Python to trade futures?

Sergio77 · May 16, 2015

Tick level futures trading? How fast do you want to lose your money? Put common sense before programming and Python, it helps.

Twinsen · May 16, 2015

Do you mean scalping few ticks or is it something else?

Sergio77 · May 19, 2015

Why should MMs (automated nowadays) let you win in their own game? Answer this first.

jamesmawm · May 22, 2015

These are the kind of stuffs i'm looking at before making the trade. Seems to be working well for me, at least.

Here's a spread plot:

And here's the order book profile:

All charts update in real-time.
More cool stuffs coming up (actually an algo platform from which I place my trades).

volpunter · May 23, 2015

All looking dandy except all your numbers look off. Certainly a YM-ES spread does not move up and down 1-2% within minutes and 5-10% intraday trading ranges. You want to double check your math there.

jamesmawm said:
These are the kind of stuffs i'm looking at before making the trade. Seems to be working well for me, at least.

Here's a spread plot:

And here's the order book profile:

All charts update in real-time.
More cool stuffs coming up (actually an algo platform from which I place my trades).

jamesmawm · May 23, 2015

u're right, except that i forgot to state it's 0.01% to 0.02%, which equals 0.0001-0.0002 change.
All i simply did was to use the

Code:

Pandas.Dataframe.pct_change()

function.

volpunter · May 23, 2015

ok fair then. Thanks for clarifying.

BTW, what value do you derive by looking at "order profile"? It is just the order book that shows volume at each price level. I mean what value ABOVE a simple order book.

jamesmawm said:
u're right, except that i forgot to state it's 0.01% to 0.02%, which equals 0.0001-0.0002 change.
All i simply did was to use the

Code:

Pandas.Dataframe.pct_change()

function.

jamesmawm · May 23, 2015

that depends on how you make it out to be. for myself, if it's heavily skewed towards one side, or if there's a sudden spike at some price level, it certainly tells me to watch the markets more carefully. this part is only one of the N factors used in my trading models.