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Volume stops
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Volume stops

  #1 (permalink)
Legendary Guesser
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Volume stops

Does anyone have any experience with volume stops? On a thick market I reckon they could be very useful. correct me if Im wrong here:

10-Year T-Note with 2000 contracts per level. If I place a volume stop 2 ticks away from entry, I am giving myself an edge by almost getting 3 ticks for the price of two? With a volume stop, you will be hidden at the back of the queue.
The problem is that Ninja platform handles this locally so there is absolutely no edge. Latency and the possibility of my pc crashing are reasons I wouldn't implement this method. But CQG offer this functionality on their trading platform and the request is handled server side with the added advantage that the CQG servers are co-located in the CME datacenter(or so I have read).

If you use volume stops, how do you do it and do you find it useful?

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  #3 (permalink)
KNOXVILLE TN.
 
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volume stops


the ones i have seen are like a volume meter. once you entry your trade the algo motors the volume being executed after your entry . most motor the % of bid ask volume. so if your long and the delta is negative by x amount of contracts and that was y % of the total traded from the time your order was executed it gets you out. in general terms this only works if you crunch the data ever day then the algo is re-pinged to adjust for changes in market conditions and your trading habits. CQG or Bloomberg ,XTrader Pro would be the place to look for the high end systems. hope it helps

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  #4 (permalink)
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forgiven View Post
the ones i have seen are like a volume meter. once you entry your trade the algo motors the volume being executed after your entry . most motor the % of bid ask volume. so if your long and the delta is negative by x amount of contracts and that was y % of the total traded from the time your order was executed it gets you out. in general terms this only works if you crunch the data ever day then the algo is re-pinged to adjust for changes in market conditions and your trading habits. CQG or Bloomberg ,XTrader Pro would be the place to look for the high end systems. hope it helps

Thanks, I think CQG is the best for this but Ive just purchased Ninja so I im trying to work a solution with this platform. What I have learned today is that if I sell the current offer, lets say its 7, then I am in with 0 ticks gained and 0 ticks lost. Price moves to and gets bid at 5, I can then buy the bid and be out immediately for 2 ticks.
I think this is how a stop works, as soon as price hits my stop level I am out because on a long position, my stop is actually a sell order which executes as soon as price gets offered at my level. The reverse for a short. On a thick market this is a disadvantage because what you want to do is only offer (in the case of a long) to sell once price has reached your level and moved through say 70% of the volume at that level.
This level of execution has to be executed lightning fast otherwise price could simply rip through your stop level before the stop order even reaches the exchange.

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  #5 (permalink)
KNOXVILLE TN.
 
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order book

if i under stand you correctly you are not using executed volume , you are using the order book for some kind of hyper algo that if your stop just gets ofered the algo will get you out at a better price. i own ninja trader to..using it will be a heavy lift. Xtrader pro has the best tools for building your own. i have seen the veto to build what your talking about. there the only platform that show you where your order is resting in the Q . It is a grate idea good luck.

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  #6 (permalink)
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forgiven View Post
if i under stand you correctly you are not using executed volume , you are using the order book for some kind of hyper algo that if your stop just gets ofered the algo will get you out at a better price. i own ninja trader to..using it will be a heavy lift. Xtrader pro has the best tools for building your own. i have seen the veto to build what your talking about. there the only platform that show you where your order is resting in the Q . It is a grate idea good luck.

Jigsaw utilise server side volume stops when trading off the DOM but ninja dont which is damn irritating. My data comes from CQG and I presume it could be done via an API or something clever but why ninja dont store it server side I just dont know, their implementation is risky and inefficient. think Ill pester Peter a bit more on the hows and whys of his solution.

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  #7 (permalink)
KNOXVILLE TN.
 
Trading Experience: Advanced
Platform: nijia trader
Broker/Data: A.M.P. I.Q. ....C.Q.G.
Favorite Futures: ym
 
Posts: 523 since Mar 2012
Thanks: 104 given, 256 received

risky is the correct word

that is why i went to bonds from the ES. if your stop is market if touched with all the new trader on the es. i have had my stop filled 3 an 4 ticks away at times. keep working on it ...it is not a waste of time.

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