Simple ES Market Model

ATSTRADER,

Thank you for explaining. Do you use software to do all the counting? Do you have a stoploss or do you just close positions at end of day? The 80% win rate is for how many trades.

ty
 
may i ASK WHAT DATAFEED DO YOU USE. IS IT POSSIBLE WITH A CHEAP BROKER LIKE IB..??

I GUESS I WILL HAV ETO USE POLLING METHOD RATHER THAN THE FIXED INTERVAL METHOD TO GET THE DATA FROM THE BROKER TO THE SOFTWARE APPLICATION THAT DOES THE TRADING.....

HAVE YOU HAD SUCCESS WITH THIS??
 
Quote from ATSTRADER:

Ofcourse you need tick-by-tick datafeed :)
More...

There is no such thing, especially since the CME changed how they transmit data now.
 
Which broker/datafeed tells you whether the last trade was executed at bid or ask using an API or what was the ask /bid price when the last trade was executed.

I have tried to find this using IB ( API ) and tradestation ( easy language ) but with no success.

Thanks,
 
I'm answering to all of you...
We have special API build to pull data every 0.2 sec directly from the PATS server... For most of our Market models datafeed in this frequency works.
With IB or Tradestation you won't be able to build anything... There are several brokers that provide much better service for the same commissions or less...
We went to the broker that provides good service, and made a deal with them... our commissions are 70c per side. They help us to connect to the PATS directly.
 
Neat!!!

So I am sitting here looking at this posting wondering why the hell a trader would log on and give away his edge?

Had to take a while to figure this out, and what could motivate someone to then go find a site like this and post it for you hosers to use free of charge.

Then (of course) eventually the "other shoe drops".

We can get this access IF we use a specific broker (what a surprise) and pay 70c a side (wowee!!!)

I am pretty fucking amazed. That is a smooth approach. I had no idea. You are really very good.

Congratulations

Steve
 
Quote from steve46:

Neat!!!

So I am sitting here looking at this posting wondering why the hell a trader would log on and give away his edge?

Had to take a while to figure this out, and what could motivate someone to then go find a site like this and post it for you hosers to use free of charge.

Then (of course) eventually the "other shoe drops".

We can get this access IF we use a specific broker (what a surprise) and pay 70c a side (wowee!!!)

I am pretty fucking amazed. That is a smooth approach. I had no idea. You are really very good.

Congratulations

Steve
More...

Steve,
I'm not advertising my brokers, I'm not calling their names:)
We deal with 2 brokers, both of them are the largest and most reliable in industry ... and this is true, we paying $0.7 with one and $0.69 with other per side...
I posted one of our Models on the web, because we stop using this Model already... we have build new, more advanced models. :)
The reason why I start these postings is to let people know about Market Modeling approach to trading... and be more creative in developments.
And Steve, I'm not saying that you could get it even IF... :)
I'm just giving you an idea to develop on your own something that really works...
Thank you, I am really very good :D
 
Quote from ATSTRADER:

I'm answering to all of you...
We have special API build to pull data every 0.2 sec directly from the PATS server... For most of our Market models datafeed in this frequency works.
More...

Wait a minute - a few posts before you said you needed a tick by tick data feed, now you say you use a .2 second polling type feed.

Which one is it?

Again, there is no such thing as a tick by tick feed.
 
ATSTrader,


If I follow what you are doing this is a mean reversion system using a tick count to determine short term oversold or overbought conditions.

I have a few questions if you don't mind answering:

What were you using for profit and stop loss rules?

What kind of expectancy did you get from it historically?

Why do you suppose it stopped working and how long ago was this?

Given that you set your orders on the bid what is the frequency of fills vs signals?

Thanks for any additional data,

Sam
 
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