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Search: Posts Made By: iantg
Forum: Platforms and Indicators October 23rd, 2022, 04:11 PM
Replies: 18
Views: 6,622
Posted By iantg
I am only trading one instrument. The NQ. ...

I am only trading one instrument. The NQ.

This is an example of what I see sometimes. This was on 10-07-22 at roughly 7:30 AM Chicago time. Each row represents an event that takes roughly 6...
Forum: Platforms and Indicators October 22nd, 2022, 09:59 PM
Replies: 18
Views: 6,622
Posted By iantg
FWIW I built my platform with Rithmics RAPI /...

FWIW I built my platform with Rithmics RAPI / co-locate with them via TheOmne. I spend months doing a lot of latency optimization to get everything multi-threaded so I didn't block the main thread...
Forum: Emini and Emicro Index June 20th, 2022, 09:53 AM
Replies: 56
Views: 30,987
Posted By iantg
Your best bet if you are a discretionary trader...

Your best bet if you are a discretionary trader is this: Use one of the "estimated place in the queue" tools from your favorite software. NinjaTrader has one, I think Sierra and maybe a few others...
Forum: Emini and Emicro Index June 20th, 2022, 09:43 AM
Replies: 56
Views: 30,987
Posted By iantg
Sorry for the delay responding to this. I...

Sorry for the delay responding to this. I haven't been keeping up with my old email notifications from Futures.IO. Here is an old NT forum post I started like 7 years ago that gets into this in...
Forum: Platforms and Indicators May 6th, 2022, 10:49 PM
Replies: 5
Views: 6,887
Posted By iantg
The latency you are seeing from Rithmic is the...

The latency you are seeing from Rithmic is the latency between them and the exchange. As long as you are co-located well, this part should be the least of your concerns. The bigger impacts to your...
Forum: Trading Journals May 5th, 2022, 02:16 PM
Replies: 2
Views: 1,431
Posted By iantg
CODE BASICS To start off here is how the...

CODE BASICS

To start off here is how the main data feed works: (Basically there are 2 things I care about from the bid and ask feeds, the price and the time.
I collect the data and send it to a...
Forum: Trading Journals May 5th, 2022, 01:49 PM
Replies: 2
Views: 1,431
Posted By iantg
High Frequency Trading Adventures with Rithmic's R API

INTRO / BACKSTORY
This will be a technical Journal dedicated to sharing and discussing some of the technical details behind a trading system I developed with the R|API class library. I would have...
Forum: Emini and Emicro Index March 20th, 2022, 09:02 PM
Replies: 56
Views: 30,987
Posted By iantg
There are 3 data feeds in NinjaTrader, and they...

There are 3 data feeds in NinjaTrader, and they will go out of sync often. Depending on what you are trying to do you may see some weird stuff.
For modeling purposes, stay away from the OnBarUpdate...
Forum: Emini and Emicro Index April 14th, 2021, 10:30 PM
Replies: 23
Views: 7,058
Posted By iantg
It means your limit orders will only get filled...

It means your limit orders will only get filled if the market penetrates your entry price the wrong way against you.

It's very rare for the market to only touch your entry price and fill you. In...
Forum: Traders Hideout December 15th, 2020, 01:04 PM
Replies: 2
Views: 2,187
Posted By iantg
If you are interested in speed and better fills...

If you are interested in speed and better fills then here are the biggest items that could help you.

1. Get in line early for all your orders (entries + exits). Instead of waiting for a signal...
Forum: Emini and Emicro Index December 6th, 2020, 10:36 PM
Replies: 56
Views: 30,987
Posted By iantg
Good question, I've tried the NQ and YM before. ...

Good question, I've tried the NQ and YM before. They are both a bit thinner than the ES. The concepts are largely the same but there are more gaps in the data with multiple price levels getting...
Forum: Emini and Emicro Index October 19th, 2020, 03:34 PM
Replies: 10
Views: 7,194
Posted By iantg
Generically speaking, Market Depth will display...

Generically speaking, Market Depth will display the total current volume at a given price level at a given point in time. Each price level will update in real time based on volume added or canceled,...
Forum: NinjaTrader September 6th, 2020, 11:04 PM
Replies: 5
Views: 1,963
Posted By iantg
Hi I did a a whole thread on market...

Hi I did a a whole thread on market microstructures a while back that included some details around this topic. You can find the old thread here. ...
Forum: Emini and Emicro Index July 13th, 2020, 07:28 PM
Replies: 56
Views: 30,987
Posted By iantg
I figured everything out that I presented in this...

I figured everything out that I presented in this thread on my own just by looking at the data. I am a data scientist among other things by trade, so building this type of taxonomy and analyzing the...
Forum: Traders Hideout February 15th, 2020, 10:31 AM
Replies: 11
Views: 3,575
Posted By iantg
There is no way to overcome the obvious points...

There is no way to overcome the obvious points you mentioned:

Option 1. If your higher win rate comes at the expense of taking a larger risk, this will eventually just average out to 50/50. But...
Forum: Traders Hideout December 13th, 2019, 10:14 AM
Replies: 6
Views: 1,629
Posted By iantg
tinustate, With NinjaTrader, there are three...

tinustate,

With NinjaTrader, there are three separate event handlers for the following 3 feeds:

OnBarUpdate: This event front runs the other two, but only takes an update when there is a...
Forum: Traders Hideout December 12th, 2019, 10:07 AM
Replies: 6
Views: 1,629
Posted By iantg
I get it, you are referring to getting a second...

I get it, you are referring to getting a second or third version of a NT demo account to get access to a live feed. I think they only run for like a week or two. So I see your point.

The...
Forum: Traders Hideout December 11th, 2019, 11:29 PM
Replies: 6
Views: 1,629
Posted By iantg
Sure, Ninjatrader 7 and 8 both allow you to write...

Sure, Ninjatrader 7 and 8 both allow you to write level 2 data to a file or output window easily.
Forum: Emini and Emicro Index November 22nd, 2019, 11:23 AM
Replies: 56
Views: 30,987
Posted By iantg
More or less. The extraction program uses the...

More or less. The extraction program uses the level 1, and level 2 feeds in a specific sequencing way. What I dumped into excel to show the raw data was just to illustrate how it works at a high...
Forum: Emini and Emicro Index November 22nd, 2019, 11:20 AM
Replies: 56
Views: 30,987
Posted By iantg
Hi Birdyalex, I appreciate and respect the...

Hi Birdyalex,

I appreciate and respect the reconciliation work you put in. You definitely understand this way better than most people.
To your question about the anomalies. As you can imagine...
Forum: Emini and Emicro Index November 19th, 2019, 10:52 PM
Replies: 56
Views: 30,987
Posted By iantg
In the simplest form possible, trading is...

In the simplest form possible, trading is essentially betting which way the market will go. So what is your bet? Why are you putting money on red or black? At some point you have to form a basis...
Forum: Emini and Emicro Index November 12th, 2019, 11:37 PM
Replies: 56
Views: 30,987
Posted By iantg
Hi LastDino, Thanks for taking an interest. ...

Hi LastDino,

Thanks for taking an interest. To your questions:

1. I won't say that resting volume analysis has no informational value at all, but I can tell you that the edges that I have...
Forum: Emini and Emicro Index November 11th, 2019, 10:41 PM
Replies: 56
Views: 30,987
Posted By iantg
Again thanks for taking an interest in this. The...

Again thanks for taking an interest in this. The taxonomy pretty much follows this:

Every price level has one side starting with resting volume that has been accumulating on resting price levels....
Forum: Emini and Emicro Index October 25th, 2019, 09:35 AM
Replies: 56
Views: 30,987
Posted By iantg
Hi Torr, Thanks for taking an interest. The...

Hi Torr,

Thanks for taking an interest. The level 1 and level 2 data feed are not perfectly in sync with the program that I used (NinjaTrader). So there are some gaps and data mismatches here...
Forum: Emini and Emicro Index October 6th, 2019, 01:59 PM
Replies: 56
Views: 30,987
Posted By iantg
Hi Ludo, I have used gradient boosting as...

Hi Ludo,

I have used gradient boosting as part of my day job before, but I haven't really given it a go on futures data before.
I have no doubts that with a decent training data set, I could get...
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