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Does the market know your positions?


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Does the market know your positions?

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  #21 (permalink)
 Arch 
W.Coast, USA.
 
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HiLatencyTRDR HLT View Post
This day and age of the internet I find it very lazy when people ask for information that can be found with a quick Google search or multiple ones. This is the age of information and finding what you need to satisfy your needs is at your fingertips as well as my own.

This was one quick search but there are many more
Most hft are synthetic market makers except for the fact in literature that they also are predatory and take liquidity as well because they are not designated market makers but synthetic.. where it gets weird is when they are buying and selling for their customers and know ahead of time that they are creating synthetic wash trades in order to fulfill bulys and sells required by their customers and then also dealing with noise orders or random retail orders as part of the balancing act but understand they rarely lose.. how could they
https://www.google.com/url?sa=t&source=web&rct=j&url=https://scholarship.law.upenn.edu/cgi/viewcontent.cgi%3Freferer%3D%26httpsredir%3D1%26article%3D1514%26context%3Djbl&ved=2ahUKEwjix4WD_Oz5AhUommoFHXHAAmEQFnoECCAQAQ&usg=AOvVaw12xYmabqRGvbBHcmNJYKpX

But they do not have direct access to your order's identity. They have ways to infer, but don't know definitively, if your 1, 5, or 10 lot order is retail or not.

As far as painting the tape (or walking the price up or down to squeeze opponents), they incur short-term risk by doing this. Their accounts are big, but not bottomless.

Anyways, the end result is to trade along the big players and not get wiped out through volatility and tight stops.

No one would be here if they thought they didn't stand a chance.

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  #22 (permalink)
conantrades
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bobwest View Post
I find this pretty often. It does feel as though "they" are not just "out to get me," but are actually doing it. Pretty effectively, too.

But I know that no one is going to make any money out of picking off my small-contract trades. No matter how often "they" seem to do it.

The fact is -- I believe, at least -- that many traders will have their orders at about the same levels, and for about the same reasons, as I do. So there is often a good reason for the market to move to a certain price, absorb all the orders there, and then move on. My orders are sitting there with a lot of others. Is anyone carefully tracking my orders in order to get me? Hell no. They'd be crazy to. There's no money in my orders, why would anyone care?

But I act along with a bunch of other people, because group psychology makes us all think similar things at similar times. So we act in concert, and our bunched-up orders affect the market, not to our advantage. If everyone who is currently interested in a certain level thinks price will go up from there, and is therefore long, who will remain to push it up by buying more? Not that many. But can it go down? Sure. It just takes some sellers, once the buyers are done. This is what makes the markets move.

I have read this exact question in the forum, in many variations, over the years. It's something of a classic, and I'm glad that @blackgrey45 asked it again. It absolutely does seem, as @kevinkdog says, that "someone" is out to get us. But they aren't. It's in us, not them. Specifically, in our decision-making, which has us making similar decisions at similar times as a lot of other people.

We simply are not going to make any money in the markets doing what everyone else does, when they do it. We are going to have to do something a little sooner, a little better, and before the crowd arrives. I have noticed many times that I should have sold at the price I bought, or vice-versa. There is a reason for this, and it is in my decision-making, not in other people manipulating the market against me. They don't know me, after all.

But we are all going to naturally act at least somewhat like the other members of the crowd do. This is the effect of crowd psychology, and it is going to affect us all, and it is part of why we do not profit. To the extend that we can be independent of the general group consensus, and in the right direction, even by a little or a little bit earlier, we can succeed. If not, we then will act along with it, which means, buying too high, selling too low, along with everyone else. Which is not something that works very well.

How to not do that is, of course, another matter. But this is why the cookie-cutter methods don't generally work too well, and why each trader has to end up doing things their own way, based on what they have found for themselves. Unfortunately, but truthfully. At least, that's my opinion.

Thanks, @blackgrey45, for the question. It's an important one to understand. I hope I have helped to understand why this "always happens to me." It actually happens to everyone, until they are not acting together with everyone else. Which is not easy, but is possible.

Bob.

I totaly agree with you. There are always the bears and the bulls and if you are a bear you have to know where the bulls have their targets and stops to know where the bulls are selling because they get liquidated and this is often the point where you enter a trade as a bear. It's not the marked who is against us because we are the market

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  #23 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
 
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kevinkdog View Post
If you are holding 100s of contracts, there are probably firms watching you (or at least guessing about you),
waiting for an opportunity to force you out.

If you are a retail trader trading small size, no one cares about you.

BUT

I will say it FEELS like many times the market is out to get you. Like, how many times have you bought at a high, compared to how often
you buy at a low? It definitely seems sometimes like someone is out to get you!!!

I know a guy who works for FINRA, his advice to me was if you ever trade more then 10 contracts,
"the algo's will start picking off your trades". I'm not even sure what that means exactly, but this is a guy who is on the inside and has been around
the pits for more then 30 years and was pretty convinced there was some chicanery going on. His advice was multiple account trading less then 10 contracts each.


A few years back trading micro FOREX contracts they were notorious for having these outrageous overnight spikes- stop you out and go back in your direction-
it happened too many times to count ................

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  #24 (permalink)
 Arch 
W.Coast, USA.
 
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OccamsRazorTrader View Post
I know a guy who works for FINRA, his advice to me was if you ever trade more then 10 contracts,
"the algo's will start picking off your trades". I'm not even sure what that means exactly, but this is a guy who is on the inside and has been around
the pits for more then 30 years and was pretty convinced there was some chicanery going on. His advice was multiple account trading less then 10 contracts each.


A few years back trading micro FOREX contracts they were notorious for having these outrageous overnight spikes- stop you out and go back in your direction-
it happened too many times to count ................

breaking your lot size on the same account would have the same effect, unless you are alleging your broker or the exchange is sharing account_ids along with the order_ids.

as long as your account_id and order_id is not revealed by your broker or the exchange directly or indirectly to other active market participants, then your order won't stick out or be identifiable unless you are overtly trading large lots.

also, there already are many algorithms that split up a large order to smaller lots, that's very common and normal.

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  #25 (permalink)
lightsun47
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OccamsRazorTrader View Post
I know a guy who works for FINRA, his advice to me was if you ever trade more then 10 contracts,

"the algo's will start picking off your trades". I'm not even sure what that means exactly, but this is a guy who is on the inside and has been around

the pits for more then 30 years and was pretty convinced there was some chicanery going on. His advice was multiple account trading less then 10 contracts each.





A few years back trading micro FOREX contracts they were notorious for having these outrageous overnight spikes- stop you out and go back in your direction-

it happened too many times to count ................

Just a quick side question - What if you are trading less liquid instrument, such as Copper or Sugar or Orange Juice or Cotton or Heating Oil with more than 10 lots instead of regular suspects like ES and NQ?

Does the market still 'go after' you and try to murder your positions with algos?

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  #26 (permalink)
OccamsRazorTrader
Fort Myers Florida/USA
 
 
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lightsun47 View Post
Just a quick side question - What if you are trading less liquid instrument, such as Copper or Sugar or Orange Juice or Cotton or Heating Oil with more than 10 lots instead of regular suspects like ES and NQ?

Does the market still 'go after' you and try to murder your positions with algos?

He didn't differentiate between markets and his magic numbers was 10 contracts. He was absolutely convinced you would see diminished system results with 10 or more contracts. As for softs, in my experience Coffee (KC) has some of the horribly worst spreads, slippage and fills. And while not a small market it's not as big as the indexes. It's so bad on a daily basis I've started trading it in a weekly basis, as the slippage was so terrible compared to a benchmark spreadsheet, it was almost not worth trading!

I once calculated average tick size for the markets I trade, ZB being the highest ($31.25), B6 being the lowest ($6.25), with KC ($18.75) being above the average of ~$14.00, it wasn't uncommon to slip 10 to 12 points from my stop price to fill price. If you estimate your average cost at $50 per trade when testing, KC is way way higher.

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  #27 (permalink)
 Arch 
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OccamsRazorTrader View Post
He didn't differentiate between markets and his magic numbers was 10 contracts. He was absolutely convinced you would see diminished system results with 10 or more contracts. As for softs, in my experience Coffee (KC) has some of the horribly worst spreads, slippage and fills. And while not a small market it's not as big as the indexes. It's so bad on a daily basis I've started trading it in a weekly basis, as the slippage was so terrible compared to a benchmark spreadsheet, it was almost not worth trading!

I once calculated average tick size for the markets I trade, ZB being the highest ($31.25), B6 being the lowest ($6.25), with KC ($18.75) being above the average of ~$14.00, it wasn't uncommon to slip 10 to 12 points from my stop price to fill price. If you estimate your average cost at $50 per trade when testing, KC is way way higher.

CME had a tool for displaying historical slippage. Donít have it bookmarked but can find it if you need help

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  #28 (permalink)
HiLatencyTRDR HLT
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https://www.cmegroup.com/tools-information/cme-liquidity-tool.html?gclsrc=aw.ds&gclid=Cj0KCQjwjbyYBhCdARIsAArC6LIU21w-qUnzYF0d5yo6CYL98u1exMHs6Egwx-HJcUQH8gX5LFkOybkaAh_SEALw_wcB&gclsrc=aw.ds

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  #29 (permalink)
OccamsRazorTrader
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Arch View Post
CME had a tool for displaying historical slippage. Donít have it bookmarked but can find it if you need help

While that info is interesting, I'd like to see how those stats change throughout the day. I've noticed that slippage is clock dependent, in times of low volatility it seems spreads and slippage rise (overnight) as well as times of heavy volume and volatility (FOMC days). I benchmark my system on a spreadsheet for pure signal generation (no commission or slippage) and compare it to my real money trading account. This year I've placed over 2,200 trades on a basket of 19 commodities, real time, and the average trade cost is exactly $48.18, which represents commissions, exchange fees and slippage. As I've said previously markets like KC especially with opening gaps have very large amounts of slippage, and others not so much. I think most quants when they back test a new system they usually factor in between $50 ~ $100 per trade just to give themselves room for error, so my number isn't out of the range of possibilities.

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  #30 (permalink)
 SMCJB 
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Thanks @Arch and @HiLatencyTRDR HLT I wasn't aware of this tool. Very Interesting.

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