@FXZES: I don't think that the quality of the random series is of so much importance in what we're doing. It's more important for security reasons to avoid predictions, but the quality of a population depends on much more than the quality of the ...

Systematic trading

clustering — In understand what you mean (also the rest of your post). I tend to agree with your approach. At some point empirical solutions are cheaper to develop as long as proper metrics are applied and controlled. I remember that I had a ...

Systematic trading

Thank you. I thought GA algorithms were long forgotten. They were a big hit in the 90s when I was still programming for living, but haven't seen much talk about them lately. You certainly motivated me to dig in this field again and see how much ...

Systematic trading

mt4 as a dump terminal — @mikkom: Perhaps I have discovered this thread too late... I certainly read the whole of it (12 hours of my life, but worth it). I too have gone the proprietary road with my own backtesting and execution framework and ...

Systematic trading

LOL — Are you seriously saying that Iraq money will save the WORLD economy ? I have another rumor for you. There have been secret contacts between astronomers and aliens during the last months. They are arriving from outer space with ...

EURUSD

Watching this videos makes for a nice trip in my memories. But, those days are gone. Just because caveman slept in the caves and hunted with stones does not mean we have to do the same now. You can't win indy with a horse today. It's as simple as ...

Billion Dollar Day - Documentary 1986

this martingaling sys will bust your account in no time.

Would anyone like to code an ea?

Latency is relative for retail. You would need a server inside the exchange or in the IB facility to benefit from low-latency algs.

Low Latency Computing?

Thank you. I had forgotten about that resource.

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

Unfortunately it's working less in the last years than it did before. Most of it is noise. Orders are inserted and deleted all of the time. The key is summarizing and relating orders that move between the levels. I've found that some of the orders ...

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

I do almost the same in equities. My program tracks all visible limit orders action and relates this to price returns and the tape. It works for scalping. The "long tail" of earnings comes from decoding the real intentions behind the orders, and ...

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

Dan, I would be interested if your reconstruction of L2 helps you with explaining some of the price returns you observe and to what %. My take is that only a small fraction of the orders account for most of the effects on price and I think this ...

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

It may seem obvious, but raising prices attract buyers. Falling prices attract sellers. When somebody is "making the market" he needs to raise price to sell (removing supply or buying himself to generate impression of strength). When buy orders pour ...

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

I don't think it would be safe for a broker to push their price too-much away from the interbank rate. What they will do is to widen their spread, but making sure their spread is "around" the bank rate. This is the only way they can do it safely. ...

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

I'm wondering if what you're saying applies to US too. US Banking? It started it all. US industrial base? Maybe. US commodities? So so. Talk about labor cost. I think it can't compete with Western Europe... forget about Eastern Europe or Cina. My 2p ...

EURUSD

If you come from stocks you see orders all over the place. Orders are inserted, cancelled, executed all the time. You just have to relate this flow to the other conditions in the market (i.e. technicals, news, rumors etc). FX is a little harder ...

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

I guess that was myself. I cannot explain it, but at some point your mind connects the dots and all becomes mechanical. You know where most orders could be, you wait to get there and watch the action. You can enter beforehand (anticipating a move). ...

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

I guess he's looking at specific quantities (orders, ticks, pips/minute etc) when price reaches a specific level.

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

Pip, I'm a long-time stocks trader (15 years and counting). In stocks you have accurate T/S and Levels and you can use computers to quantify OF and execution/cancellation of orders. Everything is "clear" at least when compared to FX. Guess what? ...

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

1st post for me — Sorry to interrupt this 3d (it's the first one I managed to read entirely on FF... perhaps the last). You wouldn't be in position to understand and to apply your method if you didn't learn those things before. Doing what ...

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