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The nikkei is very prone to make local lows even when that price goes offer and local highs even when that price goes bid.
For example, it trades up to 24020, then back down to 23990, and 23990 goes heavy offered, enough to trade several hundred contracts, but no one hits 23985 ... in most markets (my anecdotal observation here), this means that the price below is likely to trade. If sellers were strong enough to make the price go offered, it would seem that someone in the world would hit the bid below, but it happens quite frequently this way with the Nikkei. Maybe it's because a tick is 5 points and to hit lower or pay up is not inexpensive (5/24000 = 0.02% ... not insignificant really for a single price movement, in the world where fractions of a percentage means profit/loss for HF strats).
Earlier I tried to get long 23960 and I clicked to pay up and was a hair too slow, and was literally #4 in the queue when it went without me, targeting 24030s. yikes ... right now I'd much rather trade HSI than nikkei. The speed with which it sweeps the book is pretty fast IMO, faster than ES which will usually at least give you a chance to hit out on the way down, for example. MJNK sweeps so fast that it's very difficult for me to hit out when I need to.
I'd recommend that you upload your picture as an attachment to your message to avoid going to a third party site.
I suspect we'll open above 29000, and my guess is that in the pre-open, they will take it down to below 29000 cash, which is ~29070 futures. If you look at an HSI cash chart, you'll see nothing but air above 29000 all the way to 30000. Curious why 29400 means anything to you, as the last time that price traded was 7 months ago and not nearly as significant (looking at a chart, and psychologically) as 30000.
Your 29075 on your chart corresponds almost exactly with 29000 cash, which is likely to be an important psychological level. Knowing how obvious it is, I'm guessing it will drop below and shake out 29000 buyers, but I try not to have too much of an opinion on these things really.
The chart is a map of the past, and far more important is how it behaves today, at least, that's how I view things. Prices that are shown to be important will be revealed as it trades, and those trump any prices that traded 6+ months ago, IMHO.
That is something I was eluding to in an earlier post about the big nikkei contract, it trades in 10s, so if it has a heavy bid or offer you will see the mini get stuck on one side of the round number.
Wow, sounds like you are building quite the project. Very nice.
Just with your 2nd objective, I have struggled to build the right amount of context into my models without chocking it to death on data that eliminates 95% of trades. The more complex the conditions are the smaller the historic sample becomes and you start to question significance. But I would encourage the development, as it in itself is a great tool for understanding market behavior, or I found it to be anyway.
Re; how am I connecting all the datapoints & dev language - I started in Python, but I really wanted more object orientation so moved the idea into c#. It feeds a csv of either tick/sec/minute data through a function that creates the model in memory, so it is all nested objects linked together. it builds and calculates all the key indicators I want internally and their values are stored per each data point and at key timeframes (1m, 5m, 30m, eod, end of week, but also like VPOC at 11:12am, etc). All objects are also linked by previous & next, I can iterate through and query prior values of an event easily. It is probably a lot simpler than it sounds, but in c# becomes very powerful when used with the linq query language, because you can build your query statements from the objects.
Happy to continue the discussion and add any ideas while you build your project.
I didn't have the platform open on Friday, but earlier last week I saw a few. I don't find it uncommon. But never 100% sure if it is my issue or server.
I would like to (I used to), but they don't have TSE data (Nikkei). Though they posted recently that they were considering it in the next 3 months so maybe that will change.
Also, if there were a problem with CQG, there would presumably still be issues routing orders which is of course most important anyway.
All this being said, last night I noticed that my windows machine had connected to the wrong router -- I switched it, and it worked much better. I am in the process of running a hard line to my office anyway so that should take care of any wifi-related issues.
Hi Josh, presume you mean CQG disconnection in general rather than a specific disconnect for just the Asian exchanges?
In any event I have had no disconnections for weeks - and I am in NZ! (PS: with otherwise the same setup as you).
Not for Josh, but for newer traders who are reading this - NEVER trade using a wireless connection to your router - you will get CQG disconnections. I have personally observed this numerous times when travelling (including overseas) where I was often getting CQG disconnections when I had no choice but to use wireless. Get home and use the LAN cable to the router and I have had no disconnections since I got back home (mid November).
I often wonder when I read SC support board posts about CQG disconnections (and the SC engineers tearing their hair out) how many of those traders are actually connected wirelessly.
Prediction is very difficult, especially about the future - Niels Bohr, Danish Physicist
Yes steve, a general CQG disconnection -- however, in this case I do think that it was my own connection issue so hopefully it won't happen again! I've never had this happen before, which is why I was so surprised by it. I have had *lag* on CQG, but that is mostly a non-issue (then again, market is not too volatile so maybe it will be an issue with volatility picks up) -- but never had a disconnect really until last Friday.
