit3: on this last dip in the range one could note how the usual "pawn defense" was used by the MM to fill minor lots and create and artificial spread with regards to spot prices. The case is worse on the USDJPY where huge spreads are the norm tonight - as many other nights have also been for the H5 contracts. The "pawn defense" and the subsequent trapping is quite interesting to see work easily over and over again - but I guess there are a lot of traders, just to bad I don't get to see their Globex User-IDs to get a feel and statistics on how many there are participating.
The current tight range is just a chop - a strategic small game. If anyone did play networked Empire with Perl-programmed defenses or similar with some of the C-robots games or perhaps even the newer www.RoboForge.com with money prizes in tournament etc. Here's a link to a collection of some of these games: http://www.gammax.net/aiforge/game-links.htm .
Dennis Ritchie , one of the C and UNIX guru/founders , had a nice game going around 1966 - written in Redcode for the called Darwin or Core War - even today played by hackers, mathematicians and some other long haired, bearded fellas with too short trousers (you know who they are!).
I posted this info because I know some of you are interested in automata-programming as well. You can learn a great deal on AI Game programming techniques. I frequently read www.gamasutra.com as well, and some other more game-programming related sites. One nice site was the truly revolutionary second-life MMORPG ( http://secondlife.com/ ) featured on Gamasutra 12 months back or more ... it even featured a type of in-game economy where you could sell creations. I'm rambling again .. just one of my old-time interests; game-programming that is.
Strange, why let the lot lie there in all it's size when it could easily be triggered or similar ... ? Thus it could hit the MM easily. Seeing Globex user-ids could probably give the answer .. but ..
edit: heh, 1 minute after this post - the lot was removed, when it had been there for almost an hour.
edit2: it was moved 2 ticks up, but the MM won't touch it. The MM had jumped a few ticks now and then to get away from the 1.3259-ish level leaving a blank tick between etc. to pressure upwards.
I am trying to code and "learn" these patterns in the book as they happen and change. Finally someone took the lot.
One could almost start to think the MM was lurking on this board with nothing better to do ...
edit3: on this last dip in the range one could note how the usual "pawn defense" was used by the MM to fill minor lots and create and artificial spread with regards to spot prices. The case is worse on the USDJPY where huge spreads are the norm tonight - as many other nights have also been for the H5 contracts. The "pawn defense" and the subsequent trapping is quite interesting to see work easily over and over again - but I guess there are a lot of traders, just to bad I don't get to see their Globex User-IDs to get a feel and statistics on how many there are participating.
The current tight range is just a chop - a strategic small game. If anyone did play networked Empire with Perl-programmed defenses or similar with some of the C-robots games or perhaps even the newer www.RoboForge.com with money prizes in tournament etc. Here's a link to a collection of some of these games: http://www.gammax.net/aiforge/game-links.htm .
Dennis Ritchie , one of the C and UNIX guru/founders , had a nice game going around 1966 - written in Redcode for the called Darwin or Core War - even today played by hackers, mathematicians and some other long haired, bearded fellas with too short trousers (you know who they are!
).I posted this info because I know some of you are interested in automata-programming as well. You can learn a great deal on AI Game programming techniques. I frequently read www.gamasutra.com as well, and some other more game-programming related sites. One nice site was the truly revolutionary second-life MMORPG ( http://secondlife.com/ ) featured on Gamasutra 12 months back or more ... it even featured a type of in-game economy where you could sell creations. I'm rambling again .. just one of my old-time interests; game-programming that is.
Yes looking at the crosses is ok when it seems like a concerted effort - but when they act independently - the INACTION creates some of the best opportunities I think. The hard thing is figuring out which pair will move because of the inaction - but "hedging it" and playing both of them can also work sometimes. 
Quote from Gringinho:
Interesting to note how the MM on EuroFx definitely wretches away at watching the 80+ contracts at 1.3257 - it's almost as it's taunting him. A defense is laid out for 1.3260-ish and pressuring the cool 80-lot ...
Strange, why let the lot lie there in all it's size when it could easily be triggered or similar ... ? Thus it could hit the MM easily. Seeing Globex user-ids could probably give the answer .. but ..
edit: heh, 1 minute after this post - the lot was removed, when it had been there for almost an hour.
edit2: it was moved 2 ticks up, but the MM won't touch it. The MM had jumped a few ticks now and then to get away from the 1.3259-ish level leaving a blank tick between etc. to pressure upwards.
I am trying to code and "learn" these patterns in the book as they happen and change. Finally someone took the lot.
One could almost start to think the MM was lurking on this board with nothing better to do ...
edit3: on this last dip in the range one could note how the usual "pawn defense" was used by the MM to fill minor lots and create and artificial spread with regards to spot prices. The case is worse on the USDJPY where huge spreads are the norm tonight - as many other nights have also been for the H5 contracts. The "pawn defense" and the subsequent trapping is quite interesting to see work easily over and over again - but I guess there are a lot of traders, just to bad I don't get to see their Globex User-IDs to get a feel and statistics on how many there are participating.
The current tight range is just a chop - a strategic small game. .
.
Through what do you see all this to try to decode MM action in the EUR futures...? I trade through IB TWS and all I can see is the mkt depth window...couldn't tell MM or not except to guess by size...some insight would be appreciated..
The MM frequently has some big size bid, ask orders which it moves out of harms way most of the time. Many times they also deploy various "techniques" - like flashing, rapid toggling, trapping with smaller lots etc.
While you can clearly see some retail customers - usually minor lots - and most often 1-lots - being traded - the bigger lots frequently seem to be eaten by the MM. You can see big volume being withdrawn from price-levels, and some minor volumes staying when spot prices fluctuates. Some times this seems to be part of the MM strategy, and other times this might be retail customers.
Some other big customers or market maker salso meddles in - and this becomes evident with varying flashing and reaction times to spot price variation etc. Many times it seems the MM cap markets either way to their advantage - or even trigger opposite reaction moves on some specific trades and price levels being hit. Other times the fun game of "slapping" seems to happen when they fight it out with 1-lots both ways to print the tape. Other times they spoof volume rapidly - probably some built-in FUD-technique (Fear, Uncertainty, Doubt).
If I had access to Globex User IDs I would try and get an edge in knowing their tricks and better understanding how they pressure market participants - "make markets".
The most common technique seems to be big spreads and unfavourable small lots held on price levels as to not having the future getting printed on the equivalent spot price - when it's unfavourable to their holdings not squared off. You can e.g see a 200+ lot on best ask sometimes, while the other 200+ lot is 2-3 ticks lower than the best bid - with 2-3 small lots holding up the space between. Sometimes this can be smaller retail customers - but in the wee hours it seems to be a strategy deployed in thin markets.
I spend almost all my time when trading analysing the play in the orderbook, and I find it similar to guessing moves in e.g Shogi-games (japanese chess). If I had user-id's linked to the order-book and T&S info I would have had a full confirmation of the patterns I see.
My opinion is that it would be very, very, very worthwhile to analyse these trading patterns by the Market Maker during hours where they manipulate greatly - to be able and extract some edge over the market maker. That would be equal to having an edge over the casino house - in those specific conditions. The condition would not be present during normal RTH - most times , except in some choppy ranges - nor when some underlying bigger spot moves were taking place.
As the market maker is the one taking opposite side of your trade at these times, they would surely not have in their best interest to let you gain on your trading - so they have a bag of tricks to "scare you" from holding your position - or trade the market in the opposite direction when their holding allows for them to do so. That's how they are making money. They're seemingly not making money on "making bets" - they take bets from traders and do their best, which obviously involves a lot of processing about how traders are trading.
Some trades you can recognize by trade size - but other trades you can get by "trading patterns" - i.e indicators etc. If you also have the User ID to uniquely identify the trader - you have a tremendous edge. That edge can be approximated by analysing the book, but it is obviously very hard - NPC - knapsack-related problem.
When you frequently see your stop being hit and then the market reverses you know that they have an edge over you. Identifying "small patterns" and pieceing together movement indications can some day give you an edge. Otherwise the RTH are probably the only safe hours to trade unless there are a lot of overnight spot activity, or you employ very wide stops.
Applying the old voodoo-doll technique might be just as effective at times.
Scalping in illiquid market conditions with market makers with a great edge over you is probably some of the more difficult trading you can do - unless you are using a similar edge. They can widen spreads, flash big volume to lean on direction and fill up spreads away from the underlying market price. So it's not a cakewalk. Doing some positions can be good though, although there are issues when markets get shrugged by choppy trading and frequent range-changes, or stair-stepping.
If you had a choice, you would probably prefer to hit other traders' orders than the market maker's to try and avoid the MM skewing his market against you.
Gringinho,
Thanks. Very true...one of the reasons I hate leaving stop orders too close specially during slow inactive mkt times. I've also heard in the FX spot mkt frequently firms (MMs) scare off the retail (little) traders into bailing their positions...I would expect (hope?) at least in the futures mkt this kind of activity is more difficult given that they are traded in a common exchange....I don't know much about FX Futures exchanges but would think it would be too difficult in S&P futures for example..? I could be wrong. I hope you find a method to exploit this (i.e.. beat them in their own game) thru your knowledge of game technology/theory.
Thanks for your time.
I've been continuously backtesting my system on various instruments. What started as a promising system for EURUSD ended up being a more robust system for ES. I'm getting more stable results with less equity curve drawdown on ES than EURUSD. This has been a very good experiment for me testing same trading ideas on different instruments. I was able to see the weaknesses and strengths of the system better this way.
I'll do more work this weekend and I might go live with ES system trading next week in semi-automated form. For automation, TS generates a text file and Bracket Trader reads the file and sends and OCA order to IB. The trick is to write the system as an indicator and apply it the chart. This way I can get intrabar executions since the indicators update with every tick.
Then, I just need to trail the stop in manual mode using BT. So pretty much entries and target exits will be automatic. I've been testing this setup last couple of days in BT simulation mode. TS can't execute orders intrabar so I'm getting some discrepancy in the trades. But this is OK since this combination does exactly what I'm trying to do for entries.
I'm hoping to improve the EURUSD system by reducing its equity drawdown. I might be able to do this by lowering the profit targets and adjust the trailing stop. I'm also experimenting with filtering the trades with the daily and 4 hour trends. I wrote this before, all the systems I tested on EURUSD actually performed better on USDJPY.
I'll do more work this weekend and I might go live with ES system trading next week in semi-automated form. For automation, TS generates a text file and Bracket Trader reads the file and sends and OCA order to IB. The trick is to write the system as an indicator and apply it the chart. This way I can get intrabar executions since the indicators update with every tick.
Then, I just need to trail the stop in manual mode using BT. So pretty much entries and target exits will be automatic. I've been testing this setup last couple of days in BT simulation mode. TS can't execute orders intrabar so I'm getting some discrepancy in the trades. But this is OK since this combination does exactly what I'm trying to do for entries.
I'm hoping to improve the EURUSD system by reducing its equity drawdown. I might be able to do this by lowering the profit targets and adjust the trailing stop. I'm also experimenting with filtering the trades with the daily and 4 hour trends. I wrote this before, all the systems I tested on EURUSD actually performed better on USDJPY.
Quote from Gringinho:
Yes looking at the crosses is ok when it seems like a concerted effort - but when they act independently - the INACTION creates some of the best opportunities I think. The hard thing is figuring out which pair will move because of the inaction - but "hedging it" and playing both of them can also work sometimes.
I suppose euro leads the way?