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Can someone with real futures trading experince tell me if this strategy can works?
It’s hard to tell on my phone but it looks like it’s filling on touched (inserting you into the front of the queue when you submit an order). In which case no, it absolutely will not work in reality.
Edit: also, if they have implemented simulation that poorly you should absolutely choose a different platform.
Ok, here's a brief description of what I'm trying to do:
The algorithm enters when the inequality between the first two positions of the queue, both the purchase and sale, that is, when it is difficult to enter and easy to leave
The target is 1 tick (I think this can be done by a robot)
In the video, it can be seen that the orders seem to be being filled in on the touch, (though it is being tested in high liquidity hours), but it can also be seen in some cases that it is coming out when the whole volume of my exit price is being consumed,
Where's another video done right now, this time using crude light: (https)://(www).loom.com/share/d6768ea3b258423d92842b6ac7f6e9cc
You will only ever get filled from the side that is thin and about to break, therefore you will start every trade down 1 tick. If you place your order on the other side, you will not get filled because there will always be too many participants in the queue ahead of you.
Assuming you are using market orders:
If you try to follow the thicker side of the book (assuming the thin side will break) you will be getting filled 1 to 2 ticks away from the predictable move after the fact and now crossing the spread and losing 1 tick to start the trade. If you try to follow the thinner side of the book, you will eat the 1 tick as the price breaks + 1 to 2 ticks for crossing the spread + latency. So you would likely start every trade down 2 to 4 ticks depending.
The way that this strategy works in practice by pros is this:
You get to an optimal spot in the queue: Close enough to the front to get filled from the thicker side even though most on this side do not get filled. But yet, far enough back to be able to land a cancel if and when the tides turn. This is difficult to do, so pros run 3 to 10 orders per side at all times constantly monitoring, canceling / price mod and reposing. You have to have extremely fast execution speed with your algo, a very fast platform, co-location to have any shot in hell at this. The people making money in this space have FPGA's running machine code or C++, plugged directly into the exchanges matching engines.
If someone in a video is trying to sell the idea that you can do this at home with a mouse in real time they are either certifiably crazy or a scam artist or both.
Ian
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.
1 tick targets or less are HFT based strategies and are very hard to implement for retail traders due to speed and cost. Also, the risk management behind such strategies has an inverse risk to reward which makes it hard to implement for many.
Thanks,
Matt Z
Optimus Futures
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