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The Italian Job
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The Italian Job

  #221 (permalink)
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The VWAP Mystery


redegenerated View Post
it's something related to the 4th july holiday, i guess....i noticed my bands did not reset from yesterday so i changed the holyday date in the indicator setup window. Now they looks correctly(i don't use them for trading, so they are just fine for now) with my setup and session template.


Let me try to explain the mystery. The problem is indeed related to Independence Day.


Independence Day is no Separate Trade Date for Globex Instruments


If you dig into the CME rules, you will notice that July 4 is not a separate trading day. All trades concluded on July 4 will be settled with the trades of July 5, so all July 4 trades have the trade date July 5. There are six double day trading sessions per year with CME Globex.

For ES, the trading day of July 5 starts on Sunday July 3, 5:00 PM CT and ends on Tuesday July 5, 3:15 PM.

Accordingly, the VWAP - if set to ETH - will not reset on July 4 at 3:15 PM, but continue its way through the trading session for all Globex traded instruments. If you were not aware of the double day session, the indicator detected it.


ICE/Nybot or EUREX have a separate Trade Date for July 4

Note that other exchanges treat July 4 as a separate trading day. For example ICE/Nybot counts all trades concluded on July 4 for trade date July 4. So for TF, or for other instruments like FDAX or SB, the VWAP should reset after the end of the July 4 session. See second chart attaced, which shows TF with the VWAP that resets.


Default settings of VWAP Indicator use the Trade Dates

The default settings of the indicator take into account the official trade dates of the exchanges. If you do not want to display the (correct) double day VWAP, you can always delete the preset holidays via indicator dialogue box.

Attached Thumbnails
The Italian Job-vwap-july-4.jpg   The Italian Job-vwap-july-4-tf.jpg  
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  #222 (permalink)
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Fat Tails View Post
Let me try to explain the mystery. The problem is indeed related to Independence Day.


Independence Day is no Separate Trade Date for Globex Instruments


If you dig into the CME rules, you will notice that July 4 is not a separate trading day. All trades concluded on July 4 will be settled with the trades of July 5, so all July 4 trades have the trade date July 5. There are six double day trading sessions per year with CME Globex.

For ES, the trading day of July 5 starts on Sunday July 3, 5:00 PM CT and ends on Tuesday July 5, 3:15 PM.

Accordingly, the VWAP - if set to ETH - will not reset on July 4 at 3:15 PM, but continue its way through the trading session for all Globex traded instruments. If you were not aware of the double day session, the indicator detected it.


ICE/Nybot or EUREX have a separate Trade Date for July 4

Note that other exchanges treat July 4 as a separate trading day. For example ICE/Nybot counts all trades concluded on July 4 for trade date July 4. So for TF, or for other instruments like FDAX or SB, the VWAP should reset after the end of the July 4 session. See second chart attaced, which shows TF with the VWAP that resets.


Default settings of VWAP Indicator use the Trade Dates

The default settings of the indicator take into account the official trade dates of the exchanges. If you do not want to display the (correct) double day VWAP, you can always delete the preset holidays via indicator dialogue box.


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  #223 (permalink)
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Fat Tails View Post
Let me try to explain the mystery. The problem is indeed related to Independence Day.


Independence Day is no Separate Trade Date for Globex Instruments


If you dig into the CME rules, you will notice that July 4 is not a separate trading day. All trades concluded on July 4 will be settled with the trades of July 5, so all July 4 trades have the trade date July 5. There are six double day trading sessions per year with CME Globex.

For ES, the trading day of July 5 starts on Sunday July 3, 5:00 PM CT and ends on Tuesday July 5, 3:15 PM.

Accordingly, the VWAP - if set to ETH - will not reset on July 4 at 3:15 PM, but continue its way through the trading session for all Globex traded instruments. If you were not aware of the double day session, the indicator detected it.


ICE/Nybot or EUREX have a separate Trade Date for July 4

Note that other exchanges treat July 4 as a separate trading day. For example ICE/Nybot counts all trades concluded on July 4 for trade date July 4. So for TF, or for other instruments like FDAX or SB, the VWAP should reset after the end of the July 4 session. See second chart attaced, which shows TF with the VWAP that resets.


Default settings of VWAP Indicator use the Trade Dates

The default settings of the indicator take into account the official trade dates of the exchanges. If you do not want to display the (correct) double day VWAP, you can always delete the preset holidays via indicator dialogue box.

Please add to the existing list of invitations another one with italian food

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  #224 (permalink)
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redratsal View Post
Please add to the existing list of invitations another one with italian food

I love Italian food and even prefer it to German food. But I am lucky enough to live in a place, where there is ample supply of Italian restaurants, Italian supermarkets and - most important - Italian coffee.

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  #225 (permalink)
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  #226 (permalink)
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First trade of the day Short CL 2 contracts, target on S +471 USD
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  #227 (permalink)
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Stop n Go and Reverse

This is a 3 in 1 trade:

1) Regular entry
2) Stop n Go (look here https://futures.io/traders-hideout/11184-italian-job-4.html#post125799)
3) Reverse (look here https://futures.io/traders-hideout/11184-italian-job-13.html#post130094)

With the downgrade of Portugal and the 6E near a support/resistance with a 100 pips down jump I knew it would have been hard to take long trades (see charts 60 minutes):
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As it was early morning CET, I decided to take the trade #1 as usual looking for a reverse of the downtrend. As I didn't like PA, the gomcd was clearly moving in favor of shorts I decided to close the trade with a loss of 251$ and try to position again my long at a better price position (Stop n Go).

As the Stop n Go failed -755$, PA beeing always below the TL, I decided to reverse and go short. Target was set close to the S with a profit of +1547$

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If the conditions are right I never stop trading after 2 consecutive loosers (if the loss is less than my money management). At the last trade I generated a profit not because I wanted to revenge the last 2 trades but because of market conditons and targets.

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  #229 (permalink)
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Fat Tails View Post
I love Italian food and even prefer it to German food. But I am lucky enough to live in a place, where there is ample supply of Italian restaurants, Italian supermarkets and - most important - Italian coffee.

I just spent 4 days in Berlin on holiday (Thats where you live right FT?). It was hard to find German food! Found a very good Italian resturant, and ate at the 1 michelin star restaurant Reinstoff, which was amazing. Also tried a few curry wursts

Such an interesting city, Berlin.

(Sorry for the off topic reply guys)

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  #230 (permalink)
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Twiddle View Post
I just spent 4 days in Berlin on holiday (Thats where you live right FT?). It was hard to find German food! Found a very good Italian resturant, and ate at the 1 michelin star restaurant Reinstoff, which was amazing. Also tried a few curry wursts

Such an interesting city, Berlin.

(Sorry for the off topic reply guys)

It's ok feel free, when it comes to food you are always welcome, I trade to get into nice restaurants as well

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