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Search: Posts Made By: iantg
Forum: Emini and Emicro Index June 20th, 2022, 09:53 AM
Replies: 56
Views: 31,122
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: 31,122
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: Emini and Emicro Index March 20th, 2022, 09:02 PM
Replies: 56
Views: 31,122
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 December 6th, 2020, 10:36 PM
Replies: 56
Views: 31,122
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 July 13th, 2020, 07:28 PM
Replies: 56
Views: 31,122
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: Emini and Emicro Index November 22nd, 2019, 11:23 AM
Replies: 56
Views: 31,122
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: 31,122
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: 31,122
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: 31,122
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: 31,122
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: 31,122
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: 31,122
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...
Forum: Emini and Emicro Index September 13th, 2019, 10:42 PM
Replies: 56
Views: 31,122
Posted By iantg
Hi quants00, I am always happy to share and help...

Hi quants00, I am always happy to share and help if possible. If you have any specific questions, let me know and I will be glad to give you some feedback.

But i will always defer to artemiso...
Forum: Emini and Emicro Index September 11th, 2019, 11:04 PM
Replies: 56
Views: 31,122
Posted By iantg
You might have a shot with rithmic's diamond API,...

You might have a shot with rithmic's diamond API, but that is about the only one on the market (in terms of retail-ish).

The edge is solid, you can test it over any day, any time of day, etc, and...
Forum: Emini and Emicro Index April 7th, 2019, 10:18 PM
Replies: 56
Views: 31,122
Posted By iantg
As a follow up to Post 9 on fill rates

Following up on my last post: Here is the actual analysis and raw data.

I won't provide a long winded explanation of the technical aspects of the analysis. Everything is in excel and you can...
Forum: Emini and Emicro Index March 11th, 2019, 10:41 PM
Replies: 56
Views: 31,122
Posted By iantg
The Paradox of Toxic Fills and Understanding Limit Orders under the Hood

Fair Warning: This is the part where the Red Pill comes in. If you are pursing a scalping, Order flow related strategy, aiming for 1 to 2 ticks, modeling a strategy that heavily relies on limit...
Forum: Emini and Emicro Index March 2nd, 2019, 12:49 PM
Replies: 56
Views: 31,122
Posted By iantg
The way the market moves and clears levels can be...

The way the market moves and clears levels can be visualized like this: https://nexusfi.com/attachment.php?attachmentid=263511

Buy limit orders can only be placed on or south of the current best...
Forum: Emini and Emicro Index February 27th, 2019, 01:54 PM
Replies: 56
Views: 31,122
Posted By iantg
Analysis # 1

Backstory: There is so much misinformation out there regarding volume / order related trading methods. I have heard these described as volume profile, order imbalance, DOM, Level 2, Order Flow, and...
Forum: Emini and Emicro Index February 26th, 2019, 04:19 PM
Replies: 56
Views: 31,122
Posted By iantg
Market Microstructures - The Red Pill

Overview:

There is a ton of misinformation out there about the usefulness and utility of a lot of trading concepts. A recent poll on here is showing that there is more interest on the topics of...
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