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FulcrumTrader

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Posts posted by FulcrumTrader

  1. Posted

    ^^^ The thing launched and accelerated so hard at the drag strip it triggered the OnStar crash detection due to the g-force shock of acceleration.... Must be crazy fast!

     

    (Deep and hot lady's voice).......... "FastTrader, we are detecting a sudden acceleration event.....should we call 911 for you?"

     

    (FastTrader)......... "Shut up BIT@#, I am running from the 911 right now!!!"

     

     

    :rofl:

  3. Posted

    BTW, did you guys get those awesome fills during Saturday's trading in the CL & ES???

     

     

    :rofl: ......I really love NT with Zenfire feed now!!! :rofl:

  4. Posted

    I have had some of these issues also in the past weeks with Zenfire (Rithmic) feed........#*&@%^$!

     

     

    More reasons why I will be moving over to the TradeVec platform/charting in the weeks ahead through Vcap Futures.....slowly but surely, account by account, should be all transferred over within the next 60 to 90 days (as I complete separate various longer term trades I still have running in NT).

  5. Posted

    Chris,

     

    You are correct some quants lost a lot of money but not the ones at Goldman or Renaissance. More than 60% of all equity trading in the US is done by quant derived methodologies such as the stat arb of mean reversion pair trading which is the original topic of this thread.

     

    It is the best of those that make the most of the money from these markets, they are the "Smart Guys" in the room. Some of them are members here and of those that are members here that I have talked to, none of them ever post and none of them use market delta or consider market delta or VSA, Wyckoff......

     

    Some of those successful, highly educated quants that are members here and never post have joined me in creating and registering UrmaBlume T1, LLC which is a private hybrid cross of a prop shop and a hedge fund.

     

    All due respect Chris as I know you are a great proponent of market delta and if it makes you money - right on.

     

    We, however, operate on the principle that recent advances in intelligent data mining, data processing, data visualization and higher frequency automated systems have moved beyond such methods of trade decision support as candles, profiles, market delta, etc.

     

    cheers

     

    UB

     

    Yes, I do agree with the level of capabilities that some of these groups have and how they use their developed abilities to create advantages for themselves in the markets each day. I also know how various equity member firms of the CME track order flow, volume distributions, and open interest in futures products for their trading desk ops. I think digging into the granular information within the traded order flow is a smart direction to go for developing trading systems (which I have done myself with fund systems data experts/fund systems programmers).

     

    It is very interesting how Commercial trading entities, at the very sophisticated level, can track order flow precisely to the point as to measure when resting inventory in a specific area of price is about to be fully capitulated (and used as an exit for winning position covering order flow). It is also very fascinating to now see the visualization and complete difference of dramatic order flow acceleration from capitulation versus Commercials initiated trade activity. The difference in order flow rate frequencies can now be visualized through proper data flow analysis, to see the separate stories all being told simultaneously within even 1 second of order flow time.......yes, I agree this is all very good information to have.

     

    All this micro level analysis is just fine for the potential when moment to enter a trade, but I still find there are additional very robust methods of analyzing traded order flow distributions to know higher probability where areas of price to look to enter trades. Blending the where locations of price to enter trades with the precise moment of when to initiate trade is the advantage in my opinion. But heck, all those smart quant guys think they are the only ones who are smart in the room.....and I love the fact they think that way.

     

     

    Enjoy the Vegas weather and keep up the great work!

     

    Christopher

  6. Posted

    UB,

     

    So what if they get laughed out of the room. Quant trading isn't the only way to make money. Are you implying that it is?

     

    With kind regards,

    MK

     

    No sir.....the "Smart Guys" or quants of the world lost BILLIONS in these past years due to fractured mentalities (that their MATH skills and trade systems were unable to overcome). In the end, regardless of the strategies developed many quant groups and institutional level players got KILLED by their mentalities. The second a human being or group of human beings think they are better than another group, they are on the universal path to self destruction. Thoughts of invincibility due to ego or perceived systems of perfection, leave the managers of such groups psychologically vacant from what could ultimately protect them from themselves.

     

    Well developed trade systems or methodologies still need honorable and psychologically mature humans to operate those systems for continued potential profitability. Those who think they have the BEST, still need to THINK the best, to have any CHANCE at the best.....I have seen this all throughout my life in aviation and trading. Honorable and mature mentalities, very well aligned with the realities of their own capabilities, can frequently defeat the supposed "Smart Guys" in the room.....day after day.

  7. Posted

    Running my "accordion" trade entry and management method, I have worked a few ES LONG and DAX SHORT trades the past few days at various times.....there has been some good set ups in the past few days with the decreased volatility.

     

    There was two good trades today in the ES I had entered with collapsing time between trades and well above rolling ten day average order flow rates (while tracking commercials order flow activities).

  9. Posted

    Fulcrum can you add some words (on your experience) about TT ?

    From some of your posts I seen you consider the TT Fix adapter a "low quality instrument".

    1)From wich perspective?

    CumulativeDelta analysis only - due probably to Ticker Plant absence and the coalescing of data - or in general (speed,loosing data,etc) ?

    2)Have you some experience on TT API (About Cumulative Delta,un-coalescing of data,speed...)?

     

    Thanks again for your sharing experience

     

    Paolo

     

    TT Fix Adapter feed is usable if uncoalesced and if you have a proper means to capture and store the data for historical lookback capability (like TradeVec.com will be doing for BID/ASK differential volume needs).

  10. Posted

    FT...any comment or experience with the accuracy of the DTN IQ data feed when it comes to bid/ask volume data? Also, if you wouldn't mind could you post an intraday chart from Thursday and/or Friday of this current week showing cumulative delta so I can compare it to my data?

    Appreciate it!

    As stated in various threads here at TL, I do know that DTN.IQ feed is very solid and I have no complaints. I have been traveling this weekend on trading business so I will try and put up some charts soon.

  11. Posted

    I really don't like how they are storing data. I am all for using native file system and simple format files for storage when appropriate. Just did a bit of housekeeping and noticed that NT 7.0 creates thousands (literally) of files for data storage (I only have a few instruments I look at). Not particularly impressed by that. Windows is not great at handling very large quantities of small files. Just backing up and deleting was slightly painful.

    Yes I have not been all that impressed yet with the NT 7 Beta. I only use NT7 now for order entry for the most part. Looks like I may start transfering some of my accounts over to a TradeVec platform brokerage (Paul at Vcap Futures.....he helped work on TradeVec feedback while in development). TradeVec is going to eventually have two feed capabilities and also add Cumulative Delta candlesticks so that will be very nice. :)

  12. Posted

    New Audi RS5 is a winning trade with the new M3 in the rearview mirror........

     

    [ame=http://www.youtube.com/watch?v=zi3a4exLs6o&NR=1]YouTube - Audi RS5 2010 Geneva Auto Show[/ame]

     

    AUDI - "Never Follow"

  13. Posted

    personally I would aggregate the two seeing as they are fungible. (actually I might aggregate all months in both contracts thus eliminating spreads). What he is saying is not that the ES has no longer term traders, just that the SP is a better instrument to look at to track there positions.

    Right....I just disagree with his conclusion.

     

    Also, I do pay attention to the open interest of the various futures instruments that I trade. Fortunately, the Cumulative Delta and Delta Volume Distributions are realtime information that I can use for actionable trade entry determinations (unlike most open interest information).

  17. Posted

    Great call Fulcrum! Looks like we got that event at 3:40pm today?
    Today we did finally get the Equities buy program run needed to push the 1103.50's through SHORT covering dominating the ES order flow. The recent upper rotational sellers from yesterday did unwind their held SHORT inventory and I did get a moderate "Inventory Grab" SHORT signal. I sold the move in the 1104's/1105's as previous weeks resting SHORT inventory from the 1103.50's area of price still held in place. Also of note, the last minutes of the day had us 12,000 new contracts net SHORT as we closed the Globex session. :cool:

     

    Well, we all know what happened after that.....LOL! Commercials I am sure will be sending a king size "Thank You" card to the FED for the news release timing. I hit targets right out of that Globex session re-open at the 1101.00's and 1096.00's so far......next targets at the 1092.00's and then 1088.00's. Holding DAX SHORT's I put on before the close too.......those will open gapped down most likely, so I will scale them out latter tonight and into tomorrow if we continue to breakdown.

  19. Posted

    Hi, Fulcrum Trader! Don't you look at larger time frame cumulative delta to see the medium term trend? In a 350k volume chart, for instance, we can see the short inventory is far from being taken. We can see an important level at about 1100. Prices right now reaching this level, but cumulative delta not even close to the value it was when ES last visit 1100 level.

     

    Images | ChartHub.com

     

    []s

    You are not properly interpreting the longer term Delta Volume Distributions if you think all that SHORT inventory is still in the market. There is still some SHORT inventory being held in this market from previous trade at the 1101.50 and 1103.50 areas of price......but for the most part, those who were sellers at the 1148.00's on down have already covered out most of those positions profitably (in the run down to the 1040.75 level).

     

    There is a lot of extra work that needs to be done to properly determine how much SHORT inventory is still in a market after over a 100 point move (and where is any remaining SHORT inventory still being held from). I have spent over 7 years now exclusively working with and tracking Cumulative Delta, so I know how to read longer term Delta Volume Distributions very well. Tracking intraday and longer term Delta Volume Distributions in various futures instruments is my specialty, so I also use some higher time frame Renko charts.

     

    At present, the last significant held SHORT inventory in this market is tied to the 1101.50's and 1103.50's (also, the new SHORT inventory zone that was accumulated in a Delta Zone of resting SHORT inventory in the 1100.00 to 1097.00 range of price....this was from yesterday's action). Any trade north of the 1103.50's in the next few trade days may cause the last significant held SHORT inventory by Commercials to unwind......that is what I am tracking for at this time.

  21. Posted

    There are plenty of comms protocols that add reliability and sequencing on top of UDP - in fact this is usually the preferred approach for high volume data distribution.

     

    The beauty of IQFeed's approach is that they (apparently) embed the current bid and ask along with each trade, rather than requiring this to be rebuilt at the client end. For the vast majority of retail use, this is sufficient and quite significantly more reliable.

    There you go sir.....you are absolutely correct.

     

    It should also be obvious the game has changed since the CME increased the data output last November......so the need for a newer PC with good internet is just common sense. The information needed to play the "Cumulative Delta" game properly is out there so I will leave it at that. :)

  22. Posted

    Hi,

     

    I use CVD plotted in Investor R/T using Zen-fire and DTN MA for backfill. Because of this is my data different than IQ Feed?

     

    Also, does anyone know if the CVD study in X_Study is accurate?

     

    Chris

     

    Best to just use DTN for your charting feed with Inv RT. CVD in XStudy is OK but you are not able to get candlesticks for the CD plot.

  23. Posted · Edited by FulcrumTrader

    FT you are probably right about NT, currently it is a square peg and we have a round hole. I am getting some promising results with Zen and Multicharts though I need to do some further tests (purposely overloading MC) to be sure.With MC DTN.IQ is an option too.
    MC seems like a charting platform with a lot of potential.....glad to see you are doing some testing!

     

    I myself over the next few months will start doing some testing of the TradeVec platform and charting, as this group may be adding Cumulative Delta volume studies as a part of their product. If TradeVec adds Cumulative Delta Volume studies (as candlesticks!!!) I will do back flips.....LOL! :rofl:

     

    A good broker friend of mine has been working with this group and what I am seeing so far is very promising! They actually have an informational webinar planned for this Tuesday right at 3:30 pm US Central time (at the Globex close time)........

     

    TradeVec Webinar

     

    The date in the link shows Wednesday but that has been set for Tuesday now.....so Tuesday at 3:30 pm is the TradeVec info webinar. :)

  24. Posted

    Incidentally looks like Ninja are really dropping the ball on there handling of historic bid ask information. In a nutshell they are not preserving the correct sequence when storing the ifo for historic retrieval. A major blow for this type of analysis. There is a thread here here about it BidAsk Historical... - Page 4 - NinjaTrader Support Forum maybe if enough people 'vote' they may prioritise fixing this issue.

    I myself just stay away from NT for now for any BID/ASK volume work until I see them enhance their platforms capabilities. Investor RT Pro for only $60 a month is a bargain to me and I can always have solid historical lookback capabilities with DTN feed.

  25. Posted

    Yes.....Rithmic/Zenfire feed is NOT working for proper BID/ASK volume studies. If you do your research and see how thorough DTN.IQ manages and time stamps their feed, you will then see why many of these broker supplied feeds can't touch the capability/reliability of DTN.IQ feed.

     

    I do have an update on this feed situation from some recent testing. If you have a very good newer PC with very good internet (cable modem at a minimum) we have a client who is working with NT connected to DTN.IQ feed and he is NOT getting any data drops now. So a trader can then track the GomCD with NT connected to DTN.IQ feed.......the only capability you would not have is historical lookback (like you would have with DTN.IQ feed connected to Investor RT Pro for up to a 4 week backfill). If you wanted historical lookback in NT with DTN.IQ you would need to save your own data which can be done with the GomCD Recorder function. So this was good to see that one of my clients has been able to get NT to work now with DTN.IQ feed for Cumulative Delta tracking......cool!

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