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Trading fast markets
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Trading fast markets

  #841 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
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I would like to share with your a series of articles about order flow and prop trading:
Market Structure and Why Other People Matter - Part 1

Trade to live. Not live to trade.
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  #842 (permalink)
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prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
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Trade to live. Not live to trade.
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  #843 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
xelaar's Avatar
 
Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received


Some updates for the last two days. I haven't been trading right before and after TG day, so half of last week went on developing and testing automatic strategies for Ninja, verifying different trade ideas.

DAX yesterday has been good, huge fall down, could be a great winner, but I should have held it without screwing up with the runner.

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Today DAX continued same short story, but initially it stayed in a tight range, I wasn't keen to enter, finally it started to move so I jumped on the pullback, but it was already lunch time so market has died once I entered. I could see price action becoming sketchy and should have pass on it. Tape was not support my trade either, it was bizzare, a truly bad trade that decisively lost.
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Then all the hell broke lose and it started to slip so fast I missed several entries by being simply unable to enter it on breaks from consolidations! Finally it pulled back more and slower and produced a clear break. I took it. Trade went with no heat at all closing 30 ticks scale very fast. I moved my target 2 very optimistically to 9080 before S2.

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I have left trade alone. It was a good decision but I did it for far to long. My runner went around 120 ticks in profit (!!!) and produced triple stop before finally reversing. I have kept it alive as much as I could closing only before start of US session. And rightly so. I should have exited after a double bottom developed or on a break of main intra day trend line.

Otherwise two very good days in DAX..

Crude wasn't bad today either. Did not trade it yesterday, one trade today. Entered before the report and first target hit on the back of the news. I had trade protected by the time report came out, so the loss would not be great even with slippage.

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  #844 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
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DAX trading

The only trade today. I had to sit out through the pre-ECB numbness of market, through the volatility of ECB press-co, through the spike from US Equity open and then controversial moves. I went away to watch an episode of South Park, came back and saw the market producing a good move down, printed a new low and made a great looking pull. I put the trade on, and left. Came back to see first target hit +30 and second target +60. 3:1 risk reward. I consider this being my best trade to date, since I did not try to frack up with the trade and just opened it at the right time in the right place and left it to its own devices. The only management was from the ATM strategy that moved stop to BE+1 once first +30 target was hit.

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  #845 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

Plans for the future

My LTP will start on Monday next week. I was permitted to do that in Sierra chart and TST kindly organized a prolonged trial for me to complete the LTP for free. After much thinking, deliberation, discussions with a fellow trader, I have come up with an idea to only trade gold in LTP, despite being able to trade all instruments available. Reasons are:
1. LTP has tough risk management rules and it is actually difficult to strategize several instruments inside the rule set once it kicks in on 10th trading day. The biggest issues are: all instruments must have positive expectancy on 10th day and biggest win day must be larger than biggest losing day.
2. Crude opens at 3 PM for me, and often picks up momentum and directional move as late as 6-7PM. I want to be done before that, not starting trading that late. There are pretty much no opportunities in pre-market for me in Crude.
3. Crude has often problems with continuity of the moves, i.e. there are no larger runners to be had often enough, so I think trading for 2R is most you could expect in crude. I.e. for 30 ticks with 15 ticks risk. DAX can be so much better than that.
4. Attention span as gold trading and crude trading would overlap and in result I would miss setups in one if I am already locked in in the other

So the plan would to be to press on in LTP with gold, trading high momentum moves only and only near the key levels. If I make it through, I will continue the same live until I become Senior Live trader. Then I will be able to get access to Eurex and trade DAX during my preferred time frame, and have gold as an auxiliary trade, which it really is.

Other than LTP, I plan to continue racking in experience in DAX till the end of trading this year. Then I plan to fund my CFD account and move to trade live 2 lots on DAX CFD, each 1/10th of futures contract. So I will risk around 40 euros per trade, not 400. If I am sticking to the rules well and proceed in profit, I will move to futures after a couple of month. If I will be live with TST and manage to get to Senior status, I will focus on that instead and trade DAX with them. You can only do so much at the same time.

I will still look to do an occasional trade in Crude on demo, selecting good days and moves only, but it's not my focus anymore. If it goes well, I will look to trade it live, but just like gold, as an auxiliary trade.

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  #846 (permalink)
Elite Member
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Futures Experience: Intermediate
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Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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This is my stats in DAX to the date since I started my new routing going for 1-2 trades a day and targeting 2:1 RR as minimum.

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This is very small sample of data to draw any forward looking conclusions, but the remarkable part is that we had an uptrend, a range, a reversal and a downtrend in DAX during that period. You can see a cumm. profit graph showing a plateau in the middle which corresponds to flat days in DAX. I think I have managed it well. Now I need to keep it rolling same way: protect the capital on slower days and press on gas during the trend days.

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  #847 (permalink)
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At this stage in your trading do you think you could trade without using the tape or DOM and you were only allowed to place trades on the chart hypothetically speaking. How much of an impact would it have if any?

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  #848 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received


Itchymoku View Post
At this stage in your trading do you think you could trade without using the tape or DOM and you were only allowed to place trades on the chart hypothetically speaking. How much of an impact would it have if any?

I think by this time I can "see the tape" through the price action on the chart. So most likely trading from the chart with no DOM would not affect me so much. But it would be detrimental if I had only charts like 1m and above to my disposition. You need to have very short time based charts or better tick or volume based charts that print several candles per minute during the market active phase to really "see the tape". As you could see absorption, imbalances through these fast candles. But having the tape and DOM with time and sales feature does help and I prefer to stick to them.

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  #849 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

DAX trading

NFP day so I did not trade until after the news and some. Big rollercoaster in DAX and Gold. Finally some upward direction established in DAX and we took out yesterday's high. Given it is an NFP day and can produce continuation I entered the trade on pullback. It made some 15 ticks or so and came back roaring. I would have just watch it normally, but being again an NFP day I was bit wary so I put a break even in. It surely took it out and continued in the flag formation. Originally its been a pennant/banner formation with a big NFP move upward pole, transitioned into a range, broke out high producing another smaller pole and built a triangle flag, another continuation pattern. Tape was bullish, accumulation was clearly in action, printing constant higher lows and contracting the range. Once it broke I placed a limit on the border of my box and got filled on a quick test down. Then it took off. Cleared my target 1 @ +30 but failed to proceed higher. It was sensible to let it try to accumulate once again to attack 9200 level and R2 so I left stop at BE+1. It did not work and took it out. But it was a proper decision I would repeat every time in a situation like that. +29 ticks net, less 4 commissions today. Enough for the day for me.

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  #850 (permalink)
Elite Member
prague, czech republic
 
Futures Experience: Intermediate
Platform: NT7, MT4
Broker/Data: LMAX
Favorite Futures: DAX, Gold, Euro
 
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Posts: 1,517 since Feb 2013
Thanks: 1,739 given, 2,592 received

GC trading


Tested my strategy today. Automatic entry and exit, used tick kill feature, exiting the trade after 150 ticks expired since entry.

First trade was so volatile NT was unable to exit on close and it exited on +30 ticks profit. Second exited at +15 on close command.

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