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Trading the 6E Old School, With a Twist
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Trading the 6E Old School, With a Twist

  #411 (permalink)
Elite Member
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Adamus View Post
The problem with the M6E that I can see is that you pay a huge spread - I'm seeing a 20 tick spread on it at the moment, compared to 2 ticks on the 6E.


Big Mike View Post
That is not normal.


lifeguardsteve88 View Post
Are you sure you saw 20? I'm on there practically 24/7 (including all of this Holiday weekend) and the widest I saw was 5, and that's a rare event for the times I've been on it.


josh View Post
Broker does not matter with this--it sounds like you are looking at the wrong month.


WilleeMac
Unlike spot forex they are regulated and processed on an open transparent exchange

Mr Hunsader at @nanexllc might disagree w/ that last statement

I'm glad you guys got this sorted out in my absence,
Thanks
@josh @Big Mike @lifeguardsteve88 and @WilleeMac for stepping up and offering sound guidance to get things back on track.



Adamus View Post
....... another thing with that is that the high commissions-to-profit ratio just distorted what I felt would be a realistic equity curve in my trials with IB. Would this be the same problem with M6E or is the commission less here?

@Adamus ,,Thank You for the line of questions and concerns you pointed out, I'm sure this discussion will be very helpful in clearing up many thoughts traders may have who are not familiar with the M6E (micro Euro Futures contract) in the future. To answer the last couple questions, No, the commissions-to-profit ratio is not the same. The commission on a single "side" of a single contract through Interactive Brokers is $.33 (33 cents), that makes a "round turn" $.66 (66 cents). That being said, if anyone trades using the NinjaTtader Static DOM as I do, they will have to pay the NT "I stole the code, and my customers pay my fine," fee of $.10 (ten cents) on each side of the trade, or an additional $.20 (twenty cents) for each "round turn," but, a one tick trade is still profitable.







WilleeMac
I think @Cashish 's point was to get the head in the game.

In my very humble opinion regardless of trading live or sim, if we don't treat sim as skin in the game then we are wasting our time


The idea of trading the M6E, although it's not for everyone is two fold, first it allows you to trade "I don't care size," and second, and IMO most importantly, it brings RISK into the game.

From the CME website, "CME Group is where the world comes to manage risk."

Let's face it there is no risk involved when using a simulator. You can add accountability to simulated trading by letting "someone else" control your simulator e.g., Top Step Trader, Stage 5 but in all reality there is absolutely NO RISK involved in any single trade. At some point we all have to cut the umbilical cord that safely connects us to the simulator, RISK is what cuts the cord. IMO, it is the RISK and the management of that risk that kills traders. We've all heard the stories and read the threads where a trader went from consistently profitable on a simulator to "crash and burn" in a live, cash account. The difference is M-O-N-E-Y or risk if you will, until we add the element of RISK (money) to our trading we are playing a very elaborate VIDEO GAME. Trading is about money and it's NOT about money, we need to learn to manage risk, to do that we have to add MONEY. When we add money (risk) trading is no longer about money, now it's about psychology. For some reason, traders act differently when they are losing $500 of real money as compared to $500 on a simulator, THIS is the psychology of trading that can ONLY be tapped into when "Real Risk" is apparent in the trade, real risk doesn't exist in a simulator.

So the idea is, the M6E will allow traders to put a toe in the water and bring "Real Risk" into the equation and at the same time offers the ability to trade "I don't care size."


"Stupid is as Stupid Does"


I believe I've made every stupid mistake a trader can make, and still do on occasion! Here's an example of what COULD happen when a newbie trader is ill prepared. Lets assume two things; 1. Our trader was NOT aware of the trading volume shifting from the Sept contract to the Dec contract. 2. Our trader was NOT aware that his stop order was a market order.

IMO, these are the types of trading errors that can be experienced with the M6E and NOT cost a trader a significant amount of their trading account. Lets assume newbie wanted to hold his Thursday short trade overnight expecting a continuation of the apparent down trend, to hold the trade newbie put his stop 1 tick above Thursday's high at 1.3226. Unaware the volume in the Sept contract was shifting to the Dec contract and not being familiar with roll over dates this seemed like a good idea. The First chart shows one hour of price movement in the December M6E contract at the Open for the Friday session. The second chart shows the "opening second" of the September M6E contract at the same time, the Open for the Friday session.

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This is an exaggerated example, but it did happen! Here's the tape for the opening second at ":00:43 newbie's stop or stops at '26 was/were filled at either '30, '40 or '48 before price returned to continue lower, just as he expected.


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Could this same scenario play out in the 6E contract, of course, especially when trading so near to the Last Trading Day of the contract. The point I want to make is the market (any market) is made up of many moving parts, it is our job to learn and understand those parts, if we don't situations like this will whack us again and again. Remember this example ain't some wild random price move, this was a well played stop run by someone who knew exactly what they were doing, taking "candy" from a newbie.


Last edited by Cashish; September 14th, 2013 at 10:22 PM.
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  #412 (permalink)
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WilleeMac View Post
I'm in the process of putting together a spread sheet that tracks the following hours. 2am to 4am, 4am to 6am, 6am to 8am, 8am to 10am and 10am to 12noon.

The project originally started out from @Cashish 's provocative comment "what is the range....."

So I started logging the range for those hours. I then noticed something fairly consistent of reversals typically(?) happening at those times

So far (I've done nothing with continuation) for the past 31 weeks we have 155 MON, TUE etc. Of these it seems we have a 40% chance of a reversal occurring at 4, 6, 8 and 10am. 8am has the highest at 43%. Hmmmm pit opens at 0820am.

More on this as I comb through the numbers

-Bill


Just wanted to wave a flag of caution, Time Changes. I think it is important to keep the "Spring ahead and Fall behind," time changes in the forefront of our minds when analyzing LARGE chunks of data, for obvious reasons when slicing up the day into segments of Time. Since there is a difference when the time changes occur in Europe and the U.S. I feel a little more focus is required to keep the analysis "pure." Also, as I'm sure you are aware, NEWS will pay a major role in expanding the range at specific times,,,, month after month. Lastly, and I sure don't want to detour your analysis, these moves often happen VERY fast, and finding a method to capture the reversals that you may uncover ain't that easy. I've had limited success catching the highs and/or lows of these moves using a projected 3 & 4 Standard Deviation level generated off the VWAP study. Interestingly enough, this is the type of trade theory I test on the M6E, the micro contract allows me to weather the erratic movements when the algos are off-line and the liquidity is basically zero, if only for a few seconds. If anyone analyzes the volume on the high tick or low tick of most any days high or low, no matter when or how it was made, they'll usually find very few contracts traded there,,,, but on the daily chart IT IS the high or low for the day.

I might be making more of your comment than I should but NOW I feel I have to clarify my actions. I don't want to leave the impression that the trades I place on the M6E are nothing more than a "crap shoot." I believe a high percentage of the trading in the 6E is computer generated and I also believe if we as retail "little guys" can think more like computers we will have a greater chance of success. It is my belief that computers read price levels, levels generated by studies, I believe one of those studies is the VWAP. This particular trade is based on the notion that IF price quickly rockets 3 or 4 Std Dev away from the mean on low liquidity the "Black Boxes" will fade the move (when they "return" to the market) with the expectation price will "come to its senses" and trade back toward the mean. This isn't some "Yee Haw" trade, my theory is based on analyzing price behavior around these levels during different times of day and different economic reports. What makes markets fast, computers. There are as many different algos, based on as many different market theories as there are programmers. IF one price level triggers a few trading programs to start selling, this selling in return can trigger another set of MOMENTUM based programs to enter the market and drive price lower. If/when price is driven lower and trades on another "line in the sand" this could trigger programs to come on-line and start buying,,,,,, starting the cycle all over again. IMO, the whole notion of price discovery as it was achieved on the trading floor is gone. Now, IMO equilibrium is achieved by Who's, Which and How Many computer programs are actively running in the market, the result is the same, equilibrium is achieved but IMO it happens much faster, and on the flip side, I believe the gravitational pull of the equilibrium level is much greater.

It's still trading and support and resistance levels still appear "after the fact" on our charts, but it only takes a couple trading programs to "feed off each other" and inch the bid or the offer to another level that brings another program on-line, then another, then another. Again, My opinion, but I believe this is why individual traders have more success during different times of the day, the programs simply aren't running. Why aren't they running, one reason MIGHT be volume. I want to rephrase that, the programs ARE running but until a certain amount of volume or some other criteria enters within a certain time period they remain dormant, whether its (N) volume per tick or (N) volume on either side of the order book or the London Open who knows, it's a computer program, but it's obvious MOST are programmed to go off-line during economic report releases.

Trading is a tough way to make money, but I believe the more I "think like a computer" the better I understand price movements. @WilleeMac Sorry, but this post kinda got away from me readers can take what they want and leave the rest.

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  #413 (permalink)
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Time, price & volume


Here's a screen shot form yesterday, IMO self-explanatory

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Second screen shot from yesterday

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Of course all things are subjective and can change at the drop of a hat

-Bill_M

EDIT

*for the volume channel (I guess it's not a profile) to redraw within the hour reset, the most recent channel must have more volume than the previous


Last edited by WilleeMac; September 17th, 2013 at 01:44 PM.
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  #414 (permalink)
kman
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lines

Bill M,

If I may ask, what are the green and fuchia lines representing?

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  #415 (permalink)
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"IMO self-explanatory"

Sorry about that I guess that could be considered rude, flippant

What the chart(s) is showing are volume channels that are calculated from the volume on a one minute bar, starting over each hour as set in the study parameters (Can be done w/ M5, M15 - 2AM, 3AM etc)

The study is set to re-calculate/ re-set each hour the volume channel for each one minute period. The channel will not change/ re-anchor at a new price (high/ low) until a subsequent one minute bar has more volume

@Cashish taught me to look for volume at price X and for price Y to respect the price action associated w/ price X, volume

6AM open traded up and started a new volume channel. 602AM started a new/ different channel (more volume than the open), traded up to the high and fell away (started a 50% re-trace/ full re-trace?) Subsequent candles could not penetrate the low of the current volume channel and price went lower.

0620AM started a new channel albeit on low volume but it was technically an increase in volume, new channel.

0644AM started a new channel based on increased volume compared to the previous channel. The following candles did not produce more volume (no new channel) tested session lows, small rotation around whole number 3350 and subsequently price found equilibrium/ fair value.

0700AM opened and re-set the volume channel(s), found new volume and started a new channel. As she went into the hour new (more) volume was found and started a new channel at 0705AM. The following price action could not close below the high/ close of 0705 bar or close 50% into the bar that started this channel.

The rest my friends is history - wash, rinse, repeat

The price action at 0900AM that marked a reversal is a story for a different day, the guys and gals here are smarter than me and can do a much better job of explaining it.

I guess what I'm trying to get at is "things happen at weird hours" and knowing that along with volume *might* give an edge

Some how in my mind this goes back to what/ why @Cashish started this thread - price action and volume.

I just added the time element (actually @Cashish did, some of the original posts in this thread)

Cheers

-Bill


Last edited by WilleeMac; September 18th, 2013 at 03:10 PM. Reason: CLARITY
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  #416 (permalink)
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There's no School like the Old School

Want to improve your trading,,, Go Back to Bed!


Cashish View Post
You have to develop on your own strict discipline for all aspects of your trading. Everything from eating and sleeping to changing the batteries in your mouse and controlling your risk. You have to be it all and do it all there is no-one else.


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  #417 (permalink)
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Volume

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@Cashish,

Thank you

-Bill

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  #418 (permalink)
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South Park skit, NSA

I know this has nothing to do with trading /6E but this is fu**** hilarious

Let Go, Let Gov (Season 17, Episode 1) - Full Episode Player - South Park Studios

Nothing better than some good laughter to get the brain going

Cheers

-Bill

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  #419 (permalink)
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WilleeMac View Post
I know this has nothing to do with trading /6E but this is fu**** hilarious

Let Go, Let Gov (Season 17, Episode 1) - Full Episode Player - South Park Studios

Nothing better than some good laughter to get the brain going

Cheers

-Bill

Hi Bill !!! You are my man ! I love these guys and all the meanings behind it !!!

Great post! Thanks....

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  #420 (permalink)
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There's no School like the Old School

When it comes to the Gov Shutdown, I feel like I'm

On My Own






She's what, almost 70 years old,,,,,, gotta love it!


My uncle used to say, "The right hand doesn't know what the left hand is doing!" I believe the situation with the shutdown is changing minute by minute and trying to figure out what's actually going to happen within the next hour is impossible. I've decided to let 'em go and not attempt any trades around the scheduled release times, I'll wait and see if the number actually comes out first (or not), and look to trade a piece of the reaction.



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Government shutdown: What's closed, what's open?


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Labor Department: No jobless data during shutdown - chicagotribune.com


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I Remember

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http://www.washingtonpost.com/politics/for-some-shutdowns-impact-has-been-devast...y.html?tid=auto_complete


I remember during the last shutdown, my Wife and I were visiting the Grand Canyon and when we approached the Entry Point the Ranger there informed us the Government had shutdown. "However, even though the government is shutdown the Park is OPEN ,,,, but we cannot collect an entry fee please enjoy your stay," is what he said. So, we got in for free and saved a few bucks, who would have figured!


Last edited by Cashish; October 3rd, 2013 at 12:09 PM.
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