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Using ES Time and Sales
- Thread starter traderkay
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That's what I've noticed. Stability is improving with volume. The NQ system that averaged 3 trade/day over the summer is now doing 7 or more trade/day recently. It's much more profitable at the 7 trade/day level now than it could be in the summer at 7 t/d.Quote from Grob109:
Well we all hate summertime anyway.
It's not surprising since these are tick-based systems. Each tick clocks the system.
Quote from Htrader:
A big reason why the t/s for the ES is not that helpful is because its a fragmented market. Besides the futures, you've got the spy, the big pit contract, all the underlying stocks, plus all the other indicies that closely track the ES.
With stocks the t/s shows every trade, but that doesn't work with futures.
This is precisely opposite to what I have determined through my tests. You donât necessarily need to see every trade. ES and NQ tick data is highly informative if analyzed in the right way. It also seems less fragmented than the stock tick data Iâve worked with.
A lot of this depends on vendor. Iâve seen huge differences in quality of Emini data between vendors. Main problems include missing ticks and inaccurate timestamps. Some stock tick data suffers from out-of-sequence trades.
Very impressive results! Even if it's not scalable Iâm glad to see itâs possible to skim such profits in high volume situations. Can this be automated?Quote from Grob109:
Who knows? We were running between 35.2 and 38.1; it is common to use other values as well. If I have less than 4500 to 6000 contract vol per 5 duration on a 5 min chart, I guess I would not keep cycling at that rate. (it would be slower). The depth was always about three digits. You can count on just a noise level to support this. Over the long term it will generally be there.
Quote from prophet:
Neutrality. Periods where the system sat out.
That is so important to have designed in. I like your summer winter trade ratios as well. not only does trade frequency increase, the profits per trade stretch out too.
Someone said something about what is in the cards for the future. I know the trading systems are going to be improved by leaps and bounds too. Multiple duration trading will probably come to the fore soon.
I can hardly wait until the global era really starts to groove; then we can just run 24/7 when the liquidity is turned on as the earth rotates.
Quote from Grob109:
The other posters in this thread are using overkill or something.
If you look at the trading sequence you see a rhythm. since i was mentoring I didn't step up the profit taking until the last third.
The one loosing trade there was to show how long it takes to get back into rhythm by waiting and then washing to get on the right side of the market.
The first trades were isolated. just to show how entries and exits work. Then I entered and reversed once and left. Did that twice to be a little redundant to let it sink in.
Finally I just kept pulling profits steadily with linked trades.
To do this you quash almost all the streaming data to get the crap out of the way. (See all the problems bear etc have with extraneous BS) You look at one horizontal line with about six real time values. All you do is stay on the "right" side of the trade.
I posted in one of the challenges last week that ET can't handle real time posts on trading. This print shows why ET doesn't work.
Just look at how the flow of trades goes. It is a very steady flow. I do not run 1 contract for this unless I am just running a beginner's account at my place. That is what that is.
Normal people who are above beginner run 10 cars or 25 or 50 or more. You have to just pace with the market in terms of quantity. It is a liquidity issue for the trader.
The caveat for giving out the rules for this, is that most people, as has been pointed out in your thread, cannot adjust mentally to the reality of making money. Usually it is better to just trade the person's account up and gradually let them sit in for spells.
More than half of my attention is to my log; but you can see by the print that I had to push about three buttons per trade event. I was also explaining it too, which takes some intellectual effort.
I know all this sounds arrogant to you but that is how life goes. I enjoy telling people how to make money and you usually see everything as arrogant BS.
The attachment is T&S trading at a beginner level.
If I understand you correctly, you are saying the entire trading really amount to reading the tape, feeling the rhythm, then scalping ticks. I can buy that, because I know from watching the tape there are 1000s of contracts changing hands that way, not just in es, but in nq, ym and zb also. So in trading with the rhythm of the market, do you take the trades at the market, or use limit orders?
Quote from prophet:
Very impressive results! Even if it's not scalable Iâm glad to see itâs possible to skim such profits in high volume situations. Can this be automated?
Yes completely. When the bear person tells me how he wants it explained, you will see that it is programmable in just a matter of several lines of go/no go equations (Boolean). I got stuck in that mode in the late 50's.
Quote from mBear:
You may notice also after a while, that some large orders for "fake" support\resistance (a few ticks away from the present b\a) are entered and pulled by a computer program, because it occurs so quickly.
Good luck on your tape reading.
it's just Nitro computer try to get in front of the line in case a line is forming
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