Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

joshdance

Price Acceptance / Value

Recommended Posts

Although I wouldn't go as far as to say that this edge is always present, it's the existence of edges of this type that the HFT firms tend to exploit. The market doesn't leave this type of edge open to all participants, though.

 

You're not reading quite clearly what I wrote: the poster I responded to was wondering whether one market always led the other. This is the impossibility that cannot exist. What does exist, and what I think you refer to, is arbitrage between correlated markets. This is exploitable by those with the technology and geographic location to do so. So two correlated markets can move in sync, but one will not always lead the other -- they will "switch" or "flip flop".

Share this post


Link to post
Share on other sites
HL Camp & Co - The Secret World of Program Trading

 

Also arbi in the pit between eMini and large.

 

Possible content of this company's HFT seminar: "HFT exists; programs exist designed by very smart people paid hundreds of thousands or millions of dollars to hide their activity, located at the exchange to remove any latency whatsoever and to ensure that they get to do their business before you ever see a quote; unless you do the same you cannot engage in this activity, but we thought you would like to know!" ;-)

Share this post


Link to post
Share on other sites
You're not reading quite clearly what I wrote: the poster I responded to was wondering whether one market always led the other. This is the impossibility that cannot exist. What does exist, and what I think you refer to, is arbitrage between correlated markets. This is exploitable by those with the technology and geographic location to do so. So two correlated markets can move in sync, but one will not always lead the other -- they will "switch" or "flip flop".

 

You're probably correct and I hadn't read through the earlier posts clearly enough - I was certainly talking about 'generally' rather than 'always'. I wasn't referring to arbitrage, however, which would suggest buying the one and selling the other, but to simply using the futures as a leading indicator for the cash index.

Share this post


Link to post
Share on other sites
Possible content of this company's HFT seminar: "HFT exists; programs exist designed by very smart people paid hundreds of thousands or millions of dollars to hide their activity, located at the exchange to remove any latency whatsoever and to ensure that they get to do their business before you ever see a quote; unless you do the same you cannot engage in this activity, but we thought you would like to know!" ;-)

 

I made this same point in another thread last week, and received a very aggressive response from a guy claiming he operated a successful self-built HFT system from a server in a closet. I didn't think at the time to ask whether the closet was located in the CME building or not - perhaps he's a janitor there?

 

:)

Share this post


Link to post
Share on other sites

I intended to post the following on this thread earlier, but I only posted it in N's Eminis thread on Wednesday (1/25) after market close ( http://www.traderslaboratory.com/forums/e-mini-futures-trading-laboratory/9773-day-trading-e-mini-futures-52.html#post137305 ). I'll attach the chart here that shows us the view at that time.

 

The premise was that perhaps after developing value for so long (about 5 days) in such a tight range (about 7 handles, give or take), and then moving north of that, that the market would return to test the real willingness of buyers to truly accept that as higher value than the year's prior established area of value (1270s). After all, the market moved up on fed news anyway, and did so in a sort of a panic buying frenzy, which sometimes must be retraced to see if it's for real.

 

And the market did not disappoint -- buyers strongly supported 1307 time and time again, despite the willingness of sellers to try to take it lower. 1307.50 was the sunday globex open, 1308 is the new VPOC for the year, and it's pretty much smack in the middle of the prior area of value. See the first chart for an example of how the market retested 1270s and found buyers.

 

This time it's quite different though, compared with the earlier example in the 1270s. The buying off of the 1307 did not have nearly the conviction that it did earlier in January. The market just did not seem truly willing to pay up, and given how many times 07 held, and how important the 1305-1311 zone has been, if the market were truly super bullish, I would have expected it to buy, and buy fast, and buy heavy. But it didn't. So I'm a little cautious about the direction from here; bulls have the upper hand technically (just look at the year so far), however, the sentiment on Friday did not have the same bullish energy that I have seen recently.

 

Lastly, I'm not a big delta volume watcher, but perhaps it's noteworthy that a retracement of 80% in price (1329 to 1307, from a low of 1302) only resulted in about a 50% retracement in delta volume.

01_25.2012-17_09_23.thumb.png.bd07f044b49cb2921069168cb80a126a.png

01_28.2012-15_22_58.thumb.png.1e9d4c228e9cade830033688be6beabf.png

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.