HFT is Killing the EMini

[T1P1]

Quote from syswizard:

Very nice analytics you've got going on here.
Trading on volume bars of 1000 contracts, eh ?
Very interesting.

Thanks for the kind words.

Peter Steidlmayer used to teach that the 2 most important points of information were to know the balance of trade/order flow and to identify and locate strong bursts of commercial buying or selling.

The market profile as a tool is somewhat dated and is certainly not as effective as some of the tools that have been spawned by the current technical evolution in Market Profile Theory.

The spike in the middle graph attached represents a measure of certain trade velocities taken in the millisecond time frame and notes situations where the velocity is beyond that of human traders or a combination of human traders hence signifying commercial, computer executed trade.

The histogram is a moving window of the balance of trade. The divergence signifies that the buying volumes underneath the last price surge were weakening thus signifying that the buyer was exhausting himself. When the buyers become exhausted, there are only sellers left and a top is created as it is in the example below.

Thanks again for the kind words.

 

[athlonmank8]

Quote from dumb_mother:


and clubber you make me laugh calling me a "piker"- i do realize most people that post here are, but if you actually think you are a good trader... please come trade the treasury futures curve so i can pick you apart like i do the rest of the world every day.

I don't think there's enough room for another ego.

 

[brownsfan019]

Quote from T1P1:

Spot on.

Not only that, no clue as to how HFT traders get paid. They are paid for filled resting orders. That is they make mean reversion trades which dampens noise and adds great liquidity.

Daily range is up, average volume is up and volatility is up - doesn't sound like a dying anything to me - more like a traders dream.

I trade order flow with spikes that detect surges in commercial trade velocity and have seldom seen such a favorable enviornment for short term, intra-session trend following trades.

Big legs, more volume and someone is bitching? If HFT is the cause of this - I say bring more of it.

Attached is a chart from Friday's trade (09/09 Time PST) with just such a situation. There was a topping spike in commercial trade velocity and obvious negative divergence between price and a moving window of order flow.

In the 40 monutes following the spike and the divergence ES dropped 20+ points. Not bad for a market that is being killed by HFT.

Do you work for Pat/UrmaBlume? Are you the banned Pat/UrmaBlume? Or just a really happy subscriber?

Chart is from the banned UrmaBlume. He's been pushing his wares at TL and now those magical charts show up again on ET.

Here's the best part -- Pat went on and on @ TL about how his stuff was so great, it wasn't for sale, etc. etc.

Guess what? Now you can buy the magic for $1400/yr.

Just the standard 'I got the holy grail for sale' crap. Once again - if it was so good, why on Earth would it be sold for $1400/yr?

Will you post actual real-time charts or just the pretty after the fact charts that Pat loves to post?

BUYER BEWARE OF PAT DITTMAR AKA URMA BLUME

 

[stock777]

Quote from Spiker:

This is precisely whats going on.

"ES traders never really know if they are seeing a pullback against the "trend" or a complete out-of-blue reversal that's running deep the other way."

so they admit its damn near impossible to read but claim to be minting money nonetheless.

interesting.

must be talking about everyone but themselves, who can divine all, see all, and know all.

 

[wildshoe]

hft makes no sense whatsoever...


the most bearish news in the world hits and the markets shoot up

the most bullish news in the world hits and the markets shoot down


the last 5 years things have gotten very, very backwards

 

[xiaodre]

So what you are saying is people are "buying the rumour and selling the news?"

That's not new.

 

[stock777]

Quote from wildshoe:

hft makes no sense whatsoever...


the most bearish news in the world hits and the markets shoot up

the most bullish news in the world hits and the markets shoot down


the last 5 years things have gotten very, very backwards

the mkts move in whatever manner will make the hft manips money.

dont let them tell you anything else

 

[ogarbitrage]

Quote from wildshoe:

hft makes no sense whatsoever...


the most bearish news in the world hits and the markets shoot up

the most bullish news in the world hits and the markets shoot down


the last 5 years things have gotten very, very backwards

Every equity trade is a currency trade.

 

[Kevin Schmit]

Quote from ogarbitrage:

Every equity trade is a currency trade.

Interesting observation.

Most large short-term (the jump component, ~ 3 to 20 minutes) moves in the stock market do seem to originate in the Forex markets. Half-day and lower frequency stock market large moves (longer term jump component), on the other hand, are definitely idiosyncratic.

Diffusion component of stock returns seems uncorrelated.