However, PandaWarrior has highlighted something you may not have thought about - namely slippage on GC with larger contract size. Have you factored this into your breakout methodology. As you know, GC can gap 50 ticks intraday.
Well done though.
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From my experience trading GC and CL live, getting a fill on the entry is not an issue with a stop order. Its getting out that gives you slippage, and its not usually negative. When they sweep the whole depth the first couple of levels are swept and then there can be a massive run that even the data can't keep up with. By this time your either in the trade or not, slippage happens as the sweeps take out your exits....
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Thanks, Panda. The key to my strategy is finding clusters of large stop orders, usually stop loss orders of trapped traders and reversal/breakout stop entry orders. Usually it is zones where conventional technical analysis tells people where to put their stops. So your worries about stops in your own journal are well-placed, dealers and large participants often push price to these levels to get fills on large quantities on limits without slippage. To cut story short, when price gets there it triggers some stops orders that start eating through limits and trigger next, and next. This is called cascade stop liquidation and can be as little as 3-5 ticks or as large as 50. Usually this move happens withing a couple of seconds. In earlier part of my Combine I was going for larger moves and this initial pop just provided me a very low risk entry where I could move stop to BE and let it ride or hit BE. At later part I did not get much continuation before a pullback to entry, so I start going to these pops exclusively, finishing for small pips but with high probability and very low risk.
1500 in fact is just two trades, one good for 600 and one for 1150, both done with 15 cars, i.e. 4 and 7 ticks. Second trade was good for 30 on this initial pop but I had a fixed limit at 7 as I just needed 7 to complete Profit Target and smaller you go higher the probability to get it. This explains very short time of trades. 0 seconds is not correct, but since T4 only reports in seconds, not milliseconds, it can't display correct duration.
In regards to the fills and slippage. Yes, I do have this concern but there are two considerations to it:
1. Orders are held at exchange, so there is no time delay between receiving price feed, sending order and executing it, so the time-based slippage should be almost non-existent unlike in forex where orders are held at broker and feed is usually driven from ECNs
2. I place my orders at the beginning of the "pop-zone" where there is usually a huge number of limits, if you check my videos you will see before price triggers a large quantity of opposing limit orders appears, as those who have stops there try to stop the move from triggering them, these limits provide liquidity necessary to fill my stop. After the pop started a large quantity of stop market orders eats fast through the limits, so if you place your order arbitrary in the middle of the move to happen, you may get slipped quite a bit. The move can be compared with the move caused by news release but with an important difference: before the scheduled news release market participants remove their limit orders and the book look very sparse, thuse getting slipped on bracketing the news is inevitable, even though not necessarily deadly, I traded news on futures and it does work if you get low latency setup. However this approach that I use now can be compared to unscheduled news event, where market is caught off-guard, liquidity is present but suddenly a burst of order flow goes through the book.
Hope this answers the question. If anybody curios about concepts that I use I recommend to read first a bible of markets "Trading&Exchanges" by Larry Harris published by Oxford Press for basics of market internals, price discovery, liquidity, exchange matching mechanisms, etc. Another great book about the principles of Order Flow Trading by Daemon Goldsmith "Order Flow trading for Fun and Profit". Also check out Jigsaw trading website for some free material. I am doing several videos for Peter Davis on trading fast markets with Jigsaw tools that I used last two weeks in my Combine trading, so check out those too when they are out.
In any case shout a question here should you have any.
PS I was just shocked and awed once got my morning fix of news in bed by what has happened in Oklahoma. My thoughts and prayers with families hit by this horrible tornado.
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Thanks, appreciate it. 8 ticks is not bad, if you were hit by a large move cause by either news, or huge liquidation. I think during this violent multi-day sell-off a month ago I have seen spreads around 20 ticks, so the slippage could be immense if yours stop order would be trapped!
Thus said I was once hit by 70 pips slippage based on 70 pips spread in Forex market around NFP release. That was a day of PAIN
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