We have worked with many clients to setup their computers to work better with real-time data streaming and trading purposes. Here are some tips (and funny stories) that work very well to maintain your internet connections in prime condition.
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Managing your subscription with eSignal sometimes can be confusing. Here is some tips and information that are useful for both new and long time subscribers of their services.
Delay data for specific region has to be added manually
Some data feeds (including eSignal several years ago) automatically provide delay data for exchanges you have not signed up for real-time streaming. Due to the fact that eSignal has grown into an international data provider, there are way too much data to send out on all exchanges that you have not subscribed to.
Limitation on historical data access during peak hours
During the first and last trading hour when the US stock market opens, some limitation to the amount of historical data you can download is imposed.
If you expected to load a lot of historical data, especially tick data, then it is better to do that before market open.
Historical bid/ask data are available to subscribed exchanges only
For those traders interested in bid/ask analysis, it is important to know that you need real-time subscription to get historical tick data that includes the bid/ask data. If you do not have the subscription, the historical tick data you download would include the trade data only.
Extended historical data option does not work with 3rd party applications
eSignal has not added this option to their API, thus 3rd party applications cannot access those extra historical minute data even if you can see them within eSignal’s own software.
For most traders, when tracking their own performances, or measuring the performance of trading systems, a tendency is to look for almost perfect improvement over time. We always want the performances to get better, stay in top shape, etc. In reality, such push can be harmful and can backfire.
Attached is an Excel spreadsheet showing the potential reason why and how to monitor trading performances using a relaxed condition that works well over the long term.
The Spreadsheet
An example of using the Cone Projection indicator in real-life.
Emini S&P 5-minute with 100 days of data loaded. Cone Projection parameter using daily break, lookback period of 90.
What does the indicator do?
It utilizes the moving average by step indicator to figure out the potential high/low at any point in time at the chosen break period. In our example, it figures out how far on average the price would move from open of the day to any particular point in time.
The red lines are the averages and the blue lines are 1 standard deviation away.
How to use the indicator?
The indicator provides a projected path of support and resistance over time based on your break criteria. In the example, the projection is based on Day break, thus you can see the projection for the whole trading day beforehand.
For a range bounded day, travelling from one end of the average to the other often signal completion of a move, as illustrated by the 2nd and 3rd day in the chart.
For a trending day, the market will stay between the average and the one deviation zone, as in the first day shown in the screenshot.
Many traders learned the importance of keeping records of all their trades. There are even software to help you analyze your performance by compiling tons of statistics, etc. I have here a simple spreadsheet that I think will be useful no matter you are a system or discretionary trader.
Many people asked why would anyone want to analyze the charts at the tick level. Wouldn’t that be a waste of time since such high frequency activities are not likely going to have any long term impact.
Let’s take a look at this chart first.
Top pane is Google stock price at 5-minute interval, since the beginning of December 2008.
Second pane is, the histogram of the moving score of 1000 trades, where each trade involves at least 1000 shares. A trade at the asking price gets a score of 1, and a trade at the bid price gets a score of -1. As you can see, the result is a momentum indicator providing some insights into the strength of the price series.
Third pane is, the histogram of the moving score of 1000 trades, but each trade involves at least 5000 shares.
Notice how profound that the lowest and highest swing points in the price matched perfectly with the histogram in the third pane.
It is a simple example showing large sized orders, in general, move the market. This information, however, cannot be derived from the price series. One has to dig deep into the tick data to have that extracted.
As of September 22, 2008 (tomorrow), Kraft Foods, symbol KFT, will replace AIG in the index.
For NeoTicker users, just make the change in the Dow 30 symbol list will be enough for NeoBreadth, Pattern Scanner, etc. to function properly on Monday.
Updated symbol lists will be provided in next release.
Russell 2000 officially move over to ICE this week. If you trade Russell, your subscription to CME real-time data is not enough to receive data for Russell going forward.
1. Subscription
You need to enable subscription to ICE real-time data. Some data vendors offer special index only package in case you are not interested in other non-financial products from the exchange.
2. Symbology
You need to check with your data vendor for the correct symbol.
e.g. eSignal’s ICE Russell 2000 Mini is TF Z8 for the Dec 2008 contract
3. Continuous Contract
To define a continuous contract symbol, use the Continuous Contract Manager.
For Russell 2000 Mini, you can use the pre-defined rule for Index Future.
4. Existing Data
You can simply copy your existing data files from the Cache directory to the directory for the new symbol.
As of friday’s close, emini S&P has an estimated daily volume of 3,251,000 (more than 3 million), with prior open interest stands at 2,350,000 (more than 2 million).
Think about the ratio. The daily turnover is more than the commited overnight positions by 30%. And the daily average volume to open interest ratio has been at least 100% for a long time already. That means, most of the liquidity we have seen are purely daytrading activities.
Overnight Positions
Now think about the actual value. Emini S&P trade at USD $50 per point movement. That means, when you see ES move from 1240 to 1239, a single contract drops by $50 in its value. With 2 million plus contracts at stake for the overnight positions, we are talking about $100,000,000 (100 million dollars) fluctuation per point movement.
And taking that one step further, the average daily range of emini S&P stands at 20 points in the current months, and for the past week, more than 30 points a day. Those overnight positions we are talking about fluctuate at least $2,000,000,000 (2 billion dollars) a day.
Remember that for every contract in the open interest, there is a buyer and a seller. When so much money is involved in betting the direction of the overall market, one has to wonder who these buyers and sellers are.
Daytrading Activities
With many brokerages offering $500 margin (per contract) for daytraders, how does someone properly manage the risk they are taking?
At 20 points daily range, the actual value of a single emini S&P contract fluctuates $1,000 per day. That is 200% the margin requirement.
In the past week, we are talking about 300%.
I can imagine that the brokerages have mark to market, tick by tick monitoring on the daytraders open positions. Anytime, if someone is under margin, those positions will be liquidated at once. For example, someone having $800 in the account and buy one emini S&P contract at the price of 1410, the very second the contract trade at or below 1404, the position would be liquidated by the brokerage.
As a beginner learning to trade emini S&P, the lower margin can definitely help reducing the entrance cost. However, if the lower margin is not utilized properly, an account can be wiped out much faster.
Have you ever wonder why you like to use 5-minute bars to trade something, and then, all of a sudden, switch into another time frame like 15-minute bar to monitor another instrument. Why we somehow have different level of comfortability with different time frames? Here is an interesting way to study an instrument to find out what time frame may be best for you.
