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The human brain vs. an algorithm. Who wins?
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The human brain vs. an algorithm. Who wins?

  #21 (permalink)
los angeles, ca/usa
 
Trading Experience: Intermediate
Platform: Metatrader 5/CQG
Broker/Data: AMP FUTURES/CQG
Favorite Futures: ES
 
Kiks's Avatar
 
Posts: 44 since Oct 2012
Thanks: 111 given, 27 received

Thanks Ian.

I am far from reaching that messaging limit.
Is that messaging limit of 20000 per symbol/day or per trading account?

I'm trading only ES. Planning to add CL in six months.





iantg View Post
Hi Kiks,

What you are describing is legit. There is nothing wrong with strategically canceling orders, or submitting multiple orders to gain optimal position in the queue. I think quote stuffing honestly comes into play more in the cases of equities where 2 or more exchanges have the same stock. Predatory HFT players send tens of thousands of messages over just to try to slow the server down so they can arb against it.

With a single exchange such as the CME, there is no real equivalent arb... Maybe spy etf, but that is a stretch to thing anyone could pull that off. Anyway, the only real thing to watch out for is your messaging limit. You get something like 20,000 per day for free before they check you... Then they measure your fill rate against your messages. You may already know this but here is a tip I learned. A cancel counts as 3 points but a price mod counts as 1. A bit more of a PITA to do price mods on the spot vs. cancels, but if you can figure out some logic for this it will save you a ton towards your messaging limit.

It sounds like you and I may be playing in the same space a little.

Best of luck!

Ian


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  #22 (permalink)
charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

I believe it is per account per day. Here is the info in case you ever reach that scale....

https://www.cmegroup.com/globex/files/revisedmep.pdf?redirect=/globex/files/CMEMessagingProgram.pdf

Ian


Kiks View Post
Thanks Ian.

I am far from reaching that messaging limit.
Is that messaging limit of 20000 per symbol/day or per trading account?

I'm trading only ES. Planning to add CL in six months.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #23 (permalink)
los angeles, ca/usa
 
Trading Experience: Intermediate
Platform: Metatrader 5/CQG
Broker/Data: AMP FUTURES/CQG
Favorite Futures: ES
 
Kiks's Avatar
 
Posts: 44 since Oct 2012
Thanks: 111 given, 27 received



iantg View Post
I believe it is per account per day. Here is the info in case you ever reach that scale....

https://www.cmegroup.com/globex/files/revisedmep.pdf?redirect=/globex/files/CMEMessagingProgram.pdf

Ian

They have several examples in Appendix B.
If ever I trade another instrument, I'll open a sub-account.
One account per instrument traded.

Thank you Ian.

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  #24 (permalink)
Legendary Market Wizard
Chicago Illinois USA
 
Trading Experience: Advanced
Broker/Data: IB, ToS
Favorite Futures: /ES, US Equities/Options
 
wldman's Avatar
 
Posts: 2,625 since Aug 2011
Thanks: 1,327 given, 4,295 received

Yeah...

So, laying them out there fits your strategy. That is a good reason to do it...and thus the "dumb money" comment does not apply.


Kiks View Post
I place 4 limit orders at 1 tick apart. With different lot sizes.
It works for me.
They are placed one after the other in less than 1 millisecond total.
If they stray too far from current price, my software just removes them.

This is not quote stuffing. Quote stuffing is frowned upon if you remove your orders as the BEST BID & OFFER moves closer. It is the other way around for my limit orders. My orders love to get hit.

No one knows if they are my entry or exit.
If they get fulfilled, it is better for me.
My average price will be much lower.

Let the whole world see those orders on the DOM.

I hope more brokers offer metatrader 5 (not just AMP Futures) so I could run my robots on different accounts.


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