A Jack of Small Trades

Dear Mrs. Clinton,

Congratulations on your announcement to take on the HFT gremlins.

Google News has a bunch of stories on your announcement and I am sure today's water cooler gossip at the prop firms will be all about your efforts to save America.

However, I looked through your site but found no details on this plan.

Can you provide some specifics?

Is the tax on just equities?  Is she also going after futures, options, and\or forex?

Is it on all transactions, or just transactions that are held less than x time, or just on canceled orders?

If it is just on equities, then day trading will move to the futures markets - which would be good for us.

How do you envision operationalizing this tax?  This is going to be tricky.  If possible, please put together process chart so that we can understand the software needs that are to be implemented in order to monitor, tax, collect, audit this activity.

Whether this tax is to be implemented on just equities or across all asset classes, there are going to be unintended consequences.

Is the idea behind the tax to shut down HFT, or to collect a tax?  If you want to collect a tax then have you thought about creating registration classes for firms that do over x trades per year and simply taxing them an annual fee?

If the idea behind the tax is to shut down HFT then why not shut it down?

Trying to regulate behavior of naked capitalist profit and loss corporations, uh I mean 'persons', by taxing them on innumerable transactions may just create a cat and mouse game that will create its own bureaucratic cottage industry of oversight, which will be just another layer of governmental bloat that we have to pay for, and deal with.

If you want to shut down HFT, then see if you can get the support to shut down HFT - and then shut down HFT.  

If you to regulate HFT then regulate HFT.

But if you want to layer on some tax on transactions cuz it sounds like you are laying down the law and governing for the little guy, then please think this through - and please don't forget to publish the details.

If you have any questions please stop by the next time that you are campaigning in Vermont and we can chat on the front porch. 

My wife will make us some chili.

Warmest Regards,

Carl

"Order Book Swept" is an algorithm that is part of the ...sceeto data suite.

We don't highlight it very frequently, but we should.

I was on a call today with a trader who focusses on volume spread analysis coupled with price action.

He had perused our site and he was asking about Order Book Swept so we spent some time reviewing it...and the process of reviewing Order Book Swept with this trader brought back fond memories of this algos performance.

The crux of Order Book Swept is that it looks for certain market conditions to be prevalent, specifically short-term domination of order flow by either Supply driven transactions or Demand driven transactions.

Once a threshold criteria of supply or demand driven transaction is met, this algorithm then looks at order book activity.

Specifically, if the bids or the offers are wiped out of the price ladder with a certain speed, then the algorithm works to determine if this sweep of the ladder is likely to kick off a quick jolt of Price Discovery.

The white triangles to the left of the bar Order Flow Swept signal bars are there to be 'breach points'.  The thinking is that if the order book is swept and then price breaches a certain level, you can enter with a stop based on your own risk profile.

Here is today's signals from "Order Book Swept"...let me know what you think.

Order Book Swept ES Order Flow 28 SEP 2015

A few of our customer's have gotten their hands on our new Order Flow Bars, which are part of our new Better Data Suite for NinjaTrader 8 and they are going bonkers. 

"I have gone through about a week's worth of charts, and so far THESE BARS LOOK AMAZING!"

"I am pretty much blown away."

"I spent 7 hrs yesterday going over the NQ and ES chart with Order Flow Bars....Users of MktDelta and OFA may be converting."

"So far I am drooling."


What's the fuss all about?

Prior to the release of NinjaTrader 8, it was impossible for PC based traders to have order flow algorithms on par with professional quant and hedge funds for a few significant technical reasons.


Free NinjaTrader 8 & Advanced Order Flow Workshop | Wednesday- 30-SEP-2015 @ 4:15 p.m.


 

First, the data feeds did not provide millisecond time stamps nor did they allow for calculations that could include discrete inside bid and ask data at that level of granularity.

As the market leader in order flow monitoring algorithms, we here at sceeto have been dealing with this very discrete data for over a decade and have tremendous insights into how to write algorithms that can sniff out actionable insights from this data.

First, the data feeds did not provide millisecond time stamps nor did they allow for calculations that could include discrete inside bid and ask data at that level of granularity.

As the market leader in order flow monitoring algorithms, we here at sceeto have been dealing with this very discrete data for over a decade and have tremendous insights into how to write algorithms that can sniff out actionable insights from this data.

Prior to the release of NinjaTrader 8, we began creating a new suite of algorithms that would leverage the power of NinjaTrader 8.

The color coding that you see here is part of a suite of algorithms that we are readying for release.

This kind of data analysis will expose you to advantages that were previously unavailable to the general public.

If you think that this stuff is neat, and want to learn more, join us for a free workshop, Wednesday September 30th @ 4:15 p.m. eastern, where we will review the latest advances in order flow technology made possible by NinjaTrader 8.

Here is some info from NinjaTrader that will help you get your head around the some of the new feature sets in NinjaTrader 8.


Here's a breakout of a wedge in today's ES as visualized via our Better Data Bars, which take advantage of all that NinjaTrader 8 has to offer in terms of millisecond time stamps.

ES_-_Wedge_Breakout_-_22-SEP-2015.png

Market Data Enhancements

A rewritten core data engine improves the way market data is processed when received from your data provider.

  • Sub-second market data time stamps now stored to meet demand for higher precision
  • Historical Bid/Ask prices now stored with each last trade tick data
  • Import, export, edit, and download market data (including market replay) all in one location
  • Set a preferred connection to obtain historical or real-time data from your choice of providers per instrument type

Tick Replay

The NinjaTrader 8 market data engine significantly increases historical tick accuracy allowing traders to:

  • Calculate indicators and strategies on a guaranteed sequence of historical last, bid & ask events
  • Obtain values and calculations that went “into” a bar
  • Improve intraday volume and delta analysis
  • Backtest a strategy with unprecedented precision
All the best,
Carl
 
Carl 
 
Carl Weiss
Algorithmic Architect @ ...sceeto
 

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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.

A few of our customer's have gotten their hands on the Better Data Bars, which is part of our new Better Data Suite for NinjaTrader 8 and they are totally freaking out.

One oil trader told me that he got the Better Data Bars installed in the middle of the day today, and traded in Sim with them for a little bit on a naked chart (naked means no other indicators).

He waited for price to come to his level, and then waited for the Better Bars to indicate that order flow had corrobated his levels signal and entered...and it turned out to be a great trade.

This trader is going to be in our next NinjaTrader - Better Data Suite workshop, which will be this Friday, September 25th 12:00 PM - 1:00 PM EDT, and will review his findings from his first few days of using our Better Data Suite.

I think that it will be very interesting to see what his evaluation is.

You can register here for the workshop.

We will be reviewing the components of our Better Data Suite for NinjaTrader 8, which includes our Better Bars, Better Forks, and Better Levels.


Here's a breakout of a wedge in today's ES as visualized via our Better Data Bars, which take advantage of all that NinjaTrader 8 has to offer in terms of millisecond time stamps.

ES Wedge Breakout 22 SEP 2015

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