What kind of techniques do heavy scalpers use?

[PointOne]

Quote from dcraig:

It seems to me that this is a proposition that could be tested by analysing the data. Such being the case, there is no need for it to be "controversial" at all. If nobody can be bothered doing this, then I suggest that this thread not be polluted by a Pythonesque exchange of "this is not argument, this is contradiction".

OK. I was just helping out someone who asked a question. Sorry if I offended you in some way.

 

[john99]

Quote from frank_london:

That is not true. On the release of an ECO # everything moves at the same time(or within milliseconds) unless someone gets wind of actual release or its released early by one of the wires early, like Reuters has done on the Employment Report in the past. Even if it where true that the ZN sometimes led it is not actionable. Are you going to put on an es trade if the bonds jump a few ticks at 7:29:57? before the CPI release.

The reason its not true is that now there are "quant. bots." that trade the release of ECO #'s within milliseconds of the release, much faster then any human could react and across all markets that release is relevant to. So bonds/notes will not go first. I've been trading along time and know people/ firms that do this. I used to game the release of ECO #'s but it is no longer viable, now you must wait to play the reaction.

P.S. I was using Bloomberg and Reuters to game the #'s

I agree Frank. Sometimes I would see a print on ZN before ECO #'s released, but there isn't any edge for retail traders knowing this.

 

[nkhoi]

Quote from CFerret:

IMO it doesn't matter much if ES lags YM or wise versa. What is important when looking at both is their interaction (if they move in tandem or diverge etc.).

on a rare occasion like today ES lags YM in some instance, they are still in the same shape thus divergent is just not possible.

 

[frank_london]

Quote from nkhoi:

on a rare occasion like today ES lags YM in some instance, they are still in the same shape thus divergent is just not possible.

That is a divergence where the less liquid contract (YM) made a new high and the "thick" contract (ES) didn't go along. Many times you will see that in correlated markets where one contact is significantly more liquid then the other.

 

[nkhoi]

Quote from frank_london:

That is a divergence where the less liquid contract (YM) made a new high and the "thick" contract (ES) didn't go along. Many times you will see that in correlated markets where one contact is significantly more liquid then the other.

good eye, however that is ym 2m vs es 5m and Cferret is more interest in if they move in tandem or not, here is both contracts on 5m to anser that question

 

[frank_london]

"Heavy Scalpers" are in and out extremely quick. Sometimes a few seconds, other times when they get what they are looking for they will hang with it a little long say, 2-5 min maybe.


The majority of my trades are under 1 min. I'll post may blotter in a spread sheet once I'm done trading so you guys can see what I'm talking about.

I think that will give you the best perspective.

 

[frank_london]

Hope this helps.

Here is my blotter

 

[trader225]

Quote from nkhoi:

good eye, however that is ym 2m vs es 5m and Cferret is more interest in if they move in tandem or not, here is both contracts on 5m to anser that question

There doesn't appear to be any lead/lag there.
The bars over some apparent price divergence are more a measurement of noise than signal.

 

[jem]

Jack said


the futures index I trade lags well behind the cash index and the futures index that I monitor to be able to trade my lagging index. All of this is a very fortunate circumstance for me.


first of all jack I once did quite a lot of research on this issue.


Where is your cash quote coming from. Is is dynamic or are you getting updates. How frequent are your updates. last time I checked qcharts cash quote updated stochastically - periodically. It is not a dynamic caluculation.

do you know who has a faster quote?

Where do they get their "fast cash" from? (or at least they used to get it when I did the research)

does anyone have a way to calculate an even faster cash?

How come you did not explain to your students that your "leading indicator" is derived from a snap shot of the past.

 

[john99]

Quote from frank_london:

Hope this helps.

Here is my blotter

I wasn't able to figure out the total P/L for your blotter, but I was wondering something more important, which is what your commisons were as a percent of your profits for that trading day?