Very true - the actions in the order book are mostly created by algos who tries to game other algos (or a flesh trader once in a while). But that only makes things so much more interesting. However, the evolution of the order book over time is the ...

Systematic trading

I looked a bit further into this using data from the order books for a couple of futures. I found that a SOBI approach could be useful for things like estimating the "true price", however it does not seem to be useful as a direct trading signal ...

Systematic trading

One could also just watch a CME future for a couple of minutes, realize that most of the action on L2 is done by (rather sophisticated) automated market making engines and then wonder why someone would be running these systems...

Are the best systems also the systems that fail most spectacularly?

I'm not really sure what you mean with this, but CME allows the use of iceberg orders and so does some FX ECN's like Currenex.

(binned per thread starter's request) Behind Price-Orderflow

One of my experimental algos ones did this by mistake...so it might also be a broken algo. By the way, what feed is this? On a more constructive note, I recently "rediscovered" the Penn-Lehman Automated Trading Project: url I don't recall that ...

Systematic trading

The way I see it, the problem is that you try a priori to enforce a set of logical, mathematical rules on an extremely complex system - a system for which their exist no accepted standard models, contrary to the relatively simple systems you mention ...

Long term Profits within Negative Expectancy

The potential problem with trying to save/earn the spread is that in some cases you will not get filled unless a liquidity provider quotes at your price, which means you end up paying the spread. The likelihood of this scenario depends on the ...

Price improvement strats with ECN

This thread reminds me a bit (too much) about the "Bumblebee Paradox"... Seriously, abusing math this way will only convince you further that the bumblebee can't fly. Nice posts, daytrading.

Long term Profits within Negative Expectancy

LOL. This world is smaller than you think.

Systematic trading

Go check out GammaJammer post on this: url He's pretty clear on why using tick volume as a proxy for transaction volume is not really logical. EDIT: Not saying that tick volume/frequency can't be useful. But I'm with GJ when it comes to using it ...

Systematic trading

My approach is somewhat different from most here I guess, since I am solely focusing on "high frequency" trading systems. These systems relies heavily on the particular market microstructure of spot fx and efficient execution strategies. We are ...

Systematic trading

It is definitely possible. But IMO the lower you go the more you need to look into things like - Market micro structure - Trade cost analysis - Optimizing execution models (mostly separate from the trading models) - Accurate market simulation ...

Systematic trading

If you only need US news then you can crawl these sites: url url We build a database this way in connection with some research we did a while back. As I remember the data goes back to 1998. If you need EU or other news, then you could go to e.g ...

Systematic trading

If your into automated trading there is no way around url Also this one is good url

Systematic trading

She has a web site on HFT where you have to pay for access. I was far from impressed when I tried the service, but since it's pretty much the only book on HFT I will definitely give it a shot when it is released. Olsens book contains some ...

Systematic trading

Impressive. I suppose you got inspired by acrary. One simple way to get an idea about slippage is to model the time it takes to execute an order on the order matching server (+ ping time if your not co-lo'ed) and then use the price from the tick ...

Systematic trading

Darkstar is a really smart guy, but this is not strictly correct and is a common misconception. Generally in a Central Limit Order Book market price can move in three ways: 1) Removal of all remaining liquidity at bid/ask by an opposing trade. 2) ...

How and Why Does Price Move? Who and What Moves Price?

The article is further deconstructed here: url It also seems to explain the origin of the diagram you linked to.

Systematic trading

I suppose you wrote your own simulation engine. My experience is that modelling fills is seriously difficult to get right as it depends on many factors and the specific exchange/ECN model.

How Could a Trading Simulator possibly be accurate?

For very obvious reasons you wont find such systems fully revealed on a public forum (or anywhere else on the net). But if you ask for it, you will get 100 replies saying that you can't apply science in trading.

Where is the science? Where are the statistics