What's a worthwhile daily take on the e-mini S&P 500?

[Laissez Faire]

Soooo... (10 x 1) - (10 x 1) is exactly correct: PER CONTRACT is Net zero at days end. The other way, PER TRADE feels better though. Tough!

NET P&L / Total number of contracts (not sides) traded is completely misleading if you are doing different size trades and/or adds in a non-martingale fashion when determining PER CONTRACT. JMO

Agreed. I don't add/scale a lot, so I'm thinking it could possibly work as an approximation. I might track both.

As you track points per contract yourself, it seems - how do you go about it?

As for other platforms, Sierra trade aggregation or not, is as option through it's scale-in/scale-out settings and other trade treatment settings.

Nice. The reasons for leaving NT in favour of Sierra are growing, but I'm 'married' to NT, so won't do it anytime soon.

 

[tiddlywinks]

As you track points per contract yourself, it seems - how do you go about it?

Daytrading, I'm all-in/all-out. That solves almost any problem regarding the per contract calculations. I used to do the aggregate Net PL / total # of contracts way. It made me feel like the master of the universe! Now I'm more seasoned doing what I do, and I'm interested in being the master of me and mine only.... who's your daddy!!!

The reasons for leaving NT in favour of Sierra are growing, but I'm 'married' to NT, so won't do it anytime soon

I understand. I have the exact problem with SC. I get a bug up my butt about once a year to "look" at other platforms. I haven't found the one that I can get excited about refactoring all my custom SC stuff for. Last one I looked at was MotiveWave... Luv some of their stuff!! But with warts too. I know the SC warts that affect me.

 

[Laissez Faire]

I understand. I have the exact problem with SC. I get a bug up my butt about once a year to "look" at other platforms. I haven't found the one that I can get excited about refactoring all my custom SC stuff for. Last one I looked at was MotiveWave... Luv some of their stuff!! But with warts too. I know the SC warts that affect me.

That's interesting. My impression is that Sierra is a rock-solid superior platform. I know a lot of people on futures.io switched from NT to SC.

Having used NT for such a long time now, having a lot of custom stuff too and generally being mostly satisfied, I'm sticking with it for now.

 

[tiddlywinks]

That's interesting. My impression is that Sierra is a rock-solid superior platform. I know a lot of people on futures.io switched from NT to SC.

All true. And all part of the "difficulty" in finding an acceptable alternative platform.

From a necessity pov, I have no reason to change. None.
From a desirability pov, SC is like using Windows 98/XP today. SC is very old school. The warts, what-nots, and archaic procedures can be solved by switching, but comes at a cost of different warts and what-nots . For a simple example, a line is NOT a manipulable object in SC. But the C++ ASCIL language of SC is more than capable... I can program a line, create it, slope it, track intersections, and do mostly whatever I want to/with it, along with maintaining it all, including it's destruction. And all the while hoping SC doesn't make any changes to break the code. But why do I need to reinvent the wheel? Line objects are standard in more recent warez. As example.

 

[syswizard]

This is really a somewhat futile to misleading exercise. I haven’t met anyone yet who could control the market.

Sorry Bone, but one guy did in fact do this. His name is Navinder Sarao. And he pulled down over $70 million in the E-Mini market over a period of 10 years by scalping using an algorithm. His big mistake was not quitting while he was ahead and instead he took on the CME Group and the CFTC when they refused to shut down the other algos. That got him arrested and he lost all of his profits. Helluva story.

 

[bone]

I know the spamming case you are speaking of. I've read the CFTC and SEC complaints and followed his court case. I would argue the point that he "controlled" the market in the literal sense of the term. He would induce naive specs to puke "into him" by creating artificial market imbalances - but he did not literally control the S&P 500 Index.

If Sarao could quite literally "control" the S&P 500 he would make $70M in a day and not over a ten year period.

Sorry Bone, but one guy did in fact do this. His name is Navinder Sarao. And he pulled down over $70 million in the E-Mini market over a period of 10 years by scalping using an algorithm. His big mistake was not quitting while he was ahead and instead he took on the CME Group and the CFTC when they refused to shut down the other algos. That got him arrested and he lost all of his profits. Helluva story

 

[syswizard]

- but he did not literally control the S&P 500 Index.

Of course not. But how could he ? 500 stocks ?

If Sarao could quite literally "control" the S&P 500 he would make $70M in a day and not over a ten year period.

First of all, he was controlling the CME's ES order book programatically. For the most part, I think he was fooling other bots/algos instead of the specs. He was only winning a tick or two on each trade, but of course he was trading 100-500 lots. So with 50-100 trades a day, the numbers quickly added up.
The most amazing thing about this story is why he didn't walk away a multi-millionaire when the CME Group told him to stop spoofing.

 

[TheRumpledOne]

Yes.

Of course there is more to it, but it all starts with knowing and having a full understanding that there are only 10 possible formations of adjacent price-bars.

Good trading to you.

10?

Red to green green to red green to green red to red That's 4

HHHL, HHLL LHHL LHLL That's 4.

If you combine the two, that's 16!

What am I missing and/or not understanding?

 

[Sekiyo]

I know the spamming case you are speaking of. I've read the CFTC and SEC complaints and followed his court case. I would argue the point that he "controlled" the market in the literal sense of the term. He would induce naive specs to puke "into him" by creating artificial market imbalances - but he did not literally control the S&P 500 Index.

If Sarao could quite literally "control" the S&P 500 he would make $70M in a day and not over a ten year period.

What's unfortunate is that spoofing is common practice.
We see it daily in the markets, complaints & Co.
Poor little lone trader taken to jail.

June 18, 2020

Washington, D.C. — The Commodity Futures Trading Commission today announced the settlement of two enforcement matters involving Deutsche Bank. In the first matter, Deutsche Bank AG (Deutsche Bank) resolved federal court charges stemming from alleged violations of various swap data reporting and other regulatory violations. In the second matter, the CFTC issued an administrative order against Deutsche Bank Securities Inc. (DBSI), filing and settling charges that two of DBSI’s traders engaged in spoofing. According to the order, DBSI manually placed bids or offers on the Chicago Mercantile Exchange (CME) with the intent to cancel those bids or offers before execution, an illegal practice known as spoofing.

 

[bone]

Poor little lone trader taken to jail.

He was actually warned by the CME and he ignored them. He could have walked away with $70M and instead he chose to continue to twist the Dragon’s tail. And maybe Sarao’s reported autism prevented him from appreciating how untenable his situation was if he continued - who knows.

In the early 2000’s - I (literally) got a couple phone calls from ICE and Eurex telling me to knock it off when I crossed trades and stacked the order book in odd ways. (They got my number from my clearing firm). And I told them that I was bored and was just playing around (a white lie). But I always stopped doing that because I knew that all trading exchanges had a vague general rule in place “to maintain an orderly market”. Which gave them quite the open hunting license. And I did not want to ruin my access to the exchange where I made my living.