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Market Microstructures - The Red Pill


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Market Microstructures - The Red Pill

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  #21 (permalink)
quants00
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iantg View Post
Hi quants00, I am always happy to share and help if possible. If you have any specific questions, let me know and I will be glad to give you some feedback.

But i will always defer to @artemiso on this topic. He is a legit pro whereas I am a hobbyist. Because I don't do this very seriously at this point, I have been willing to share what little secret sauce I have found. I am a data scientist by trade, and this world definitely fascinates me, but I haven't had much time to put into it lately unfortunately.


If anyone has any interesting thoughts on this thread, this topic, or would like to add to the discussion I think there are some cool things here, but most retail tools will have no chance of working at this granular of a level.

I''ll definitely PM you though to follow up.

Ian


Thanks, I responded on PM. Tried to remind artemiso to send me him email, because I can only send 1 pm in an hour LOL This forum restrictions are terrible....

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  #22 (permalink)
 options 
toronto
 
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Its all very interesting but I think you over complicate stuff. Day like today when market moves no were is best for scalping. For manual trading keep simple your brain can process only so much info. Ex wait for your Level when you see absorption and orders were added to bid and subtracted from ask put a limit order . In trending market you will get 8 tiks min day like today 3 tiks .

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  #23 (permalink)
quants00
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options View Post
Its all very interesting but I think you over complicate stuff. Day like today when market moves no were is best for scalping. For manual trading keep simple your brain can process only so much info. Ex wait for your Level when you see absorption and orders were added to bid and subtracted from ask put a limit order . In trending market you will get 8 tiks min day like today 3 tiks .

Interesting on how do you classify "a day like this"... If it was as easy as you say "absorption..." then "orders" added to bid and subtracted from ask..put limit order...and you will have as many wins as you show on todays screenshot... then you should be making a lot of money most of the time?
Do you mind sharing several months of stats of this strategy that you describing?

Something tells me that this is very discretionary and not consistent. I might be wrong... If it's rules based and consistent why don't you automate it via Rithmic API and have a bot doing with 10ms second speed? If it's something serious and you are interested in automation..I can do it for you.

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  #24 (permalink)
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toronto
 
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The keyword you missed LEVEL. For a different time frame dif. levels or you can say supply demand zones and they are discretional .

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  #25 (permalink)
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toronto
 
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Enozer factor I use SPEED . On picture you can see levels were broken with 3 times ev speed (stop hunt). Its a signal to take a close look at order flow.

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  #26 (permalink)
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toronto
 
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Here what I was talking about . Price at support , orders adding on a bid side , plus a 100 lot buyer (dimond) . Went market to get this one , easy 5 ticks .

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  #27 (permalink)
 surfeur 
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Hello Ian

Thank you for your thread !

Have you try your data inputs in machine Learning or reinforcement learning ? 😋

Regards
Ludo


iantg View Post
Hi quants00, I am always happy to share and help if possible. If yu have any specific questions, let me know and I will be glad to give you some feedback.

But i will always defer to @artemiso on this topic. He is a legit pro whereas I am a hobbyist. Because I don't do this very seriously at this point, I have been willing to share what little secret sauce I have found. I am a data scientist by trade, and this world definitely fascinates me, but I haven't had much time to put into it lately unfortunately.


If anyone has any interesting thoughts on this thread, this topic, or would like to add to the discussion I think there are some cool things here, but most retail tools will have no chance of working at this granular of a level.

I''ll definitely PM you though to follow up.

Ian


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  #28 (permalink)
 iantg 
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Hi Ludo,

I have used gradient boosting as part of my day job before, but I haven't really given it a go on futures data before.
I have no doubts that with a decent training data set, I could get a small bump in performance. But in practice, I don't think that a guy at my level (retail / lone wolf) could run R-studio, or Python in real time with any benefit because those would make speed an issue.

The best case would be to run some ML on the data, and then figure out what the actual insight was that held the edge and then reverse engineer that into the actual code logic. But trying to derive the logic from a ML program is kind of a trick. So I haven't really pursued this route.

If you have any ideas, or advice I would be all ears.

Thanks,

Ian



surfeur View Post
Hello Ian

Thank you for your thread !

Have you try your data inputs in machine Learning or reinforcement learning ? 😋

Regards
Ludo


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #29 (permalink)
 torr 
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iantg View Post
Overview:

I invite discussion on this thread, and will try to be as forthcoming as possible and share as much as possible without giving away any of own strategy. But the more common edges, that are more obvious and less useful to me are fair game and I will demonstrate how several of these work.

Ian

Hello,
First of all thank you for very interesting thread.

Could you, please, clarify how you calculate " [Bid/Ask] SS L2" columns (file "ES 2-25-19 Summary Statistics.xlsx" )?
At row 14 where Ask side win "SS Ask Starting V"[14]==" Ask1"[14]==113.
But I cant understand how "Ask SS L2"[14]==218 got.

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  #30 (permalink)
 iantg 
charlotte nc
 
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Hi Torr,

Thanks for taking an interest. The level 1 and level 2 data feed are not perfectly in sync with the program that I used (NinjaTrader). So there are some gaps and data mismatches here and there. If you look at column Z row 16 you will see the 218 on the level 2 feed. On row 14 this showed up as 214, so this is likely what you would expect to be used, but the sequencing in my extraction program with the data lagged picked up the value of when it moved up to 218. In most cases the difference will be negotiable on these, but I see where your question comes from.

Ultimately what this metric is doing is showing the best bid / best ask volume for each price along with the corresponding best bid / best ask for the top level in the level 2 feed. Getting level 1 and level 2 to match up is a bit of a trick. Because with Ninjatrader the level 1 and level 2 feeds come from different event handlers and process at different times. So I have to create a lot of different temp variables to hold everything to get these to two feeds to sync. Sometimes no matter what I do, I am ahead or behind by 1 row, but the difference is just going to be what changes occurred in the level 2 feed with just a few ads or cancels here and there.

I have never seen anyone else share this level of analysis on something as massive as the full book on the ES. There are likely better tools / ways to go about this, but in terms of free tools / dirty analysis, this is likely about as good as it gets.

Thanks,

Ian




torr View Post
Hello,
First of all thank you for very interesting thread.

Could you, please, clarify how you calculate " [Bid/Ask] SS L2" columns (file "ES 2-25-19 Summary Statistics.xlsx" )?
At row 14 where Ask side win "SS Ask Starting V"[14]==" Ask1"[14]==113.
But I cant understand how "Ask SS L2"[14]==218 got.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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