Designing A Legitimate Automated Scalping Program .. Pipedream?

Quote from NY0BScalper:

The "quadrant" idea won't work. You are using data that is 99% noise. If you don't have familiarity with real world scalping strategies your chance of success is 0.
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What exactly does "real world" mean? Wouldn't you agree that anyone who trades size would be more than interested to know how the book historically responds to size being placed within the 10x10 bound?
 
Quote from Algo_Design_Kid:

So you are looking at a longer holding period than I am I believe. Mainly I want to trade very large size, bounded at last resort with time restrictions.

Are you just going to run it on live simulation then go for execution?
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It is/will not be practical to run 'large size' on my system...

When completed it has to run sim with the broker to iron out any chinks, but more importantly to ensure it meets brokers' compliances for approximately 2 weeks...

NiN
 
Quote from Algo_Design_Kid:

I don't exactly have the data, I have been recording some. Also, the time I want to trade is very heavy in volume and I am sure I am missing pieces of the data. That is why I was wondering if anyone has invested money into these areas. Ideally it would also include cancellations.
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you can buy the raw FIX messages from the CME and recreate everything.
 
Quote from Now is Now:

It is/will not be practical to run 'large size' on my system...

When completed it has to run sim with the broker to iron out any chinks, but more importantly to ensure it meets brokers' compliances for approximately 2 weeks...

NiN
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Interesting. Be sure to shoot me a PM or something when you figure it out.
 
Quote from rosy2:

you can buy the raw FIX messages from the CME and recreate everything.
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OK, I was assuming that getting the data would be the least of my problems. More or less am generally interested in other users experience doing this if any at all.

I would assume there are some heavy hitters in this certain niche - not that any are freely giving away tips though.
 
"If you don't know how to manually scalp and/or never did, I'd say designing an automated scalping indeed a pipedream."

Yep, +1.

Among other things you would have to have a very good order queue management system and a very fast ECN ($$$: co-located server, dedicated lines).
 
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