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Short term trading - ticks, fills and amount of trades
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Short term trading - ticks, fills and amount of trades

  #1 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Beginner
Platform: Ninjatrader
Broker/Data: Mirus
Favorite Futures: FDAX
 
Posts: 139 since May 2010
Thanks: 150 given, 94 received

Short term trading - ticks, fills and amount of trades

Hi all,

I am fairly new to trading and have a few questions if you wouldn't mind helping out.

I am trading sim using NT 6.5 (I couldn't get 7 data feeds to work with AMP) using a Mirus demo account firstly and now an AMP demo account once Mirus expired.

I am trading FDAX and CL, spend 2 - 3 hours a night on sim. Have done for the past 2 months or so.

My questions are:

1.) How accurately does sim trading reflect live trading?

I use chart trader in NT 6.5 to enter and manage my positions, I have a maximum stop, but will often move it closer to entry if I feel the trade is turning quickly. Similarly if I feel a trade is going to move from positive to negative soon, I will move my profit target to current level and take a small profit.

These things can happen in a matter of seconds, so what I need to know is; can I only do this reliably because I am in sim and there is no lag time between my client and the broker? I.E when I move the profit target it happens locally in the client only, and not at the brokerage end like it would do if trading live. I would expect these changes to have at least a few hundreds miliseconds of delay, on top of roundtrip time from my PC in Aussie to the broker is the US.

For example I have a 2 contract trade that is up 3 ticks, it then very quickly dips below my entry and I believe it is going to continue down and stop me out very shortly, so I move the prof target to +1 tick and try and close out on a quick move up above my entry. This usually executes nicely in sim and stops me from suffering a loss.

I understand this is probably not an ideal way to trade, but at the moment I am more interested in the technical side of whether doing this is possible when trading live. When trading live is there too much lag between the client and the broker, and do the markets move to fast to be able to make very quick changes to stop loss and profit targets?

On sim I can trade profitably quite easly like this, and to me this indicates it is probably not realistic.

2.) How many trades are too many?

I find after 2 hours of trading I will have around 45 trades, most only making a few ticks, and with a couple going for decent amounts. With that many trades the brokerage is obviously a lot, but even 1 tick will cover brokerage so I don't really mind.

With my current strategy of exiting trades very quickly if they are not good from the start, I have about a 75 - 80% accuracy which is enough to keep me in the black after brokerage, but I wonder if I might be better off widening my profit targets and stop loss and letting my trades run longer.

The reason why I have gravitated to so many quick trades is due to my timeframe. Being able to only trade part time, I like seeing things happen quickly.

In your experience, is this the wrong way to go?

Any comments appreciated.


Last edited by Twiddle; July 5th, 2010 at 02:15 AM.
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  #2 (permalink)
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  #3 (permalink)
Elite Member
Italy (IT)
 
Futures Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
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Hi Twiddle.

I think your is real scalping more than short term trading.
Anyway I think there is not an only one ideal way of trading, but the point is make money costantly.
Even if you are new to trading you came soon to some important point.
Live trade is different from sim trade and your question are legitim. I live trading there is lag partial fill or no fill at all, slippage in fast market etc.
Anyway NT have some option to set the delay time, go to option->simulator, and read the manual to understand how to set it, there also the possibility for partial fill, and anyway NT tries to simulate the orders like on live trading if u do not set immediately fill. Ask your broker where is the server more close to you and do a ping test (pingtest.net) to set the lag time. All this feature could help you to get more close to the real trading.
Surely the best way to figure out if your way could be reliable is tri it live, so u can understand when is right time to trading and when is not, if u can go quick like you want, the best instrument to trade with your method etc. I think this is an obliged passage.

Luke.

P.s. There's no a right numbers of trade, but more u trade more u can incur in bad trade, so when u have done enough in term of return % and not in ticks, stop trading.

Take your Pips, go out and Live.
Luke.

Last edited by LukeGeniol; July 5th, 2010 at 05:59 AM.
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  #4 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Beginner
Platform: Ninjatrader
Broker/Data: Mirus
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Posts: 139 since May 2010
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Thanks Luke.

Does anyone try scalp for just 1 or 2 ticks? Or is it just not worth trying to pick up ticks within the range of noise apart from the underlying trend?

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  #5 (permalink)
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Ontario
 
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jungian's Avatar
 
Posts: 99 since Aug 2009
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1 or 2 ticks

You can scalp for 1 or 2 ticks. But it would be a bit like this....

http://www.youtube.com/watch?v=2Gidr7JPm-g

Unless ofcourse you have an automated algorithm perhaps... scalping day in and day out with no slippage, super tight stops and varied position size.

I wouldn't recommend it as a beginner.

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  #6 (permalink)
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Futures Experience: Advanced
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Twiddle View Post
Thanks Luke.

Does anyone try scalp for just 1 or 2 ticks? Or is it just not worth trying to pick up ticks within the range of noise apart from the underlying trend?

The problem for so little 1 or 2 ticks scalping can be the orders filling if u use limit order or slippage for market order, especially on volatility times. I think u have to try scalping some more ticks.

Luke.

Take your Pips, go out and Live.
Luke.
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  #7 (permalink)
Elite Member
Sydney, Australia
 
Futures Experience: Beginner
Platform: Ninjatrader
Broker/Data: Mirus
Favorite Futures: FDAX
 
Posts: 139 since May 2010
Thanks: 150 given, 94 received

Great, thanks for the advice guys.

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  #8 (permalink)
Membership Temporarily Revoked
United Kingdom
 
Futures Experience: Master
Platform: CQG, TT X Trader, Ransquawk
Favorite Futures: ES, Bund, Euro
 
Posts: 23 since Sep 2010
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With the simulator there's the pyscological side of things that are different, but that aside, normally on sim, price will have to trade through to get a fill, or at the very least, getting a fill can be a lot harder as it is based on an algo, and not what your position in the que is. This isn't normally a problem, but by the sounds of things you are purely scalping rather than short term trading, so for scalping, there can be a massive difference between the sim and live trading.

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  #9 (permalink)
Just starting out...
Fort Morgan, Colorado, USA
 
Futures Experience: Advanced
Platform: NinjaTrader
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Posts: 17 since Oct 2010
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1.) As a general rule the more ticks you take on profit or stops, the more the demo will be consistent with the real money. Therefore scalps will be most diferent in real money

2.) The number of trades does not matter as long as you take only trades that are in your favor.

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