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How is futures volume reported (split/combined/?)
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How is futures volume reported (split/combined/?)

  #11 (permalink)
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roadahead View Post
Could you please elaborate on the above?
And what do you mean saying "wipe trades"? Most readings on the tape are similar to above example (1,1,2,4,1,7 etc.), does it mean most of trades on the opposite side are "wipe trades"?



Do you mean tape reading isn't working any more for retail traders?


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Wipe trade is a term that institutions use when they buy large parts or the complete top level
of the order book if it only consists of small change so that there is virtually no danger that any
of the counterparties is knowing anything that they don't. Like one mops the floor they just wipe
off the small change (the wiped trades).

Regarding tape reading: If you take a look at e.g. Velez/Capra books of the millennium, they
already show many of the tools that have trickled down to retail software in the meantime.
But as always the professional leaders like Blackrock, Bridgewater, Goldman Sachs etc. have
established other and more sophisticated techniques long ago. So it appears cute when retail
traders regularly show up at algo battles with bow and arrow.

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  #12 (permalink)
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choke35 View Post
Wipe trade is a term that institutions use when they buy large parts or the complete top level
of the order book if it only consists of small change so that there is virtually no danger that any
of the counterparties is knowing anything that they don't. Like one mops the floor they just wipe
off the small change (the wiped trades).

How can they see the level composition? I thought it's forbidden.
If they can, is there a possibility that "change" is indeed a big order divided into small orders by some algo mechanism? In this case to buy it could be a mistake...


choke35 View Post
So it appears cute when retail
traders regularly show up at algo battles with bow and arrow.

But still we know (do we?) that there are people who consistently make money. Maybe that's because of proper risk management and self-control?


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  #13 (permalink)
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roadahead View Post
How can they see the level composition? I thought it's forbidden.
If they can, is there a possibility that "change" is indeed a big order divided into small orders by some algo mechanism? In this case to buy it could be a mistake...



But still we know (do we?) that there are people who consistently make money. Maybe that's because of proper risk management and self-control?


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That's why statistical methods, machine learning etc. exist - they generate e.g. an ex ante slippage estimate
of order flow behavior and only execute if the estimate is close to zero. A human trader can't even blink in the
meantime. Since ex ante is only an estimate, ex post they will also be wrong from time to time - but extremely
rarely compared with retail sheep that try to compete in the same arena.

Ad good trading: @Big Mike has stressed that point a million times in his posts: An important step in the
development of a trader is the insight that good trading doesn't depend on indicators or on any other
methods that are hyped by brokers, software vendors and the like.

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  #14 (permalink)
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choke35 View Post
That's why statistical methods, machine learning etc. exist - they generate e.g. an ex ante slippage estimate
of order flow behavior and only execute if the estimate is close to zero. A human trader can't even blink in the
meantime. Since ex ante is only an estimate, ex post they will also be wrong from time to time - but extremely
rarely compared with retail sheep that try to compete in the same arena.

Ad good trading: @Big Mike has stressed that point a million times in his posts: An important step in the
development of a trader is the insight that good trading doesn't depend on indicators or on any other
methods that are hyped by brokers, software vendors and the like.

Can you recommend more reading on both above issues?

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  #15 (permalink)
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roadahead View Post
Can you recommend more reading on both above issues?

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Regarding statistical methods, machine learning etc. much depends on how familiar you are with math.
If you are looking for some introductory reading, imho Wiley's "For Dummies" are fine + inexpensive.
  • Statistics For Dummies + Workbook
  • R For Dummies
  • Machine Learning For Dummies

All of them have bibliographies for further on- and offline reading and you will also find many threads
here which cover these topics - but which are sometimes difficult to understand if a trader doesn't have
the necessary foreknowledge.

Regarding good trading, seasoned traders like @Big Mike, @Inletcap, @kevinkdog, Okina (rip), @tigertrader
- in alphabetical order and just to mention a few - are surely worth reading and show very different styles and
insights.

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  #16 (permalink)
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choke35 View Post
Regarding statistical methods, machine learning etc. much depends on how familiar you are with math.
If you are looking for some introductory reading, imho Wiley's "For Dummies" are fine + inexpensive.
  • Statistics For Dummies + Workbook
  • R For Dummies
  • Machine Learning For Dummies

All of them have bibliographies for further on- and offline reading and you will also find many threads
here which cover these topics - but which are sometimes difficult to understand if a trader doesn't have
the necessary foreknowledge.

Regarding good trading, seasoned traders like @Big Mike, @Inletcap, @kevinkdog, Okina (rip), @tigertrader
- in alphabetical order and just to mention a few - are surely worth reading and show very different styles and
insights.

Thanks!
But what about information regarding methods of professional trading companies? Is it possible to find it somewhere?

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  #17 (permalink)
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roadahead View Post
Thanks!
But what about information regarding methods of professional trading companies? Is it possible to find it somewhere?

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A funny start for determining your position regarding current basic professional requirements in the
industry is: 150 Most Frequently Asked Questions on Quant Interviews

From time to time people from leading quantitative hedge funds publish academic articles.
They have a double intention: discussing state-of-the-art topics and finding talents.
10-20 years from now we will presumably find some of that in the retail standard

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  #18 (permalink)
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choke35 View Post
A funny start for determining your position regarding current basic professional requirements in the
industry is: 150 Most Frequently Asked Questions on Quant Interviews

From time to time people from leading quantitative hedge funds publish academic articles.
They have a double intention: discussing state-of-the-art topics and finding talents.
10-20 years from now we will presumably find some of that in the retail standard

Choke,

After your posts it's hard to belief a retail trader should be trading at all

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  #19 (permalink)
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roadahead View Post
Choke,

After your posts it's hard to belief a retail trader should be trading at all

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For many traders that is presumably true - esp for those who are undercapitalized, unwilling to work as hard
as in any other demanding job, and/or trying to compete manually in areas where algos dominate.

Avoiding errors like these, you will already have a headstart over 90% of the retail crowd.

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  #20 (permalink)
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choke35 View Post
...and/or trying to compete manually in areas where algos dominate.

Like..?

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