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EOT Automated System

  #18 (permalink)

Trade with the flow
Paris, France
 
Futures Experience: Advanced
Platform: Market Delta & Ninjatrader
Favorite Futures: ES
 
cunparis's Avatar
 
Posts: 2,565 since Jun 2009
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tellytub View Post
What makes me to septical about the vol splitter is that, the concept of plotting big traders is really good. In that case, why hasn't anyone else "even" attempted to create something like it?

We have. I have one. Do I use it? No. Why? Doesn't work consistently.

For one they're often wrong. Second, they can split orders so they don't appear to be a big trader. They have different goals, timeframes, etc. On a daily someone sees a setup and buys 1000 contracts. He doesn't care that the market goes down 8 ticks in the next second. But for a scalper it's really important, cause he doesn't care what the market will do tomorrow.

if you use a volume splitter you assume:

1 - big traders are right
2 - they're trading like you

another example, they could be hedging a stock porfolio. They could be playing a spread, buying ES and selling something else.

Overall I couldn't find any edge there. Doesn't mean one doesn't exist.

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