A Jack of Small Trades

The following screenshot shows both intra-bar order flow analysis in the S&P 500 futures contract (ES) and inter-market order flow analysis  amongst the equity components of the S&P 500, via WIND.

In this example, as the demand based order flow that is transpiring across all the equity components of hte S&P 500 back off, the selling pressure in ES order book immediately surfaces, as shown by our algo, 'Book Pressure'.

I surmise that this is due to arbuitrage bots firing off.

ES Order Flow 05 MAY 2017 Sierra Chart Sceeto SceetoBots

I hope that you find this as fascinating as I do.

We allocate significant resources to continually improve our understanding sweeps of the order book.

If you watch the DOM all day long, you will likely have noticed times when the DOM experienced a sweeping action.

We have built an algorithm that hunts for these sweeps of the order book, but our algorithm also includes quantification of the replenishment of orders into the book.

The algorithm monitors not just the replenishment rate, but also the what happens to these orders.

How long do they sit in the book?

What happens to price after they are matched?

Here's some Sweeps that rummaged through GC today.

Gold Order FLow 2017 05 01 9 11 49

Gold Order FLow 2017 05 01 9 20 21

Gold Order FLow 2017 05 01 16 26 58

We are ready to present to you a new class of order flow algorithms.

Our prior classes of our order flow algorithms focused primarily on the rate of change of order flow, sequencing of transactions, and trasactional correlations with Price Action.

This new class of algorithms, which have been released as part of the SceetoBots package, focus on the replenishment of orders in the book, the rate of replenishment, how replenished orders are transacted, and what their impact is on price.

All analysis is done at the millisecond time-level.

The output of these algorithms are directly integrated into SceetoBots.

SceetoBots can respond to information harvested from these algorithms within 1 millisecond.

The opportunities, and insights generated by these algorithms, I believe, provide a material advantage to any trader using this data.

Coupling this data with trading bots that can, and will, respond much more quickly than a human trader, in my opinion, is not only a game changer, but also ushers in the next evolution of trading.

The evolution of our trading world has completed its path from the pit to the screen, and now, we are evolving from the screen to bot-assisted trading.

We will be doing a deep dive into these algorithms, and also reviewing the configuration of SceetoBots that take advantage of these algorithms.

Please join us for this workshop on Friday, April 28th @ 11:30 AM ET.

You can pre-register for the workshop here.

Carl
Carl 
Carl Weiss
Algorithmic Architect @ ...sceeto


Click & follow now to get free market, order flow, an hybrid trading bot insights:    


stocktwitsicon    twittericon    

During this morning's briefing we dove down into sweeps of the order book, how these sweeps impacted Crude the S&P 500, and the British Pound, and what SceetoBot configurations are optimized for hunting down and trading these types of order flow events.

We also discussed using a SceetoBot, when/if, Gold reached the algorithmically derived 1264 level.

This bot sat patiently in the green zone for over 3 hours before it pounced - which allowed me to free from being chained to my monitor.

Here's how that bot panned out in real-time simulation mode:

GC SceetoBot Trading a Algorithmically Defined Support Level

We will continue this analysis tomorrow.



A Head's Up - We have a new video that discusses the concept of Hybrid Trading.  Please let me know if you have any questions regarding this.

Join us Wednesday morning, April 26th @ 8:00 AM ET, to review the primary futures markets, their structure, potential price trajectories, and what configurable trading bots might be applicable for the day's environment. 

You can register here:

https://attendee.gotowebinar.com/register/2311500378694048257

All the best,
Carl

Carl 

Carl Weiss
Algorithmic Architect @ ...sceeto

Click & follow now to get free trade insights:    


stocktwitsicon    twittericon    facebook

Click to {unsubscribe}Unsubscribe{/unsubscribe}

Algo Futures
6802 MAIN ST  
READSBORO, VT 05350



Legal Disclaimer

There is a risk of loss in futures, forex and options trading. There is risk of loss trading futures, forex and options online. Please trade with capital you can afford to lose. Past performance is not necessarily indicative of future results.

Subcategories