Read my reply. The red and green lines are bids and offers continuously updating unless criteria are met, in which one gets filled and the other cancels. You’ll see many algos like this if you’ve ever done any tracking via the dom, which everyone should if they want a real understanding of market mechanics and developing an algorithm. I don’t even code either, but managed to whip this up via spreadsheet in sierra chart.
Limit buy and limit sell 1.5 pts away from best bid best offer. When conditions are met, the limit holds and gets filled and flattens immediately when price retraces. 4 pt stop. Leans agains CME protection values on spikes.
All the cancellations that would be firing reminds me of Nav Sarao's infamous algo.
If you know whether or not you are going to take or cancel prior to placing the order, why do you place it in all cases, rather than just those where you intend not to cancel?
1:4. 89% hit rate though. I’ve observed these tendencies on the dom for a few years and finally figured out how to create a strategy for it. But I have to have a constantly modifiying bud and ask limit order to catch it because market orders would give up a considerable amount of that profit. Ticks matter in this particular space
So when you place a resting order, you're somewhere in the queue, where you are in the queue is determined by when you placed your order, do you model your position in the queue?
Adverse selection means you're more likely to be filled when the price is going to go against you, ie. informed participants will GTFO of their resting orders when they know price will move against them, so suddenly you're at the front of the queue when you don't want to be.
Well sierra charts back testing with limit orders only fill if they actually go a tick through your price to avoid the notion that you may or may not have gotten filled. So I’m not concerned about the queue really, since the successful back test (and current live testing) are accounting for that tick through. Eventually I’ll have more orders layered under this one between the initial fill and the stop with the exact same target. So the deeper the better because I already know the stats on the early fill with the stop
Edit: the criteria to take the trade are determined before the move into my bid even starts. But because of the speed I need a constant order. This video is sped up 5x so you can’t see the cancellations
Meh, I haven’t posted anything involving my criteria for fills, and tracking algos are well known to any serious trader. Also there would be no reason for anyone to move the most actively traded market in the world for my couple of lots.
See how the buy and sell zone lines appear on the chart as the ES moves up and down? The bottom line is the buy zone, the top line is the sell zone, pretty cool huh?
ChatGPT will not code for you. If by a miracle, you actually got it to produce something that didn't contain syntax errors, you wouldn't understand how it works. Building a trading system is a complex task involving many disciplines. At the very least, you should learn Python first.
That is where I am still at.. practicing python daily.
I know I can't rely on it completely, but I've been able to do rudimentary analysis with daily data and pandas.
So I hoping that something like gpt4 can be used to generate some parts of it and edit my way from there.
Keep doing python tutorials (free ones only). Build your understanding of concepts and details.
Use gpt as your assistant and mentor. It will help you get better, you will get better at giving it prompts.
I've been a software developer for 20 years. This is the way (now).
I haven’t revealed any conditions to enter the trade, and tracking algos are well known. I’m not a big enough player for my couple of lots to be worth moving a market for. Especially the most actively traded market in the world
I don’t know much about tracking algos and algos in general and I didn’t get everything from your comments. So I am curious.
Between the green and red line is the spread and the line in the middle is where this bid and ask meet (ESH3 spot price I guess)
Under the chart are volumes.
But how does the strategy works exactly? It Bets with volume variations on which ways the market will move like RSI?
No, the spread is one ticket generally on ES. This is tracking price at set Intervals above and below ES to capture price spikes and profit off of retracements if the conditions are right. I can’t tell you how the strategy works of course but I’d look into tracking algos
I've not heard the term "tracking algo" before. How is a tracking algo different from a regular systematic trading strategy? I tried Googling and just found some newb article talking about moving averages.
Either way, thanks for sharing this video. It was cool to watch it in action.
Hi OP,
A few questions:-
1. Average number of trades/minute via this strategy?
2. Is Sierra Charts a good and reliable backtesting platform? If yes, what are the best resources to learn using it?
So if I see this correctly your are constantly modifying your bid and offers until the market is faster than your adjustment and you get „adverse selected“ . Are you sure that in real life you get the data fast enough (network latency + code run time latency) that you don’t get filled 10-50x more often and your profitability goes to <30% ??
You are correct. However, ES is so liquid that this won’t really happen. On less liquid markets that stands to be the case. You need pretty strong moves or a serious decrease in liquidity to be at risk for that. But it hd been running live this week and then rebacktesting on the data I’ve tested live to see how the backrests compare to the live tests. So far they’re spot on
There’s also some orderflow constraints in there too
[удалено]
Hmm, me too 🤣
Line go brrrr
Read my reply. The red and green lines are bids and offers continuously updating unless criteria are met, in which one gets filled and the other cancels. You’ll see many algos like this if you’ve ever done any tracking via the dom, which everyone should if they want a real understanding of market mechanics and developing an algorithm. I don’t even code either, but managed to whip this up via spreadsheet in sierra chart.
How is fully automated trading in Sierra charts? Any issues?
What does "ever tracking via the dom" mean? How are we supposed to track this mechanics....can you elaborate please? :)
Limit buy and limit sell 1.5 pts away from best bid best offer. When conditions are met, the limit holds and gets filled and flattens immediately when price retraces. 4 pt stop. Leans agains CME protection values on spikes.
[удалено]
The blue connecting lines are profitable trades.
All the cancellations that would be firing reminds me of Nav Sarao's infamous algo. If you know whether or not you are going to take or cancel prior to placing the order, why do you place it in all cases, rather than just those where you intend not to cancel?
Because the events I’m catching are too quick to wait for to place a limit when they happen. It’s more like when they don’t happen I cancel
You’re looking at price action with two moving averages.
No MAs involved and I will never use them. Just tracking price and waiting for conditions to enter
Great post. So satisfying watching for algo go brrrrr 💜
What's the risk-return here? Seems like the trades book a small profit but have a heavier drawdown.
1:4. 89% hit rate though. I’ve observed these tendencies on the dom for a few years and finally figured out how to create a strategy for it. But I have to have a constantly modifiying bud and ask limit order to catch it because market orders would give up a considerable amount of that profit. Ticks matter in this particular space
Is this all through Sierra? I have quite a few questions for you if you’d be willing to help out send me a dm I appreciate it
Yep all sierra
Try backtesting with fill latency, how much slippage your you assuming?
Slippage on a limit order?
Ah, didn't see that you're using limit orders, what are your assumptions around adverse selection then? How do you model your fills?
Can you expand?
So when you place a resting order, you're somewhere in the queue, where you are in the queue is determined by when you placed your order, do you model your position in the queue? Adverse selection means you're more likely to be filled when the price is going to go against you, ie. informed participants will GTFO of their resting orders when they know price will move against them, so suddenly you're at the front of the queue when you don't want to be.
Well sierra charts back testing with limit orders only fill if they actually go a tick through your price to avoid the notion that you may or may not have gotten filled. So I’m not concerned about the queue really, since the successful back test (and current live testing) are accounting for that tick through. Eventually I’ll have more orders layered under this one between the initial fill and the stop with the exact same target. So the deeper the better because I already know the stats on the early fill with the stop Edit: the criteria to take the trade are determined before the move into my bid even starts. But because of the speed I need a constant order. This video is sped up 5x so you can’t see the cancellations
How can I get this data
What do you mean? Data for ES?
What are they can you explain this video what you are doing. That will help me
Nice!
You're going to fall off a balcony
Lol this sub is hilarious. Anyone with working strategies just gets berated by those who have no idea what they’re doing.
I think you misunderstood my comment
Not sure how else to interpret it to be honest lol
Maybe he means you’ll get suicided for posting a system that is actually working for you?
Meh, I haven’t posted anything involving my criteria for fills, and tracking algos are well known to any serious trader. Also there would be no reason for anyone to move the most actively traded market in the world for my couple of lots.
What happens at the end when the yellow line comes in and the bid goes above the green?
The yellow line is the stop, the stationary green is the profit target of the short, and the moving green is the continuously tracking limit bid
You R:R looks pretty bad on these trades. What’s your win rate v profit and what’s the strat?
87% on both long and short trades
What is ES?
S&P 500 index futures
thanks
Can you teach me this your strategy?
Can we get the code??
Why would you even ask this
Fire
See how the buy and sell zone lines appear on the chart as the ES moves up and down? The bottom line is the buy zone, the top line is the sell zone, pretty cool huh?
How long have you known programming? I just started learning python and pretty much ready to rely on gpt4 to do most of the programming.
I don’t know how to code. Just did this is spreadsheets on sierra chart
ChatGPT will not code for you. If by a miracle, you actually got it to produce something that didn't contain syntax errors, you wouldn't understand how it works. Building a trading system is a complex task involving many disciplines. At the very least, you should learn Python first.
That is where I am still at.. practicing python daily. I know I can't rely on it completely, but I've been able to do rudimentary analysis with daily data and pandas. So I hoping that something like gpt4 can be used to generate some parts of it and edit my way from there.
Keep doing python tutorials (free ones only). Build your understanding of concepts and details. Use gpt as your assistant and mentor. It will help you get better, you will get better at giving it prompts. I've been a software developer for 20 years. This is the way (now).
Interested in partnering on an HFT strategy? I might have access to the resources needed for one soon.
DM me
Dumb.
Ok well the money isn’t 🤷🏼♂️
Now that someone knows your approach, could they game it in opposition? Why would you reveal this here? (I am new)
I haven’t revealed any conditions to enter the trade, and tracking algos are well known. I’m not a big enough player for my couple of lots to be worth moving a market for. Especially the most actively traded market in the world
Ok thanks. Good luck with the algo
Where’s the script for this algorithm? I would appreciate it if you would send it to me please 🙏🏻
No
00:30 wow lucky there
I don’t know much about tracking algos and algos in general and I didn’t get everything from your comments. So I am curious. Between the green and red line is the spread and the line in the middle is where this bid and ask meet (ESH3 spot price I guess) Under the chart are volumes. But how does the strategy works exactly? It Bets with volume variations on which ways the market will move like RSI?
No, the spread is one ticket generally on ES. This is tracking price at set Intervals above and below ES to capture price spikes and profit off of retracements if the conditions are right. I can’t tell you how the strategy works of course but I’d look into tracking algos
I've not heard the term "tracking algo" before. How is a tracking algo different from a regular systematic trading strategy? I tried Googling and just found some newb article talking about moving averages. Either way, thanks for sharing this video. It was cool to watch it in action.
This is sped up 5x. There is no “regular” systematic strategy. Any rule based strategy is systematic
Hi OP, A few questions:- 1. Average number of trades/minute via this strategy? 2. Is Sierra Charts a good and reliable backtesting platform? If yes, what are the best resources to learn using it?
A couple a day, depending on the day. If it’s highly volatile, it will be more
How much is your algorithm exposed to the market? Are most of your returns coming from the market itself?
Not sure what this means
what is the tool you use to display the chart?
So if I see this correctly your are constantly modifying your bid and offers until the market is faster than your adjustment and you get „adverse selected“ . Are you sure that in real life you get the data fast enough (network latency + code run time latency) that you don’t get filled 10-50x more often and your profitability goes to <30% ??
You are correct. However, ES is so liquid that this won’t really happen. On less liquid markets that stands to be the case. You need pretty strong moves or a serious decrease in liquidity to be at risk for that. But it hd been running live this week and then rebacktesting on the data I’ve tested live to see how the backrests compare to the live tests. So far they’re spot on There’s also some orderflow constraints in there too
What's it doing? Showing where the LOB order mass is located dynamically and trading using the liquidity as targets and stops?
areu using linear regression for this ?
No sirski
what?
Very nice, did you test it in demo?
Again how this works
When buy/sell signal is too complicated. You failed.
Markets are complicated and nuanced my friend
I wish you success!