gooni

Having only watched it for two days, I'm hardly an expert. Today, I saw the same bundle of 400-500 contracts sitting on the bid a few times, until they disappeared completely. It was rare enough for me to notice. For everything else, the answer is I don't know. I've read a few papers today that suggest arbitrage opportunities are more difficult on the KOSPI because of the difficulty in obtaining short stock. However, one could always perform quasi-arbitrage by selling an existing basket of stocks. The answer really, to the rest, is I don't know. Perhaps you can follow the market yourself and provide us with the answers, as I'm not sure what to be looking for.

If by changes you mean how heavy the hits in time and sales are, most sales are under 10 contracts but I haven't analysed it exactly to find the real quartiles. If you mean does the depth change because of people pulling orders out - well, yes, but to varying extents. There was a 400-500 order sitting on the bid at the low of the day today, was hit heavily a few times, then was completely pulled out. The market then dropped 20 ticks.

Someone asked for a depth earlier, here's a screenshot of the orderbook. It can get a bit thicker than this, but this is a decent indication of what it's like on average.

I use volume profiles on different time ranges. The shaded areas are the transitions between high volume and low volume regions, or what is otherwise known as the 'value area' highs and lows. I believe I created these from the weekly volume profile combined with the dailies.

I was watching it all day today, and the depth of all five levels was between 300 and 1200 on each side. 300 was very thin, most of the time they sat at over 500 (100 each level, each side). Very thick, big movements, and each tick is approx 23 USD.

MK, I think for the most part you can 'guess' fair value as that would be the most common value for the PREM. That is, a slow moving average may be enough. Buy and sell programs kick in at extremes. I realise that this is not exactly accurate, but for the purposes of making decisions (and money), it may be sufficient. If anyone doesn't agree, I'd actually like to hear why :-) Is the Nikkei heavily arbed in this way anyway? Both mini and full? I know not all markets are (because of liquidity, risk, execution costs etc). Or rather, I guess all markets are, but the levels at which this stuff kicks in can be much wider.

FYI TICK is available for the KOSPI. However, it is very heavily weighted towards a small number of issues, namely: - Samsung along is 13.6% - The top 5 are 32% - The top 30 are 68% - The top 50 are 80% So the last 150 stocks make up only 20% of the index. Given this information, would a custom TICK that only included the top 30 to 50 stocks be beneficial? Or is the TICK actually more useful because it does indicate broad market sentiment? These days, I tend to think that the most active stocks in each particular sector should be chosen. That way you get a broad but indicative view of market sentiment, without having stale issues skewing your statistics. Of course, in NeoTicker, I can calculate a custom TICK like this for myself..

Last one - if we can break through 190.75 we should jump down again to the support zone, and quickly (see todays volume profile to the left).

As it turns out.. (Orderbook in this market is very interesting)

What's the depth and volume of the TOPIX like? I don't have it subscribed on my IB Feed, otherwise I'd check myself.

I'm curious as to how you determine your SR zones Soultrader. The red support zone at the bottom of the market is obvious. Are the rest just areas that overlap many profile extremes and value area boundaries?

Some light reading, showing how heavily speculative and retail driven the Kospi is: http://207.36.165.114/NewOrleans/Papers/4201904.pdf I've started looking at this futures this morning, and being so retail driven it seems to trade very 'technically'. The shaded regions are support (bottom) and resistance (top) zones from the last few days volume profiles. 50% retracements also important.

These gents don't yet offer retail execution for overseas traders, based on my correspondance with them. Will let TL know when they do.

Shame that eSignal doesn't provide data for this market, and IB doesn't really provide history. Any ideas on what I can backfill my charts with in order to see if my analysis works on this market?

Ignore my post above, I've worked it out. The arbitrage opportunity exists if the intention is to hold the basket of stocks (or the 'cash' index) and the futures contract until delivery. Your price for both has been locked in, and therefore you are guaranteed a profit on delivery of the future. Anyone who wants to read more go here: http://pages.stern.nyu.edu/~adamodar/New_Home_Page/invfables/futurearb.htm You can see that effectively there is a 'band' in which the futures will stay before they are arb'ed back in line. It is not a single value based on 'fair value' of the premium, as there are transaction and interest costs associated with buying or selling the stock basket, and there is a risk inherent in expecting dividends at certain times from certain stocks. Interesting read.

To be honest, I'm still not 100% sure I understand. For there to be an arbitrage opportunity between the futures and the cash, there is an implicit assumption (perhaps correct) that the futures can move due to factors outside of the futures themselves (such as the price of the underlying). If this is the case: 1. Why can the futures and the cash be out of sync greater than the fair value premium? 2. Why is there an expectation that if they are out of sync greater than fair value that they will revert back to being in sync? Answering "because of arbitrage traders" is not sufficient. If they can get out of sync, then the futures is a pure market and there is no guaranteed reversion back to cash. On the other hand, if the futures market automatically moves in step with cash (+/- premium) then why should it ever be out of sync? The question really becomes, if the futures and cash are in sync, how is it done? Is it because market players have 'agreed' to keep them in sync? Or is it the underlying market automatically moving back to fair value (ie the actual exchange keeping them in sync?). I don't see how this would work. The easiest form of the question: what is to stop a big player from holding the price up artificially in the futures as the cash crashes down?

Only Level I though, not Level II - so same functionality as NeoTicker in that regard. There's no Level II historical data available, from the regular places anyway.

Understood - the differences then are: - NeoTicker allows you to run these replays from downloaded rather than just recorded data. - It is harder to record/replay Level II data in NeoTicker (needs special setup). - NeoTicker does not have a great 'discretionary' trading front-end like NinjaTrader. - NeoTicker lets you run a simple 'tick replay' on a single chart for the purposes of setting up indicators that require tick-by-tick data (such as Market Delta style applications). This allows you to historically verify and test systems based on those types of indicators. This is different to a full market replay simulation (done chart by chart where you need it), and is hence much faster.

I really don't want to be defending NeoTicker to a NinjaTrader representative, but I feel the facts need to be stated. NeoTicker allows market replay based of either real-time recorded or historically downloaded ticks. If you record in real-time, you can also set it up to record the various L2 levels (although it's not as straightforward as it should be). Furthermore, the 'replay' capability is a full tick-by-tick replay, not a bar-by-bar replay - just like NinjaTrader - at 1x to around 500x speed. This can be done in 'simulation' mode for discretionary trading, or forward testing of strategies. However, you can also choose to perform a quick 'tick replay' on a single chart (outside of the simulator), so that you can run historical tests for tick-by-tick trading systems. On my PC, I rerun a single day on the ES in around 10 seconds (that is a LOT of ticks) so that I can build bid/ask volume analysis bars and test strategies on them historically. I don't think you can do that in NinjaTrader either ;-) Hope the record is set straight.

I thought you had to 'record' the market in NinjaTrader in order to replay it?

If you guys like exogenous data series systems, check out Lawrence Chan's posts on the NeoTicker blog. He reveals some very simple systems that also completely ignore 'data1' or price and that profitable. He even has an improved oddball system.

NeoTicker is more expensive but provides the best tick-by-tick replay of any platform out there. The 'simulation server' acts like any other data server the platform supports, so nothing can really tell the difference between a tick replay and real-time - which is amazing. You can replay 100+ charts all together. From 1x to 500x. But like I said, a bit expensive.

Trading only at daily highs and lows can be bread and butter all by itself. This concept can be extrapolated to trading at major support and resistance in general only. Patience required, great payoff. Another one: take some P&F charting patterns, and map them to standard bar/candle charts for some interesting perspectives.

Eh, I prefer how the NT charts look to be honest (now that I've got the colours all the way I like them). All that said, there's a 30 day trial and a monthly lease option. Just be aware that 30 days is the minimum time you will need to 'get' NeoTicker, and that's using it often.

Valid concerns darthtrader. It took me a few months to get 'efficient' with NeoTicker, and now I can test things faster than any other platform. But here's where I find the most benefit: - The option of true time-driven charting (as opposed to bar-driven), allowing combinations of many different kinds of series on a single chart. Imagine taking signals off a 15-minute chart and managing the trade using a 100-tick chart? - Creating managed time- or bar- series to support decisions, easily plottable. In fact, and this might be the same as NinjaTrader, a system is just a special form of indicator. Nearly everything is series and can be used by anything to else to make on the fly decisions. - Superposition plugin, allowing us to create custom series. I haven't used this as much yet, but have some ideas regarding volatility based bar series. - NeoBreadth indicators (like TICK16, but you can do practically anything really). Anyone who follows breadth in general should look at this alone as a reason to come to NeoTicker. - Tick Replay, allowing tick-based indicators to be used in system development and while looking at historical data. This is usually things to do with bid/ask analysis that require every tick to be replayed. - Simulation Server, that can use the disk cache to replay the whole platform (not just a chart). The Simulation Server requires a restart of NeoTicker and the platform pretty much treats it as just another data server (like eSignal, IQFeed etc). I'm sure you can imagine how useful that is. You can even replay trading systems at say 5x speed and get realistic fills from the trade simulator. - An OLE layer that allows automation of the entire platform. - Grid Optimizer product for optimisation (haven't used yet, heard very good things). - Being outside the US and trading many markets, NeoTicker actually handles timezones properly. - I think it's probably more efficient than NinjaTrader if you want to have 50 charts open, I never got very far with NinjaTrader. - A proper pattern scan architecture (but I don't use it, no stocks for me!). Of course, there are some downsides. It is, at the moment, not great for Forex. They are having some stability issues with some of the order managers in the latest build, and the support forum can take over a day to get back to you. Certainly, the 'community' is smaller than NinjaTrader. But NeoTicker do make sure to tell you that their institutional customers far outweigh retail. Take that how you will. One final caveat - I'd be prepared to switch in an instance if something better came along. Rewriting strategies is not a mammoth task, and I'd rather retain the flexibility of being able to choose at all times. Hence, anything major I do in NeoTicker (ie, beyond prototyping), I do in C#.