..alas, I am not at the same level of development as a trader as you two are, and I will probably not live long enough to be. The reason that I need code which executes in less than a second is that I am clunking along with a pure price based reactive intraday system which at most trades for 45 minutes. I need the speed because I am comparing the calls of the system with the market order fills I get so that I may keep a running tally of slippage. I get my fills exactly one second after the system call. My systems are not so profitable that they are immune to slippage. Best regards. - Mike
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Market Timing Signals
- Thread starter larrybf
- Start date
Quote from hypostomus:
..alas, I am not at the same level of development as a trader as you two are, and I will probably not live long enough to be. The reason that I need code which executes in less than a second is that I am clunking along with a pure price based reactive intraday system which at most trades for 45 minutes. I need the speed because I am comparing the calls of the system with the market order fills I get so that I may keep a running tally of slippage. I get my fills exactly one second after the system call. My systems are not so profitable that they are immune to slippage. Best regards. - Mike
Your system call is a lagging call. I would say by quite a bit.
Another factor is the coarseness of the altgorithm that it uses.
The other significant consideration is how trends overlap each other. Once you understand that max profit exits occur within the trend channel and that channels overlap, you begin to see how the timing for making money works.
Here is an interesting way to check out your timing. Spread out a trade on a chart. Draw a vertical line at the reverse. then draw vetical lines earlier than your exit. By offsetting earlier and earlier you see two things: more profit on the first trade and more profit on the second trade. At some point you do not marginally make any more money. But do continue to draw more lines. you will come to signals on these lines. go back about three signals. That is the place to begin to do your reverse. Not the transaction but the beginning of the sequence of signals leading to the optimum real place to reverse.
After you get this stuff understood, do it for all the trades of the day. Edge traders can do it twice since they enter on set ups and exit when they hit targets. They can see easily the sequence leading to non failure entries and they also can see how arbitrarily setting targets that they make up are no longer needed. By thinking, it is possible to see every optimum exit as an entry for the next trade. Especially if you find out that trades and trends overlap.
The years that people spend losing then throwing out stuff and repeating can be shortened up quite a bit. You can see that you provided ET with a lot of info. Others look at your situation to the extent they wish and then there is follow on.
When people tell others they are messed up, it usually is in the context that the critic uses. The two conclusions most drawn by people here in ET is that another does not trade or that the other person is inferior. Both are dead ends because of the responders. You have your drill down it turns out and you are also in a place to improve it. A few stellar approaches showing up at ET will really give this place a needed boost.
...thank you kindly for your thought-provoking exposition. I will contemplate it carefully. Best regards. - Mike
Hello
On the ES I've found that I can understand market direction (and reversals) better for the first hour and a half by consulting 1-minute charts and then a 2-minute chart for the next 4.5 hours followed by the 3-minute to finish out the day.
Do others use similar time considerations?
Best wishes,
JD Schaefer
On the ES I've found that I can understand market direction (and reversals) better for the first hour and a half by consulting 1-minute charts and then a 2-minute chart for the next 4.5 hours followed by the 3-minute to finish out the day.
Do others use similar time considerations?
Best wishes,
JD Schaefer
...for my first 60 minutes systems I use 1 minute charts. Not trading the rest of the day, but am still using 1 minute for system development for the post open period. I have formed the provisional opinion that mechanical systems still need the 1 minute resolution for consolidation breakouts. Another reason I do that is to keep track of slippage by triggering signals at the end of one minute and entering to the second at the opening of the next minute.
Quote from JDRower:
Hello
On the ES I've found that I can understand market direction (and reversals) better for the first hour and a half by consulting 1-minute charts and then a 2-minute chart for the next 4.5 hours followed by the 3-minute to finish out the day.
Do others use similar time considerations?
Best wishes,
JD Schaefer
No, not at all.