NexusFi: Find Your Edge


Home Menu

 





Trading breakouts on the news


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one PowerM with 2 posts (0 thanks)
    2. looks_two Big Mike with 2 posts (5 thanks)
    3. looks_3 Fat Tails with 1 posts (1 thanks)
    4. looks_4 uexkuell with 1 posts (2 thanks)
    1. trending_up 5,357 views
    2. thumb_up 8 thanks given
    3. group 4 followers
    1. forum 5 posts
    2. attach_file 1 attachments




 
Search this Thread

Trading breakouts on the news

  #1 (permalink)
 
PowerM's Avatar
 PowerM 
Nürnberg, Germany
 
Experience: Intermediate
Platform: Ninja Trader
Broker: IB/Kinetick
Trading: CL, YM
Posts: 111 since Jun 2010
Thanks Given: 157
Thanks Received: 44

Hi guys,

I just want to post a chart of the FDAX which shows how the instrument reacted after todays 8.30 EST news came out. It is a chart with 10 seconds per bar. The first huge candle moves up for about 70 tick (35 points) candle (one tick is €12.50).
If you buy on the low and sell on the high you would have made about €900 in 10 seconds on one contract.
If you or your system wasnt fast enough, u may have been filled somewhere at the top and 10 seconds later you may find yourself 180 ticks behind; this was the way the FDAX took within the 2nd 10 seconds candle after the news. So for me this means that trading the news is not quite risk free which one should keep in mind ..

Attached Thumbnails
Click image for larger version

Name:	99.JPG
Views:	263
Size:	57.0 KB
ID:	40050  
Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Build trailing stop for micro index(s)
Psychology and Money Management
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Futures True Range Report
The Elite Circle
 
  #2 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,399 since Jun 2009
Thanks Given: 33,178
Thanks Received: 101,542

What is your stop? Where exactly are you setting the bracket orders?

This is easy enough to backtest, and I believe you will see it is not a profitable long term solution, especially after factoring in you need a very expensive colocated server in order to have a chance on the fills without major slippage.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #3 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
Berlin, Europe
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,102



Big Mike View Post
What is your stop? Where exactly are you setting the bracket orders?

This is easy enough to backtest, and I believe you will see it is not a profitable long term solution, especially after factoring in you need a very expensive colocated server in order to have a chance on the fills without major slippage.

Mike

I think slippage is the key problem here, as many stop orders are being executed at the same time. The stop orders create a temporary imbalance, as there are

-> more sell stops below the trading range (either protective sell stops or sell stops to enter a new short position) than buy stops
-> more buy stops above the trading range (either protective buy stops or buy stops to enter a new long position) than sell stops

I do not agree that it is easy to backtest this setup. It is near-impossible to build a model to estimate the slippage that will result, and without being able to estimate slippage, the results of any backtest will be false.

Reply With Quote
Thanked by:
  #4 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,399 since Jun 2009
Thanks Given: 33,178
Thanks Received: 101,542

I meant to backtest the general principal of bracket orders around news, not even factoring in the huge slippage.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #5 (permalink)
 
PowerM's Avatar
 PowerM 
Nürnberg, Germany
 
Experience: Intermediate
Platform: Ninja Trader
Broker: IB/Kinetick
Trading: CL, YM
Posts: 111 since Jun 2010
Thanks Given: 157
Thanks Received: 44

I do not trade the news, so i was not in this trade. I just found it as remarkable, as I seldom saw such a spike. by the way, I am not a conspiracy guy, but do you think it is possible to mark up e.g. the FDAX like in this example for 15 ticks and then let it run free? I mean, do you think that it would be possible for someone to calculate "in a fraction of a second" which orders are in the market and what he would have to do to mark up the price now + 15 ticks in a second? In this second new orders may come in of course, so, do you think it is poosible to arrvie "price now + 15 ticks" in a second with a good likelyhood?
In this content, what I would like to understand: does anyone see all the orders in the market for e.g. +/- 20 ticks buy/sell around the last price? As you know, I see the price and the next 5 buy orders down and sell orders up.


Big Mike View Post
I meant to backtest the general principal of bracket orders around news, not even factoring in the huge slippage.

Mike


Started this thread Reply With Quote
  #6 (permalink)
 uexkuell 
Pt Vala
 
Experience: Advanced
Platform: Proprietary
Trading: CL, EUR, DAX
Posts: 58 since Apr 2010
Thanks Given: 12
Thanks Received: 31


PowerM View Post
... does anyone see all the orders in the market for e.g. +/- 20 ticks buy/sell around the last price?

Yes. Brokers.

They can (theoretically) see all the pending orders of their clients (to any depth).
Of course they would never use this knowledge .

If they have a sufficient number of clients they can (theoretically) make statistically valid assumptions about the whole of the market.

Reply With Quote
Thanked by:




Last Updated on June 6, 2011


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts