Trading – General


An Excel Worksheet on Trading Performance

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.

Continue Reading…


Anatomy of Orderflow at the Tick Level


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.


Dow Jones Industrial Average Component Change

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 Trading on ICE

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.


Fascinating Volume and Open Interest Relationship in Emini S&P

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.


Studying Your Data Across All Bar Sizes

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.

Continue Reading…


S&P 500 3-Day Advance Issues

I wrote an article on the concept of 3-Day Advance Issues in the Futures magazine – Using market breadth in trading systems, in the January 2008 issue. As oppose to repeating what was written in the article, I will focus on the discretionary aspect of this particularly interesting breadth data.
Continue Reading…


eSignal real-time data problem today

If it looks like you are not receiving all the real-time updates to your chart, close the eSignal Data Manager and then let NeoTicker auto restart it for you.

Do not choose complete reload if you have a lot of background calculations (like NeoBreadth, quote formulas), use Reconnect Only instead.

Once you are connected to a healthy server, you will notice the difference.


Tune up your trading computer

The default settings in Windows XP do not give you all the power your computer has for your trading needs. Here are the things that you can do to tune up your computer for better performance.
Continue Reading…


Trading computers – Pentium 4 3G HyperThreading vs Core 2 Q6600 Quad-Core

When my trusted trading computer started to report 70% CPU load at the end of last year, I know it is time to shop for a new computer. Afterall, my computer, a Pentium 4 3G Hyperthreading machine, worked very well for several years. Maybe it is time to invest into faster and better technology, so I started my journey to shop for a new computer.
Continue Reading…

Blog Developed
By ContentRobot