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How to Break Through in Trading

  #33 (permalink)

charlotte nc
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

Jeremy1984 View Post
Thanks a lot. Everything really made sense and I definitely will take your advice. As far as learning the mechanics of an exchange, where would you suggest is the best place to learn this? For example if I wanted to learn everything about CL on the NYMEX, where should I look to find everything I can about it?

The best way to learn is to simply look at the underlying data under different scenarios. If you are researching CL here are the steps I would recommend:

1. Download NinjaTrader if you don't have it already. It's free to use and a great tool to get access to the most granular tick data out there.
2. Download some market replay data for a few days. (This takes only a minute and there is great documentation on how to do this.)
3. Write a basic strategy that performs print statements on every bar update. Set the bar update level to something very granular such as 10 ticks or less. In the code block capture the bid price, ask price, bid volume, ask volume, and total transacted volume. You may also want to capture the (H,L,O,C) for every bar as well.
4. One day's worth of data will give you tens of thousands to potentially hundreds of thousands of rows of data to observe. With this you can start to connect the dots on how bid / ask volume, and bid ask prices move.

Start here, and analyze everything. From this you will start to understand how the basic mechanics work, and you can form your own insights.

Once you clear this first step. I recommend writing a simple strategy to place some basic entries and exits. Incorporate these into your print statistics as well. So you can track when and where you were entering and existing, and what the market was doing. How you got filled, where you ended up in the queue and how long you had to wait to get your order filled. This applies to both entries and exits.

From this you will very quickly be able to separate the good entries and exits from the bad ones and there is a huge correlation to how you are picking your entries and exits relative to how you end up getting on the right side or wrong side of things. Try every possible permutation of order type, entry and exit logic you can come up with, and test them all. Be skeptical of everything, don't believe anything you read or hear until you try it yourself, quantify it and understand how it works.

It may sound like a daunting task and it is, but this is the approached I used to crack the futures market and it works.

Good luck!


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