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News Trading on CL and NG
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News Trading on CL and NG

  #1 (permalink)
Elite Member
New York, NY
 
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Posts: 28 since Oct 2009
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News Trading on CL and NG

I have been experimenting on a few news strategies, mainly for the Wed and Thu inventory reports for CL and NG. I enter an OCO order for both the long and the short side, just a few seconds before news time. I make sure the orders are at least 20 - 30 ticks away from the current price (to avoid whipsaws). These are bracket orders and include a stop limit entry, target and stop loss. My results in SIM have been pretty good so far. My question is - how might my live trading results differ? I know NinjaTrader will often fill your stop limit as much as 20 ticks away from the specified price (regardless of your DOM settings) - I know this from discussions on the NT support and other forums. Has anyone here ever used a similar strategy in Live trading? I'd be interested to hear about your experiences.

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  #3 (permalink)
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A few years back, I traded the ES on major news days like that using what I believed to be major support and resistance for trigger points. My thought was to take advantage of traders who made bad bets. I think I made some money doing it but there were times my stop limit would fill far away.

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  #4 (permalink)
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I think that if you have to ask the question then the answer is no, you shouldn't trade news.

Even during just normal volatility trades I've seen Ninja slip my stop loss order by a handful of ticks. According to my broker, Ninja re-submits an order after the original order wasn't filled because price moved beyond it, even though this makes zero sense to me. I don't even want to dig into it since I'm already just about finished with NT anyway. But since you are already aware of this issue, I would have to say that alone precludes you from even thinking about doing this.

CL is already far more volatile than most instruments. Then you say that's not enough :0 , you want more volatility by trading news! That doesn't compute for me.

I think to even remotely stand a chance, you cannot use NinjaTrader and you need to have a co-lo box sitting a few feet from your broker, which is a few feet from the CME feed. Latency is paramount, 5ms can cost you hundreds of dollars.

BTW, using the Ninja sim engine for this is really of no value, I'm sorry to say. Since Zen Fire doesn't have a paper account, you're best bet to really see what your up against would be to use an InteractiveBrokers account which offers a paper account. Ninja can then be setup to trade that paper account like it is real, and IB is setup to give you fills like they were real. Then you'll see if there is even the slimmest of possibilities you could make this work.

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Mike

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  #5 (permalink)
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Backtest extended past periods for a better reflection of this strategy. I tried it and my success was 50/50...

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  #6 (permalink)
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I found spike trading very profitable if done right. I do it on MT4 thou, using autoclicker and script. It is an advantage to know that in all likelihood there will be a spike at certain time one way or another.
What script does is: place two OCO stop orders on both sides of the market at defined by you distance, than it will move orders to keep this distance until the release time. Than it will cancel the unexecuted orders after a few seconds.
It doesn't work too well with MT4 brokers any more, but the main reason is that you can not place a stop limit order, only stop market on MT4. A ninja strategy can do that! It is certainly worth trying. All that is required -- some statistics on the spreads during the release and certainly strategy itself. But any experienced coder can do it, I am sure.
I'll be willing to help to the extend of my little abilities

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  #7 (permalink)
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Sasha View Post
I found spike trading very profitable if done right. I do it on MT4 thou, using autoclicker and script. It is an advantage to know that in all likelihood there will be a spike at certain time one way or another.
What script does is: place two OCO stop orders on both sides of the market at defined by you distance, than it will move orders to keep this distance until the release time. Than it will cancel the unexecuted orders after a few seconds.
It doesn't work too well with MT4 brokers any more, but the main reason is that you can not place a stop limit order, only stop market on MT4. A ninja strategy can do that! It is certainly worth trying. All that is required -- some statistics on the spreads during the release and certainly strategy itself. But any experienced coder can do it, I am sure.
I'll be willing to help to the extend of my little abilities

I'd be interested in any strategy you might come up with. My only concern is that with Ninja a stop limit is not what it appears to be. Based on discussions I've read elsewhere, a stop limit can be filled as far away as 20 ticks, which in effect makes it a market order.

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  #8 (permalink)
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Posts: 30 since Apr 2010
Thanks: 8 given, 9 received

Never happened to me, so I'd suppose it depends on broker's API more than on NT. All it does -- submits the order. Works on MBT without problems.

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