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How I Day Trade and Micro Scalp the NASDAQ Futures; with Recommendations

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How I Day Trade and Micro Scalp the NASDAQ Futures; with Recommendations

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  #21 (permalink)
boise idaho
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 250 since Apr 2020
Thanks: 14 given, 334 received

loantelligence View Post
i trade the MNQ on the opposite side....your charts show you are always looking for the turn....counter trend trading....I am always Trend trading lookin for the breakout or breakdown....almost doing the same the opposite direction.... will have to try your technique....not sure it will work for me...yes there is always chop with the MNQ...but there is also a trend....the key is knowing when its going to turn....there in is the problem for both of is the first 15 mins of trading Friday. $174.50..

I appreciate your ideas. Let me make some observations
on "with trend" versus "counter trend" trading styles, and expand
some on your ideas.

I may have said before that NQ/MNQ seems to have 2 Quantum
States: 1) death by huge runs, and 2) death by "wiggle". Anyway,
it's a Beast to try and master through the entire day trading

I run with a Co-Located Server <1msec from the Exchanges, and
the ability to do semi-automated trigger-based entries; however,
I rarely "chase a trend" because that is what everyone is looking
to do. Also, I have "advanced" Trend indications beyond the scope
of this simpler discussion.

If you were to use my little Trade Flow Analysis Indicator, and
set the Retention window (the Integration period) to about
20-30 seconds, you'd see a very strong correlation between
Price movement and Net Inventory change, in the Micro
Trending of the market.

That just means that when Prices rise, Retail Traders will
Buy to chase the trend; and when P's fall, Traders will Sell also
to chase the trend. Of course, they're hoping the Trend will
"be willing to give them" a ride far enough so they can take
their scalp profits; but it's a huge challenge, since Market Maker
knows that's what they want; and She won't give it to them...

Permit me just a little "sidebar" here, with a comment about
Market Maker. She is, in effect, saying to the Entire Retail
Marker "I will defeat 99% of you in the Short Term; even though
I cannot defeat the 50% of you who happen to Correctly Guess
Price an hour from now."

So, with Micro Scalping in the Short Term; Market Maker is
going to require a level of Precision which 99% of Traders
simply do not have. This means not only entering "Counter
the Micro Trend" precisely (wholesale if possible) and also
taking a profit precisely, also without using Market Orders,
but using Limits to exit a position.

Most traders are using Market Orders, so they are not able to
get the required advantage which Limits can deliver; and so
they cannot Micro Scalp profitably.

When using the Micro contract MNQ, you are gaining a huge
advantage in controlling small-lot Cost Basis, and are giving
yourself the ability to execute Multi Position "Meta Trades"
where Profit-Taking can put money in your pocket, that will
offset your Open losses.

However, the Broker Fee Cost to you for MNQ is unfairly much
higher than the cost of using the eMini NQ contract. But
that fee penalty is more than offset by your enhanced ability
to sustain Price Adversity and to Modulate your Aggregate
Position Size and its Cost Basis (aka VWAP).

My posted charts were just "chicken feed" trading, and don't
represent how I'd really tackle things. Let's say I want to
keep a market position size of 2 eMini NQ contracts. With my
custom system, I can easily handle 20-30 active MNQ positions,
each being 1 contract, and Manage the Entry and Exit activity
of each individual position precisely, with almost no effort.

If things get a bit out of control with a Trend running against
me, I simply drop maybe 50% of my positions, looking for
re-entry of those positions when hard trending against me
starts to ease off... (when I drop any positions, I close them
in a FIFO fashion) This can't easily be done Manually, at least not
on a large scale, since there's so much book-keeping involved
in this concept.

So the "Meta Trade" begins when I'm Flat, and proceeds through
perhaps hundreds or at least dozens of individual Price Position
Trades, until I am again Flat. That's how I think of trading, and
keep in mind that NOT all of your individual positiions need
move to profit; only that the Aggregate Meta Trade be profitable...

This gives me the ability to Fight Price Adversity, even if I am
completely wrong; and ultimately in most cases, at least
"land on my feet" and Break Even because of "Intra Meta Trade"
partial profit-taking, and a LIFO accounting method that
shows me how much I've gained in Profit Taking, against my
current Open Loss situation. When these two are EQUAL,
I can at least admit I was wrong; but nevertheless often
Break Even or even Profit, although I made the Wrong Decision.

I can't provide you with my system; but I can certainly discuss
what could be involved in creating something like that, the
key elements at least.

I worked 18 months of hard hacking, R&D and refinements
to create the ability to control large groups of Positions in this
manner; and I wish some facility like that were available to
Traders, or could approximate the control and precision which
is required.... <== Truly Sad Face .

But back to Reality, and how you can get a handle on when
Micro Trends may reverse. One of them, as I suggested is
a matter of closely monitoring Net Inventory using a variation
of the Trade Flow Indicator, and making the Market come to
your successively offset Entry Limits; plus a way of placing
a Target at a precise distance from each Fill Price.

One more thing, I trade WITHOUT STOPS, or I have a "safety net
stop" so far away that it will never be used. Why? Because I do
not intend to Stop Out. The Meta-Trade is not going to just Stop
Out under Price Adversity; it is intended to "modulate" commitment
and to end up at least Break Even and in most cases Profitable.
I get a lot of criticism and incredulity from Traders if I ever mention
this; because most traders think Stops are your Friend. For me,
clearly Stops are your Enemy, since you are too willing to use them,
and every Full Stop is a devastating hit to your equity, and your Confidence.
Being over-committed and therefore unable to sustain Price Adversity
is your worst enemy. You should really be able to sustain a significant
(temporary) Price Adversity on your way to Profits, without Fear of
being forced to Fully Stop Out in disgrace...

So I don't Stop Out. That doesn't mean I don't drop SOME of my
individual positions to reduce my Exposure; but that's not a Stop
Out in the Meta-Trade Way of Thinking. It's just controlling Exposure,
with the intent of Adding more Exposure back in when it's possible.

There are more issues of course, but the key elements might
be manageable.

Now, of course, this Defensive Cost Basis management is
NOT a Margingale Strategy which throws "good money after
bad" and eventually "blows up" your ability to sustain the
Price Adversity. You must have some Indicators, such as
the Trade Flow Analyzer, which is NOT based upon Price and
which has some decent correlation with "trend turns, or
pullbacks" which are essential for success overall, and for
the ability to take partial profits on Individual "positions"
in a LIFO accounting fashion, so you can see your progress
against your drawdown.

OMG, I have a $300 drawdown; but, wait, I've made $200 against that,
so I really have only a $100 Drawdown; and that ain't so Bad. Within
this overall Meta Trading Frame, you're holding; and are making Progress
against your Drawdown. Nice, huh? Gives you confidence to keep going...

APOLOGIES for all this, and especially the fact that I'm using
a custom code base specifically designed to do this on a
fairly large scale; which is not available... That's really unfair
of me, but we can at least discuss some of the principles
involved which Small Traders can use to profit every day.

[edit] the full code for Trade Flow Risk Indicator is here in the forum:

Always use the last provided full code listing; create a NinjaScript of the same
name and then blow away everything, and paste the code in its place, and compile.
Place comments or questions in that thread; not this one.

[edit2] ONE FINAL BUT IMPORTANT COMMENT: Technical Indicators are "swamped"
or completely "overwhelmed" during Market Open activity. Best advice is to avoid
relying upon an indicator such as Trade Flow Risk, or any other Technical Indicator;
until the Market has settled down and the "technical signal to noise ratio" allows
the Indicator to start working for you !!! Ignore this advice at your peril...


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  #22 (permalink)
boise idaho
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 250 since Apr 2020
Thanks: 14 given, 334 received


The system shown is just a demonstration of what MNQ
micro scalping might look like. We can discuss key
features, for those who are interested; but this is
not available; so please don't ask.

It can be used to discuss some of the main features of
a design for micro scalping; but I won't be discussing any
of the details.

This is just to demonstrate that using Multiple entries
with fairly close Targets (about 10 ticks) with Limit Orders
for Entry and Exit, could yield a very small trader's
Daily Goals.

Simulated profits shown are NET, so costs have been taken
out. MNQ does have a higher proportional cost than the NQ
contract, but the Low Risk of the micro contract has
advantages in permitting trading, without undue worry
about having to stop out.

The Nasdaq market ranges fairly wildly sometimes, and we're
seeing downtrend conditions in the video.

Again, this is just a hypothetical demonstration that MNQ
does have the potential for a small trader's reasonable
daily gains. About $100 Net is shown over 10 minutes or
so of "casual scalping".

Recommend, if you are in a hurry; that you view the
video at 1.25 or even 1.5 normal speed. It ends with
a total Net accumulation of just under $100 (costs taken

It operates on the concept of a Meta Trade which is a
"trading frame" consisting of potentially a large number of
individual micro scalps. When Flat; the results are transferred
to a cumulative field; and the Trading Frame is cleared with
the "New (frame)" button.

During operation, LIFO accounting is used, so the number on
the left shows Open Losses, then in the middle, we see
Closed Profits within the active Meta Trade "frame".

[edit] Unfortunately, the lines drawn on the chart are drawn "FIFO" so they
do not represent the LIFO accounting which the demonstration is using.


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  #23 (permalink)
boise idaho
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 250 since Apr 2020
Thanks: 14 given, 334 received


In the prior post, the system ALWAYS makes the market come
to a particular Limit Order.

When the Limits are Manually triggered, then are set to an Offset
under the BID (for Buy) and above the ASK (for Sell) so the market
must "come to the limits". Successive entries are automatically
"staggered" at Fixed offsets from the Initial entry.

Also, when the Triggering system is employed, the same principle is
always followed. Although it could use simple Market Orders, in order
to get the required Precision; Limits are used, and again additional
Price levels are "staggered" away from the Initial placement.

There is more to being "Predatory"; and I'll just mention them

Trade Flow Inventory Analysis is being done constantly, on fairly short
time scales. The Triggering system can Require that there be a
minimum of Net inventory (in the correct direction) before Triggering
is enabled.

With Net Inventory, when the Retail Players are Selling; then Market
Maker is Buying. Thus, with "enough" Retail selling, and Price
typically going down; Market Maker will then be motivated to turn
the trend Against the Retail Players' aggregate position.

Being able to use Multiple Simultaneous Criteria for Triggering is
transformational, by putting an "edge" very much in your favor before
you begin to Strike.

In addition to Inventory and Risk analysis; just using simple MACD
criteria can be very useful. An MACD involves 2 Moving Averages,
with different Time Periods, so that the Faster will move above and
below the Slower (using Price, or mid-Price) and their Separation
(which can be expressed in Price ticks) is a measure of Acceleration.
So Triggering can require a minimum Separation of an MACD, before
a Strike is enabled.

As an aside, when using Multiple Overlapping Trigger Criteria, it is
important to "extend" the "Triggered State" by a few hundred
milliseconds. That's easy to do. Then Multiple Trigger States can
be checked, and there is a higher probability that they will ALL be
in the Trigger State, because they are slightly extended in time,
so that they can "overlap" more consistently.

Obviously, by looking a number of primary criteria, such as the
factors discussed above, the odds of retracement success are
increased. In this type of trading, we are never "Chasing" Price, but
always requiring some "pullback" before entering, even if it is in
Trend direction.

We can discuss other design considerations, and other Triggering
conditions which can be helpful.


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  #24 (permalink)
boise idaho
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 250 since Apr 2020
Thanks: 14 given, 334 received


I have probably mentioned my favorite Nemesis; and that is
what traders call "chop" and I just call DBW "Death by Wiggle"

In order to defeat this; and pull money as consistently as possible,
I use a lot of technology, and precision; since "chop" is intended
to be 1) bad for Buyers, and 2) bad for Sellers.

This means you can't trade in "chop". Yes, normally that's true.

But my approach is to require a significant "deflection" based
upon some Price criteria; as well as a range of other non-Price
criteria; to identify Trigger Points.

At a Trigger, then I further submit a range of Limit Orders, with
an initial Price Offset from the Bid (to Buy) or Ask (to Sell),
followed by further Limits "offset staggered" at regular Price
intervals, such as 3 ticks further away.

In the attached, we see a Scalp using 4 Micros for 12 Ticks
profit on *each* of the 4 staggered Buy points; all of which
completed as planned.

The Net Profit here is shown as $18.92 which was gained
in about 30 seconds or so.

The Triggering Criteria for the BUY Trigger were:

1) A Recent 8 Lot SELL trade had occurred, and
2) a "negative" Net Inventory to a threshold, based on
a 30 second moving window (Excess of Sellers), and
3) a tiny, fast protective "snap down" of Price by 1 tick, and
4) the "Smart Entry" system detecting that down-movement
in price had stopped.

At that moment, 4 MNQ single contract Buy Limit Orders were
placed, staggered as described above by 3 Ticks each. These
Buy Limits each filled; and the system placed Target Limits
to Sell at exactly 12 Ticks from each.

The Market rebounded; all Targets were hit; and we were done !!!

we can find opportunities; where Manual interventions are very
difficult, but the co-located Triggering system is able to find
those "fleeting moments" where there is Opportunity.

The "overlapping convergence" of all the above Conditions
is essential for this Multi-Condition Triggering, which occurs
at the Server; so that the Remote Desktop Session display
LATENCY (~70 msecs) of the results is not a factor in the decision-making.

So that's just the way I do Micro Scalping during nearly any
market conditions. Risks are controlled; Stops are rarely needed,
and a few hundred dollars can be extracted every day, without
taking Risks that are too high.

Now, of course, with Higher Risks, the Precision and Predation are
there for possible significantly higher total Net Profits per day,
but that will depend upon Risk Tolerance, and Micro contracts
can be used (approximately 10x Micros is an eMini) to achieve
those Higher returns, while at the same time keeping Risk levels

Attached image can't be fully explained; but just a few settings
and checkboxes were used to achieve this small Micro-Scalp.


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