Velocity Trader DAX Journal

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Quote from velocity_trader:

I do 20000+ contracts a month and pay the same rate as any else in our firm who does that volme.
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You do 20k DAX contracts? Wow, that's 1% of all Eurex DAX volume.
 
629 x 629= $750 euro net ( $-382 euro)


I pretty much just churned my selflike mad this morning (before U.S. open). I didn't think the Dax would stay in the narrow early range like it did(narrow for the DAX) and was looking for a B.O.
It didn't happen and I got down a $2k early. I wasn't able to short anything on the employment # (wasn't fast enough). But I managed to get back in the positive( gross) and ended up losing some commissions.


Not the way I would've wanted to start this journal, but thats o.k.
 
04 Dec 2003
FDAX Delivery Month Dec 2003 Vol 107k
20k / month = 1k / day
1 / 107 ~1%

OK, if Eurex reports volume by single-side, it would be 0.5%...
 
Speaking of ultra-active DAX trading...
I've done some backtesting on 1-minute data. Impressive performance, BUT you have to execute orders without any slippage. 0.1 Dax point (2.5 EUR) is deducted from each round-trip for commissions.

Testing period is 10 months (circa 220 days)
Total net profit: 8898 pts (avg 40 / day)
# trades: 33723 (avg 153 / day)
Max drawdown: 435 pts
 
Wow! You have 629 RT per day. If you could get 1 tick per RT then you would get 7k a day! Is it really hard to make one tick for a scalper?
 
Quote from 0008:

Wow! You have 629 RT per day. If you could get 1 tick per RT then you would get 7k a day! Is it really hard to make one tick for a scalper?
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It's equally easy to lose 1 tick

-Fast
 
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