I am trying to add a few instruments that I can trade around london open. I am in Australia and that is the time i can trade. In the long run i want to be a portfolio trader/ invester.
My setup is trading intrady for now so i can learn as much as possible. I do not scalpe the markert.
I have a 50000 and 5000 volume chart. I look at the daily chart and then try to see what the market will do today.
Depening on the instrument. I have tick charts ranging from 55t to 2000t i compress the chart as much as possible and watch the price action at key levels.
I try to trade the setups form larger time frame, but enter the trades in small time frame. I am trying to incorporate the princile that i read for the book. Making money in the Forex, written by Ryan O'keefe. It is one of the best books I have read. Chjapter 2 talks about Principles of a Bargain Hunter. in this way i can get out of wrong trade with mim loss.
when i trade american market at that time its like watching paint dry. too slow for anything. I prefer more volatile markets. I can think and work fast so reacting to markets is not my weekness. I do not overtrade, My self control is good. touch wood. i prefer contracts that have a atr of 80 - 100 ticks a day.
Soon I am plaining to start a thread, where I want particepents to contribute on how they look at things, that wont be a how to trade thread, it will be a brain storming thread for price action trading and see what everyine is doning. that way I believe is, we can learn from each others ideas. I know we cannot copy people and I do not intend to.
what i want is that thread to have soo many ways of looking at market and understanding it.
what do u guys think.
The initial and maintenance margin levels sent by the commodity exchanges apply to positions held overnight. The day trading margin applies to positions closed out before the end of the daily session
It calculates the answers to all of your previous questions - also for all other Eurex products.
Broker requirements regularly* won't differ much from Eurex.
Besides you can test some (simple) scenarios what happens to your margin requirements
when volatility changes.
Good trades.
* As you can guess, there are some exceptions (just like with the E-minis). Some brokers only demand fractions of Eurex margins
for the account - an invitation to risk; others have very thin volume in these products and rather act prohibitively. You choose ...
The following user says Thank You to choke35 for this post:
FESX and FDAX are the two most liquid indices in Europe. Although the FDAX spread may often be a couple of ticks wide, it moves hundreds of ticks in a day and the contract is large. Slippage should not be a problem for a small trader, unless you are trying to scalp for a couple of points.
On average my slippage is 1 tick (0.5 points) for small market orders on the FDAX.
Overnight margin - yes you will need 23,000 or so per contract + whatever extra cushion your broker might require. Intra day margin may be less, depends on the broker. But anything much less than that is under capitalised.
What, in your list, i trade are the euro ( 6E ) and the 6B (GPB )
The DAX is very fast but spread is too high for me ( personal ) , you can gain good but loosing is also a good option
I trade also the ES ( you can make good trades around and just before lonen time, the CL and gold GC, all in Londen time.
You have a bit to see for yourself what's best for you
Here is a screenshot of the spraed in the dax, personaly i would not trade that!!
I usually only trade once or twice a day in the DAX and hold for most of the day, so bid-offer spread is less of a concern for me. My average PnL is 40-50 ticks.
I'm not very familiar with the scalping style - do you not enter on limit orders?
What's your hit rate? Are your wins and losses the same size?
Given the revelations that JDNeeman is a vendor now and his thread closed. I thought we can still have a thread to post trades from his free methods that he posted.
All information about the method can be found here:
Still great thanks …
The following user says Thank You to crossover for this post:
With this broker one point is 25€.
To illustrate ONE Dax future for trade with Interactive Brokers I show here the margins from the
actual table. Margins do follow the price - up and down.
Intraday is from 08:00 to 22:15 german hours - every minute outside means overnight margin.
So today for one Dax future you need to have a margin of 13904€. For overnight you need have
a minimum of 22247€.
If the evening session is near closing you get a warning after 21:45h to close your position if
the margin for overnight is NOT covered. If you do not react - your position will be closed by IB
and you have no longer an open Dax position with them.
Other brokers means other margins - but brokers with a margin much lower than IB for the same
future are more or less bucketshops where your money is not always guaranteed anyway.
So decided wisely WHERE to trade and then WHAT.
Illustration here:
GFIs1
The following 2 users say Thank You to GFIs1 for this post:
In liquid markets with a real broker (not bucketshop) you always have a good bid/ask
on the Dax during cash hours. This changes of course in afterhours as well as in the
night with the overnight margin.
There are times when price jumps before and after announcements especially.
This might cause price jumps - and maybe some orders not filled on the intentioned
price.
Here a screenshot of the normal lower volume during lunch time:
GFIs1
The following user says Thank You to GFIs1 for this post:
Hi Folks,
would like to get peoples view regarding the likely slippage on the FDAX with a position size of 10 or 12 contracts on a few intraday entries/exits? Anyone?
Regards..
While this is important, relevant etc., it still would not help the fact that ten contracts swept off the bid or offer on the Dax could mean ten levels of depth. The Dax is thin at best, testing it with several market orders will show you.
If you want to trade that size, I suggest you run the stops to get the best fills
I have entered numerous orders for 10 DAX contracts. My statistics show that entering on a stop or market order for 10 contracts you should expect about 2 ticks (1 point) of slippage on average, if it is during the day session. If a lot of stops do get run (around new highs and lows) the spread can widen a lot, although briefly. The solution is to place your stops wisely.
Limit orders will have zero slippage by construction, but it's possible to not get filled on your whole order.
For the way I trade 2 ticks is not a problem since the DAX moves around alot and I make over 50 ticks per trade on average. Unless you are scalping, I doubt it would be a problem for most day traders. If it is a problem then you don't have much of an edge and you will fail regardless.
After hours you would have more because the market does get thin.
I hope this will be more helpful to the original poster. Suggesting running the stops with 10 contracts is a silly statement (I presume it was a joke, just not very funny).
The following user says Thank You to piebald for this post:
Basically Im trying to get some views/opinions as to:
A) the likelihood of partial fills when executing a 12 contract limit order on the FDAX and also;
B) the likelihood of heavy slippage if it were a market order?
Time-wise, I'm referring to around 10:30am to 12:30pm London time, so basically its after the heavy morning London/Frankfurt action/throughput but before the US open.
Obviously if the market doesn't go to your limit price you won't get filled at all... but I presume you mean if it does go to your price: partial fills will happen but I suspect it won't be very frequent. I can't give a more definitive answer since I don't use limit orders on the DAX anymore. As a positive point: due the the 'thinness' of orders at any given price, you are likely to be at or near the front of the queue.
Be wary of trying to use a limit order to reduce slippage on what would otherwise be a market order. I've been burnt a couple of times on that. Limit orders make sense if you are trying to capture some mean reversion effect.
For market orders slippage will vary. Sometimes it will be zero, occasionally 6 ticks (3 points), but it's very unlikely be more than 10 ticks except immediately after a news announcement so using a market order to enter at those times should probably be avoided. I'd stick with an estimate of 2 ticks, on average which is all that's really important.
How long are you holding a trade for? How many ticks do you expect to average per trade?
Only holding a position for a few minutes usually. 8-10 ticks PT.
What do you think of this instruments potential for a decent mean reversion strategy? Have you tried or had any success with such a strategy?
Limit orders would probably work better here since the entries would be all counter trend hence only positive slippage?
Public summer holidays in most of the economically strong federal states of Germany (so-called Bundesländer) +
political paralysis because of Greece. FDAX market depth is really a bad joke at the moment ...
The following user says Thank You to choke35 for this post:
Unfortunately the volumes have shrinked dramatically.
For my system I need a good volume on Initial Balance (IB) in the 30 min. of more than 5k contracts.
This is during July and August normally the case. So the trade should not be taken after my rules.
From end of August back to normal as every year!
Good trades
GFIs1
The following user says Thank You to GFIs1 for this post:
Is anyone of the FDAX traders familiar with a good (free or to buy) indicator that works well with the CQG Ninja Platform data on IntraDay Volume ? And as commented by otheres today, volumes are VERY low at the moment. Uncertainty prevails for now at least for after Friday.
Thanks to Fat Tails / Balanar I have on Ninja installed the Better Volume Indicator with nice sounds
However I am doing some more homework, since I realize that Order Flow and Volume go hand in hand and prefer to go deeper into the "exact what is happening below the surface of trading FDAX futures and CFD's. And although CFD's are the derivative of Future DAX trading, it is as important to understand the dynamics. I am sure you all agree.
So far I have been investigating the last few days software from OFA, 9G, Jigsaw, Market Delta Trader, TradeGuider, BookMap etc. but wonder, since most software is used on ES, if there are traders with some years experience using either these platforms in Ninja for the FDAX ?
Questions are also, what are their average monthly overhead to run these packages, including Ninja Licence at $ 60,00 a month, E 23,00 Exchange fee, and if the CQG feed provides sufficient depth of the FDAX market ?
Please let me know FDAX Traders your opinion and experience. Appreciate this.
The Ninjatrader License varies with the model you choose; with some experience and positive perspectives of
your trading style, the lifetime model is most attractive - e.g.: divided by the months of use, I'm below 20$ now.
Eurex fees incl Level 2 are between 20€ and 40€ for all non-professionals and all brokerages and data vendors that I know per month.
Considering realtime data: What do you consider "sufficient"?
Other than e.g. 2011/12, market depth for the FDAX is pointless most of the time today - esp during holiday season.
No matter which data stream you buy, level 2 data in sum won't contain more than about 30-50 contracts for up to
10 ticks each side most of the time at the moment.
If your trading depends on liquidity, you implicitly found the answer why most of the packages that you have checked
primarily use the ES.
I had fun with excel today and put together a table showing Relative Volatility and Range per hour using 5 years of data. I thought I would share it with fellow FDAX traders because I just wanted to demonstrate to myself with numbers what I had a good hunch after watching the market for the past year. Please note that the data is not optimized so holidays or other special days are not removed.
glossary: Delta Volatility = Relative Volatility - Median of Hourly Relative Volatility
Delta Range = Median Range - Median of Delta Range
Hours: 0900 => 0800 - 0900 etc.
The following 8 users say Thank You to JohnS for this post:
I often think of trade ideas, but seldom have time to perform analysis on them. I have even thought of hiring an "intern" type of person that could crunch numbers all day, but I thought I would try this thread first.
If I provide the raw formatted …
And if you feel inclined, the excel source so others can plugin their own data.
I created a simple study to show historically where in the daily range the FDAX opens. The data is from 1999 thru 2014 and is not optimized for holidays etc. As you can see, the open tends to be at the extremes of the daily range. The source file is located at:
I created a simple study for the FDAX to compare the position of the open to the daily range. The influence was from Adam Grimes's course. The file is Excel 2011 for Mac.
The following 3 users say Thank You to JohnS for this post:
egal was man da macht ist einfach ein schrott markt der überhaubt keine rolle im weltgeschen spielt da ist verarschung an die tagesordnung bei den Volumen
Ja, dass habe ich auch observiert. Aber ich denke dass is fur ALLE Futures Handel weil die Borse neue Regeln gestattet hat fur die Mitglieder. Wie Darkrooms, Icebergs usw. So dass ist nich neu fur FDAX allein. (Sorry for my bad German )
I did some research about Order Flow software and Volume Software on Futures. Since I trade for many years, mainly forex and cfd's, in the long past I did trade FDAX before, then in DM at 25 DM per point. Then the market was not so sophisticated, at least one could as an Intrad Day Trader easily trade from a 5 minute chart like S&P and ES at the time too.
However, since trading became more off floor, on ALL world exchanges from early 1990's onward ... the game has changed all over. HFT came into play, among them 3 market maker firms from Holland EOE by the way ... and so the playing field changed and the exchanges adapted new rules for their members. And these rules allow for all these weird behaviors in futures trading. Icebergs, hidden orders, etc. (read some stuff on the Internet about this)
Speed has become for one the game (and now Intel designed a new flash memory, by the way that is even 1000 x more fast ... so hold your seat belt ! on the speed of trading in the future ...) and thus you can now only really understand what goes on by looking very close at very low time frames like 15 S to M1 . Other software for trading for scalpers like Bookmap, Jigsaw, Dome's (second, by second following what is going on) came into the market and many other scalping software (not for me)
So that is what you'r up to. And you are right the size of volume of FDAX compared to ES or S&P is and always has been lower. That will always stay like that. Same if you compare the German Stock Exchange with Wallstreet on volume.
So, this is what I mean in a nutshell in the last remark. Futures trading has become even more sophisticated but then also more complicated, and risky then say 20 years earlier. On the other side the technology has helped a lot to try to stay ahead of the game.
The following 2 users say Thank You to BernardWG for this post:
I have started looking at the individual members of the DAX to try to catch deviations in and the futures like the TICK for S&Ps. I don't have an indicator but I have an idea of how to do it though not any time soon. To be specific, I'm starting to keep an eye on the top 10 members, which equal ca. 66% of the DAX market value and try to find deviations to DAX. Does anyone do this? or know of a website that has an indicator like the TICK?
If you want to do some testing with the "official" XETRA data, you can use the IB symbols TICK-IBIS and TRIN-IBIS.
(IBIS was the predecessor of XETRA and the symbols weren't renamed.)
Here are some ideas with some random lines representing the next big central bank meetings & price levels. Not nearly as nice as the master works from @ratfink, but its what I can cobble together on TWS!
Last week has been consolidation after the big pushes up after the last ECB mtg.
For the bearish-bull case, price is +2,25 std from 20MA on Daily, wednesday's price reversed below Monday's high and price will retrace for a leg down towards mean.
For the hyper-bullish case, triangle is forming with higher lowers over last week so break out possible
Friday was an inside day of Thursday and Thursday was inside Wednesday so expansion is expected.
BOJ => no changes last meeting but inflation is zero so next meeting a change?
ECB => Super Mario is talking about expanding QE in December.
FOMC => seems to be 50/50 for rate rise in December.
The bulls seem to be in control....where are the bears?? In any case I'll wait for the market to tell me the direction.
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Entschuldigung fur spates Antwort. Ich habe von Welcome to Ninja-addons.com die TapeAddon Platinum gekauft und bin sehr zufrieden damit. Die software is nicht so Komplsiert wie die meiste Tapereading software aber gibt ein gutes sicht auf wass wirklich Pasiert mit den Dax. Mann kan einfach seher wie Blocktrades stattfinden un gegeven welche Preis unzw.
Ich brauche diese software zusammen mit Eds_Vol_Price Bar v.2.0 und anaBetterVolume and the VolumeOverlay und dass gefelt mir gut.
Du konst ein trial machen mit TapeAddon.
Bernard
The following user says Thank You to BernardWG for this post:
