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My direct access broker suggested I trade something other than $NQ
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My direct access broker suggested I trade something other than $NQ

  #11 (permalink)
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Thanks all for your replies

Seems very few folks scalp $NQ for 3-4pts, my intent was only to find explanation for this repeating pattern.
(eg> I go long 1 ct $NQ say at 3770, price moves lower to 3765, I stay in the trade, price moves back up but stalls at/below 3770/or bounces back lower quickly and I close the position)


@josh - Thanks for your detailed reply. I know little about hft, probably shouldn't have tried my hand at explanations. I'll take your advice and others and focus on my trading, maybe work at higher timeframes, but its good to have this perspective.

@artemiso
Was wondering, if you believe what the support guy says, then knowing the order was from IB would instead embolden you to trade against them. Because you know IB is passing orders through and isnt holding any risk on those trades, also tells you theyre retail orders.

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  #12 (permalink)
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artemiso View Post
The "buy-side investors" who own stakes in their company that they repeatedly glorify are the ones who wear Ferragamo shoes and pay for female company at the AlphaMetrix summit, while the machines that they incriminate are managed by people who wear running shoes to business meetings and actively contribute code towards cancer research and particle physics. And I've spent a lot of time with both groups of people so I have a pretty good idea.

So, as long as the machines that are having 1000-day win streaks (or maybe losing money 5 days a year, heaven forbid) by means of things like quote-stuffing and that routinely cause mini flash crashes are run by sneaker-wearing people who contribute code towards cancer research, I should somehow feel a little better about that? And those on the "other side" wear nice shoes and pay for sex, and I should base an opinion on the stock market structure on .... that information?

I don't care who's behind what, and what kind of shoes they wear. I have work to do before tomorrow and don't care enough about a debate to type more, as I'm sure you don't either. What I know about HFT is a fraction of what you know, so you will handily win any debate simply by the mass of your data alone anyway. And I do not care whether you personally are "HFT" or not; I like you and appreciate your posts so this is not about you or IEX or who's on which side.

I'd like a market that is as fair to all participants as possible, in its basic structure--which is not what we currently have. That's really the bottom line for me because when I play a game, I want an advantage, but I want it to be an advantage that I create, not an advantage built into the game, for my benefit==and that is currently how the market works.

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  #13 (permalink)
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josh View Post
So, as long as the machines that are having 1000-day win streaks (or maybe losing money 5 days a year, heaven forbid) by means of things like quote-stuffing and that routinely cause mini flash crashes are run by sneaker-wearing people who contribute code towards cancer research, I should somehow feel a little better about that? And those on the "other side" wear nice shoes and pay for sex, and I should base an opinion on the stock market structure on .... that information?

1. Survivorship bias. I can name around 100+ electronic trading firms that have tried to go down this path and either blown up, liquidated, gave up, or been absorbed since I started my career. Why should I be surprised that the 10 or so firms that remain have extraordinary profits?

2. I don't know the exact number, but I can bet you that firms like FXCM, Interactive Brokers, E*TRADE, Charles Schwab have effectively 100% winning days on their trading strategies by routing orders risklessly. I would be behind the IEX guys if they came out to say they're building their business to compete away the customers of these guys, but picking on disadvantaged "HFT" firms comes across to me as morally righteous as racism.

3. There's little to no evidence of quote-stuffing. The idea has been promoted by a market data provider that is using the consolidated feeds - which do not identify the origin of each order. Regulators have data that label orders and their origins, and have not found any foul play. The said market data provider also stresses on the alleged "quote-stuffing" that takes place in the U.S. equities and futures markets by showing diagrams of quotes vs executions in those markets. That reasoning sounds flawed to me because the quote to execution ratio in certain options is in excess of 10,000 to 1 - no one is crying foul in those markets, yes? On the other hand, I could cancel as few as 5 orders to every 1 execution in the Eurodollar because of exchange restrictions.

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  #14 (permalink)
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josh View Post
I like you and appreciate your posts so this is not about you or IEX or who's on which side.

Hey, I like you personally too and think that your posts are among those deserving most merit on this forum. (I recall nominating you for the futures.io (formerly BMT) awards somewhere.) It should be OK for us to have differing views so long as we're able to dissociate emotional attachment from rational argument.

Our views cannot be both true at the same time - so logically, one of us has to be wrong. The lessons that have had the most impact on me are often the ones where I was initially wrong - and that's one good reason why I spend time posting on this forum - if I can even change the mind of one person of your level, I think I will have made a positive contribution to this society.

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Yes, true, @josh! (You have been lately doing such beautiful anlyses that I would find it hard to disagree with you anyway.)


It has always been and will be the big money's game. We can only follow the smart money and eat what they choose to eat, once we figure that out. And inspite of them knowing.

We are, if we are clever, 'too small to fail'.

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On Speculation

The word speculation is derived from the Latin word speculatus which means 'to spy out'.

I think that in itself sums up the activity very nicely.

We all look for clues and then assume risk once we have satisfied ourselves on what comes next.

The survivors are the ones who successfully spy out opportunities and make the most of them - and ALSO, they are the ones who are adept at running into the bushes if caught with their pants down - instead of parading around in the emperors new clothes.

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josh View Post

I'd like a market that is as fair to all participants as possible, in its basic structure--which is not what we currently have. That's really the bottom line for me because when I play a game, I want an advantage, but I want it to be an advantage that I create, not an advantage built into the game, for my benefit==and that is currently how the market works.

But it is always how the markets operate. Markets exist because of human greed - okay, they exist t facilitate exchange of risk, but primarily who takes the risks? Its all Adam Smith and the causes of the wealth of nations.

There will be no markets if there is no greed. Every single entity that trades tries to put everything on their side. Regulators exist to prevent unfair games.

But the whole point of this thread is - can I be taken advantage of? Am I being used a puppet for lining the rich folks profits? The answer is in our head. Rich folks willing to pay for getting the volume and prices that retail has exposed seem to think they have an edge and we would think that they have it made for them. But is that really true?

I recommend that all be reading Magee's other classic - not Technical Analysis of Stock Trends, but his book on Semantics now relabelled as 'The Mental Game on Wall Street'. It deals with this to its very core.

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  #18 (permalink)
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artemiso View Post
Our views cannot be both true at the same time - so logically, one of us has to be wrong. The lessons that have had the most impact on me are often the ones where I was initially wrong - and that's one good reason why I spend time posting on this forum - if I can even change the mind of one person of your level, I think I will have made a positive contribution to this society.

As you are the one who is an expert on this subject and who knows much more than I do, I will keep an open mind and simply appreciate your views, even if we disagree a bit on the topic at hand.

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  #19 (permalink)
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iqgod View Post
But the whole point of this thread is - can I be taken advantage of? Am I being used a puppet for lining the rich folks profits? The answer is in our head. Rich folks willing to pay for getting the volume and prices that retail has exposed seem to think they have an edge and we would think that they have it made for them. But is that really true?

I recommend that all be reading Magee's other classic - not Technical Analysis of Stock Trends, but his book on Semantics now relabelled as 'The Mental Game on Wall Street'. It deals with this to its very core.

I would suggest a balanced view on the subject.

The simple fact that firms pay for access to brokers' orders (including their dark pools) means, logically, unequivocally, that this order flow contains information which is then used to make more money than they pay to receive it; otherwise it would make no business sense. So yes, undeniably, customer orders can be, and are being, taken advantage of, to generate revenue for those who are willing to pay for it.

But those are where the facts end, and the judgement begins, so I'll stop here.

As to how each of us lets this information affect us in the day-to-day, well, this is what really matters, and what you are addressing. If we know that our orders can be used against us, do we get in the fetal position and suck our thumb and cry for mommy? Of course not. We work through it, do what we can to change things that we feel need changing, and play the game in front of us. Thanks for your book recommendation, I will put it on my list and check it out.

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chart example


@artemiso @josh

I thought I would add an example

6/25/2014 yesterday I entered a short $NQ scalp at 3818.5, 2:30pm (2014.06.25 14:28:44 per my trade log), price moved higher to 3823.75 then started reversing lower. It reached my cost price of 3818.5 at 2014-06-25 14:56:52, then bounced higher EXACTLY at 3818.5!! as shown on the chart. I closed the trade at 3820 and price then moved immediately lower, continuing down to 3813.75

I can't explain it

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