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EOT Automated System

  #21 (permalink)

Denver, CO
Trading Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Amp Futures/Zen-Fire
Favorite Futures: TF, ES, CL
roonius's Avatar
Posts: 132 since Jun 2009
Thanks: 20 given, 286 received

cunparis View Post
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.

Just my 2 cents:

Most data feed providers are stacking ticks in order to save bandwith.
Even CME itself (I believe CME only recently decided not to stck ticks any more)

Volume is very very important, but all these "volume splitters" does not make a sense at all.

You might see a "block of 100 es contracts at ask price" and think: oh well... someone
"big and smart" is buying and I am going to be a smart boy and go with the flow.

And there is a huge possibility, that 100 contracts at ask price were nothing else, but 100 trades (stacked by CME) made by "small dumb" traders and you are joining the "dumb crowd"

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