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Search: Posts Made By: module0000

Forum: Treasury Notes and Bonds

June 19th, 2019, 02:53 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

It took some time - I am still using it. It's...

It took some time - I am still using it. It's evolved a lot since the first versions, but the core idea is still powering what I'm doing these days. Most of my trading is now on the NQ instrument,...

Forum: Off-Topic

September 19th, 2017, 04:04 PM

Replies: 9

Order Flow is Rubbish?

Views: 5,221

Posted By module0000

I have a method I've been experimenting with, but...

I have a method I've been experimenting with, but it's unproven over time. That said... I'm looking at the intra-day open interest on the reconstructed orders. You should not see any increase on OI...

Forum: Off-Topic

September 19th, 2017, 02:56 PM

Replies: 9

Order Flow is Rubbish?

Views: 5,221

Posted By module0000

There is a slightly more accurate way to look at...

There is a slightly more accurate way to look at that - not just watching jigsaw's reconstructed tape. In your code example you are examining delta tick-by-tick(I like that your variable names are...

Forum: Traders Hideout

August 11th, 2017, 04:21 PM

Replies: 32

I want profit 1 tick per trade , Can I do that ?

Views: 20,285

Posted By module0000

This works if your entries are perfect and your...

This works if your entries are perfect and your win rate is incredibly high. It's highly unlikely to have both of these things(not impossible, just improbable). You'd want to do this on an instrument...

Forum: Treasury Notes and Bonds

August 3rd, 2017, 10:24 AM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Well that's the idea :) The charts are just...

Well that's the idea :) The charts are just there to visualize why your system took the trades it did after the fact. You don't stare at them and try to make discretionary trades(at least I don't)....

Forum: Treasury Notes and Bonds

August 1st, 2017, 04:35 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Personally, I correlate the ES/NQ/ZF/TN with the...

Personally, I correlate the ES/NQ/ZF/TN with the ZB. If you add correlation to the strategy you end up with a much higher win rate(high 90's), but the downside is you may only see 1 trade per week...

Forum: Treasury Notes and Bonds

August 1st, 2017, 04:20 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

I use Multicharts.NET, but any platform or API...

I use Multicharts.NET, but any platform or API that provides tick-by-tick resolution data would work. If you are talking about EuroFX, the lack of liquidity could make my particular algorithms less...

Forum: Treasury Notes and Bonds

August 1st, 2017, 04:07 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

If the win rate is 85%, then 85% of the time I...

If the win rate is 85%, then 85% of the time I gain 2 ticks, and 15% of the time, I lose 2 ticks. I'm not sure what you mean about needing more than 2 ticks for 85% win rate ..I suppose I could scalp...

Forum: Treasury Notes and Bonds

August 1st, 2017, 04:01 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Lots of questions, I'll do them one at a time. ...

Lots of questions, I'll do them one at a time.

1) I don't use any prediction that volume at any point will affect volume more than 10 minutes in the future. My system is very "right here, right...

Forum: Treasury Notes and Bonds

July 31st, 2017, 01:45 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Not using ATR, but using a similar concept. I...

Not using ATR, but using a similar concept. I look at the highest and lowest price delta for a short timespan(5-20m), and the difference between them must be greater than <X> for positions to open.

Forum: Treasury Notes and Bonds

July 31st, 2017, 01:36 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Oh heck I agree with both of you. The way I...

Oh heck I agree with both of you. The way I arrived at this was realizing that I just couldn't teach my brain to do it profitably. I can remember what color my favorite cassette tape 30 years ago...

Forum: Treasury Notes and Bonds

July 31st, 2017, 01:22 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

I like your strategy of watching prices that...

I like your strategy of watching prices that attract orders. Something similar I study is the reactive orders at a price. EG... price ticks up to 152'11, and instantly 61 sell orders tick it back to...

Forum: Treasury Notes and Bonds

July 31st, 2017, 01:17 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

I've tested to 2007, but not any further back...

I've tested to 2007, but not any further back than that. Contract rollover days haven't had a noticeable effect yet, but that could be because my targets are so small, and my willingness to quit for...

Forum: Treasury Notes and Bonds

July 31st, 2017, 10:59 AM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

My broker is $2.82 per round turn, but your...

My broker is $2.82 per round turn, but your cost-per-contract is close. In practice it comes out on the higher side. I've been live with it for 15 months.

Forum: Treasury Notes and Bonds

July 30th, 2017, 09:56 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

In the sept 17 contracts accuracy is 81% for 2...

In the sept 17 contracts accuracy is 81% for 2 tick profit targets. That's running 7a-930a CST, and inactive for 5m before and 5m after any major economic news, trading fewer than 16 lots. There are...

Forum: Treasury Notes and Bonds

July 30th, 2017, 04:13 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

I should have mentioned in the original post, but...

I should have mentioned in the original post, but the motivation here is to shake out other people using similar techniques, so we can all learn from each other. Is your limit order reloading algo...

Forum: Treasury Notes and Bonds

July 30th, 2017, 04:03 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Sure, the vertical histogram bars are price delta...

Sure, the vertical histogram bars are price delta over <X> time, which adjusts algorithmically along with the rate of price change(more changes = shorter time period for delta calculation, less...

Forum: Treasury Notes and Bonds

July 30th, 2017, 03:35 PM

Replies: 48

Order flow with charts, it works like this

Views: 29,585

Posted By module0000

Order flow with charts, it works like this

A little bird told me order flow was about me taking all my charts, throwing them in the fire, and promising to never ever use such naughty tools in the future. I think order flow is better expressed...

Forum: Traders Hideout

July 30th, 2017, 03:14 PM

Replies: 21

Conflicting information

Views: 10,096

Posted By module0000

The problem with any "system"(charts, t&s,...

The problem with any "system"(charts, t&s, indicators, tea leaves) exists whether or not you look at it. The problems are inherent in the system itself; the probability of designing a perfect system...

Forum: Treasury Notes and Bonds

July 28th, 2017, 04:41 PM

Replies: 16

choppy treasuries markets

Views: 4,077

Posted By module0000

Do you have a system you employ to determine...

Do you have a system you employ to determine which of the two forces is effective? EG, if you have 1000 market sells, and 1600 market buys for a time period(say, 90 seconds), and the price ticks up...

Forum: Treasury Notes and Bonds

July 28th, 2017, 02:48 PM

Replies: 16

choppy treasuries markets

Views: 4,077

Posted By module0000

Trading based on order flow poses some additional...

Trading based on order flow poses some additional challenges when the market changes(eg in summer). Your brain has been "learning" the normal flow of orders that makes sense for the season you are...

Forum: Treasury Notes and Bonds

July 28th, 2017, 02:42 PM

Replies: 2

Bond Bears Still in Play

Views: 1,096

Posted By module0000

Are you holding bonds overnight? If you are...

Are you holding bonds overnight? If you are thinking that far out, chances are that you must be. Would you mind sharing your profit ratio as an overnight trader, if that is the case? I ask only out...

Forum: Traders Hideout

July 28th, 2017, 02:39 PM

Replies: 10

payment for order flow???

Views: 19,117

Posted By module0000

This is normal as I understand it. AMP Clearing,...

This is normal as I understand it. AMP Clearing, when operating as an FCM guarantees your contract. They are saying that the "how" of that guarantee may vary(whether it happens at your price, or...

Forum: Treasury Notes and Bonds

July 9th, 2017, 11:00 AM

Replies: 16

choppy treasuries markets

Views: 4,077

Posted By module0000

It's summer time - the treasuries behave more...

It's summer time - the treasuries behave more like the ES over summer(in my opinion). The liquidity is still there in the order book, but those orders will pull much sooner than the same scenario in...

Forum: Traders Hideout

July 9th, 2017, 10:52 AM

Replies: 7

unusual vol spike

Views: 3,193

Posted By module0000

That's the "cash close", when all market makers...

That's the "cash close", when all market makers and brokers running at a surplus/loss must become flat. A lot of HFT insanity happens in those moments, if you watch time and sales it is just about...

Showing results 1 to 25 of 25

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