Algorithmic Trading/ Program Trading/ HFTs, The Cloud A New Dawn

[alexfermoy]

:thumb: Hi everyone I have read a lot of posts over time and everyone talks about indicators the best the worst etc.
I have been a full time trader since 2001/2 and have lost my fair share of money during that time as well as won a bit. Unfortunatly as the years have moved on so has the systems the big banks and trading houses use to place their trades...millions of trades in milliseconds thats where it's at now.

All of us have seen the market make sudden and fairly severe turns out of nowhere...taking out all your stops and just when you jump on what you think might be a new trend it turns right back again...thats program trading in action and for instance it's now almost 80% of all the trades on the New York stock exchange every day.

Who or what controls the market...not news no matter what it might be thats just the excuses that are used...the big banks/trading houses can and do push the market any way they want....their goal to take all the other traders money...pure and simple.

I have been researching different ways of trading against these systems for years now and have learned one overall rule don't...you'll lose.

The next step i guess was try to trade with them but how?
Most indicators belong in the stone age, they just don't work properly anymore and lag...what good is something that will tell you a minute or two after a move that it might happen....the banks move the market in milliseconds by the time it jumps up or down your indicator is probably still trying to decide ?

You'll always have some small successful trades thats just the law of averages but overall are you winning or losing?

No one could track the bots/programs until the last year or two a few different systems have come on line...like everything I tried them some were good and some were just terrible but as time has moved on programmers have found ways to issue real time alerts in order to let you know program trading is going on.

One thing all the new generation of indicators out there have in common is they are real time even predictive if yoy like....they are now finally doing what the "stone age indicators" should be doing but can't .

Bear this in mind as well as the title suggested Cloud computing is here. Why should that matter???
Well remember your stoneage indicators...yes? rember your little old computer or maybe even bank of computers yes?

Remember the big banks/trading houses Goldman etc with millions of possible trades in Milliseconds....budgets of millions upon millions and computer systems situated right next door to the major exchanges for speed (just in case they lost a fraction of a millisecond) yes?

How can you compete or join in with them when they make a move...you can't can you? Cloud computing has started the next big moves in algos/indicators that now can alert you in real time....exactly when the big banks etc are buying/selling etc across a range of markets.
With the new Cloud computing systems the companies who are now able to monitor the program trades have an almost level playing field again...thousands of times more info can be crunched in the cloud using state of the art algos to detect when the banks etc are program trading.

Thats the future the entire market has evolved....what do you think of macd crossovers, price action indicators, atr etc now ?

Bin them guys and start looking at the types of indicators that monitor this type of new trading environment. I havn't even bothered to look at any of those in about two years now and I ain't sorry.
happy trading

 

[aryan.]

You can move to positional trading where your trading range is from couple of days to couple of weeks.

 

[alexfermoy]

:thumb:Hi tahnks for joining in the discussion .Yes thats true but the problem still does remain that holding a position for longer means 1 that you are not making money as quickly as you could and 2 also that you are even more at the mercy of the program trading bots.

I want traders to know that these guys have every play in the book covered..whilst I agree with you unless you play by their rules they still move the market against you. Take for example the maximum pain rule for futures and options expirys...its kinda silly that no matter the market does or the traders involved they push it to or near a price where maximum pain can be inflicated...they want to win as do you pure and simple.
problem is you got to learn to play with them not against them thats where newer cloud based real time algos/indicators come in.
Letting you know in real time.

besides a lot of day traders will be out of work in no time if everyone moves their accouns to trade only over the long periods.
Another problem is the big banks and hfts etc will probably only love that as they'll wip out peoples accounts in days instead....they'll totally inflict the maximum pain on everyone.

Its a new environment has been for a while but it's only now that you can take advantage.

 

[Kedarnath]

Hi,

Eye opener to lot of day trader or scalper in indian market(equity,currency,commodity) to name few..

My self has been tracking stock market via pure technical analysis...and now find it tough to cope with BOTS as u rightly put it for trader like me...

Now eager to learn more if u could give more details about what you look out for day trading in new regime.

So we can update us and so we learn to fish in time to come.

Regards,

Kedarnath

 

[alexfermoy]

suppose one thing is they always tend to iniate the program trades at a certain time of day etc

I wrote a paper that I published a while back on it....combined with software that monitors the hft trades in real time it can be like having a crystal ball of sorts .
One thing to remember about the attached research I wrote...first it was monitored over a 5 year period...i suggest reading it a few times and go back through your charts at the end of the day to see why it makes sense.

Lastly the HFT monitoring software is out there suggest you get some it's a game changer.... I have never looked back again since I did !

Important my screen name is Alex Fermoy my name is Patrick Hayes I am the author of the piece......times are based on GMT and Eastern Standard times USA but if you monitor the hfts you will see it applies across the zones

I can email a copy of the piece in word document format complete with all the graphics for free and for you to distribute to anyone you think it may help...please just attribute credit to the original author ...me !!!!
thanks:clap:


How to Use the Market to Set Your Watch
Why TheTime of Day Affects Market Movements

The key factors that account for the changes in price in the broader markets are:

Changes in Supply & Demand due to High Frequency Trading (HFT) and Algorithmic Trading.
Key Support & Resistance levels
Standard Price lunge lengths



HFTs/Algos/Program Trading control over 70% of all the trades on the CMEs GLOBEX S&P 500 e-Mini.

S&pEmini each and every day. Did you ever see the market going in one direction only to suddenly reverse and go the other way? Then perhaps just as you think its changed direction it goes back to its original trend ?

In conjunction with HFT monitoring software..........knowing the key times that program trades are likely to happen can help keep you on the right side of a trade . These Key reversal Times or Market Timings as we call them tend to happen almost always at the same times.
Some days you could set your watch by them as they happen bang on time !!!
The Eminis tends to have 2-3 main swings or trends during the course of a trading day. The moves tend to last 1 to 1.5 .hours but the many smaller reversals driven by Program Buying/Selling happen up to 9 times in any given day.

You might be asking why do Hfts/Algos cause these reversals? Why because they can!!!! Part of the reason Hfts/Algos do what they do is they trigger peoples stops thus excluding many trades from the market whilst they turn around and send the market the way they want toremember that the 70% of trades the big Algos/banks etc placed by the big systems are trying to take the money of the traders who dont have access to HFTs/Algos so they want to get their hands on the honest 30% so to speak.

Okay so what exactly is Market Timing? As we have stated the Eminis have several times during the day where reversals can and do happen.
These might be a temporary or partial reversal or even a complete reversal or indeed the reversal time can often have Hfts pushing the market to continue in its original direction.
Not every reversal time happens every day especially with the same pattern but the ones that do tend to happen around the same times over and over again.
***Most of the reversal times happen on the half hour and hourly for example, 10am 10.30am and also 11am, 1.30pbut from time to time they can come early or late so caution is urged at these times. On the hourly reversals they can come10 minutes early or 10 minutes late so the 11am reversal may happen at 10.50 or 11.10 and the half hour reversals can often come 5 minutes early or late so for the 10.30 you would watch for 10.25 and 10.35 as well just in case they are early or late .
Please Read below for the most common reversal times
First here is The Globex Overnight Session

(1)# 2am gmt
(9 pm Est)
Importance
Medium Hong Kong market opens and the market tends to make a decent move (Tokyo is open since 7pm EST but doesn't make a huge difference until it closes at 2am for lunch just as Hong Kong opens so they often take advantage of the close.
(Syndey Australia is open at this point as is Singapore but usually theres no decent move until Hong Kong opens.)

(2)### 3.30 am (1030pm EST )
Importance
High !!! Indian Stock market opens this country has become huge as
regards trading the markets and at times it makes very decent moves.Tokyo is now reopening after lunch as well so the market usually makes a move.
(3) # between 5am and 6am .(12pmEST)
(1amEST)
Importance
Low There is sometimes bounces as different exchanges some smaller close or open but it's not a vital one usually
(4) ##### 7am (2am EST) Importance
High !!! Eurex opens this almost acts like the premarket does in the States as orders for currencies etc are suddenly thrust into the market and usually it gives significant moves.Algos are most definitely very active from here on out. The Eminis can move quite a bit at times here

(5) ############# 8am
( 3am EST)
Importance
Very High!!! !!!

High !!! Very important time when FTSE and UK markets open
usually makes significant moves Algos quite often kick in at 9am too (4am EST) and drive a continuation or a turnaround 9.30am gmt sometimes small reversals **** Quite often the trend continues up until 8amEST ImportanceVery High!!!
Times When New York and UK Sessions Are Open At Same Time






US Market Most Likely Reversal times Day Session
US Market Most Likely Turnaround times / Hfts/Algos pushing the market

(1) 8am EST
Importance
High Usually moves the market a bit as of course premarket orders are
showing up etc as I am sure you know and there are moves to reverse and test the overnight levels sometimes as well.
(2) 8.30am
EST
Importance
High The market can sometimes reverse here up until 9.30am based on both the market orders being filled
(2) 9.30am
EST
Importance
High Market jumps as you know to close the gap between night time
session and day session Prems/fair value levels . This quite often lasts for only 3 to 4 minutes before a bounce 9.33/9.34 am EST ....... 9.40am EST bounces a lot as well as 9.50
until 10 am which can turn the initial trend on it's head temporarily.
(3) 10 am EST
Importance
High 10 am est until 10.30 am usually before another bounce / continuation driven by hfts at 1030
(4) 10.30 EST *Importance Very High ** (4) 10.30 another bounce / continuation driven by Hfts this can be a very important one as some traders may have already started profit taking from what they made earlier so the market may continue in this direction only until these traders have bought or sold to cash out their positionsso it helps to be careful here as the direction at 10.30 might reverse at next reversal quite often .
The UK markets are closing as well at 11am EST so its one of the most important ones of the day.
(5) 11 am EST
Importance
High (4) #### At 11 am is another common time for the market to be driven by algos/hfts and is usually one that often defines the trend up into lunchtime.
Its important to also note that a high percentage of the time after this initial move the market slows without much volatility until after lunch 1- 1.30 pm

(5)12.30 pm EST
Importance
Low It is only sometimes when the Algos/Hfts kick in here quite often if I think most of the afternoon reversals are a bit scatteryi.e unreliable so I'll just say this for now .Lunch times can sometimes move a bit but not always sometimes very flat. A 12.30 pm reversal often may happen when previous reversals either were very small or didnt happen
(6) 1.00 pm EST as well as 1.30 pm EST
Importance
High The market has moved many times up to and beyond 1pm only to reverse sometimes very very significantly driven in most part by Algos/Hfts at 1.30pm
***Please note 1.30 pm EST is the key time here.its safer to avoid the 1pm reversal as its often a head fake i.e. a false reversal

(7) 2.30 pm
Importance
Low The market can sometimes stall and reverse slightly here but quite often will continue the trend from 1.30pmbut again caution is urged here
(8) 3pm
EST
Importance
Medium Bond markets are closing now so traders from these areas will often enter the market which can cause some sudden moves


Remember that the Algos/Hfts Almost Totally Dominate The Last 1.15 minutes from 3 o clock so expect a lot of bouncing !!!
(9) 3.30 pm
EST
Importance
High Again this end of day is driven by Hfts/Algos almost on their own as you know so it is very similar to the 9.30 am to 10 am session in the way it can bounce around a lot

(10) 4.00 pm
EST
Importance
High Although this is a reversal that does not always happen its a dangerous one in the sense that it can bounce/reverse at 3.50pm / 4pm or 4.10pm often losing or gaining 2 to 3 points in a very short time as people either take profits or buy/sell to cover some losses***caution is urged if you are still in the market here !!!



Think of the reversal times as waypoints for navigation. Lets say a 10 o clock reversal doesnt happen or is very slight then its a continuation of the trend but you would then also be careful at the next waypoint which would be the reversal time at 10.30 am if the trend continues and continued then you would of course be careful at the 11am reversal time.

Remember these are a guide to help you not panic sometimes and other times give you
Confidence that you are indeed on the right side of the market, a reversal might only be temporary or it might be a complete reversal or continuation no matter what being armed with the knowledge that these market timings are likely to happen at these times can help you greatly.

*** Start reviewing the previous days action at the end of the day especially on
15min 30minute and 60 minute charts and you will see how significant these key Market Timings times can be in conjunction with HFT monitoring software..........knowing the key times that program trades are likely to happen can help keep you on the right side of a trade Sometimes the absence of reversals or very very slight ones can indicate two
things....a very strong trend in the same direction or a very significant trend change could happen at a later key time....... this will make more sense to you the more you
watch the market and the times the reversals happen.

*** When the reversals happen they usually move the market between 2 and 4 points. Small moves of only .50 cent to 1 cent often suggest that the market will not reverse very strongly and will continue its trend at least until the next key reversal Time
*** A lot of it might not make sense until you watch the market and
the key timeframes for a few days/weeks but the more you pay attention the more important you will see they are.
*** Also remember program trades/ Hfts/Algos pretty much totally control the
market in the last hour........................ as well as the first 1.5 hours..........

By Patrick Hayes Author Tuesday, 28 February, 2012

 

[alexfermoy]

I tried to post a response with more details but it say awaiting moderation and it still hasn't shown up...this is where sometimes it's hard to educate people about the new environment they have to trade in??? Hopefully it will show up .


Update on this the post with the info....i don't think there were any links in it etc but I'll try and edit and postb again.

 

[alexfermoy]

Going to try and post this again
My screen name is Alex but real name is Patrick Hayes I am the author of the piece..... I'll send the html version with images to anyone that wants it free..just please tell people about it and attribute the author as me

Sorry in plain text it's hard to read...read it a few times and compare it to recent charts you'll see what I mean


How to Use the Market to Set Your Watch
Why TheTime of Day Affects Market Movements

The key factors that account for the changes in price in the broader markets are:

Changes in Supply & Demand due to High Frequency Trading (HFT) and Algorithmic Trading.
Key Support & Resistance levels
Standard Price lunge lengths



HFTs/Algos/Program Trading control over 70% of all the trades on the CMEs GLOBEX S&P 500 e-Mini.

S&pEmini each and every day. Did you ever see the market going in one direction only to suddenly reverse and go the other way? Then perhaps just as you think its changed direction it goes back to its original trend ?

In conjunction with hft monitoring software.........knowing the key times that program trades are likely to happen can help keep you on the right side of a trade . These Key reversal Times or Market Timings as we call them tend to happen almost always at the same times.
Some days you could set your watch by them as they happen bang on time !!!
The Eminis tends to have 2-3 main swings or trends during the course of a trading day. The moves tend to last 1 to 1.5 .hours but the many smaller reversals driven by Program Buying/Selling happen up to 9 times in any given day.

You might be asking why do Hfts/Algos cause these reversals? Why because they can!!!! Part of the reason Hfts/Algos do what they do is they trigger peoples stops thus excluding many trades from the market whilst they turn around and send the market the way they want toremember that the 70% of trades the big Algos/banks etc placed by the big systems are trying to take the money of the traders who dont have access to HFTs/Algos so they want to get their hands on the honest 30% so to speak.

Okay so what exactly is Market Timing? As we have stated the Eminis have several times during the day where reversals can and do happen.
These might be a temporary or partial reversal or even a complete reversal or indeed the reversal time can often have Hfts pushing the market to continue in its original direction.
Not every reversal time happens every day especially with the same pattern but the ones that do tend to happen around the same times over and over again.
***Most of the reversal times happen on the half hour and hourly for example, 10am 10.30am and also 11am, 1.30pbut from time to time they can come early or late so caution is urged at these times. On the hourly reversals they can come10 minutes early or 10 minutes late so the 11am reversal may happen at 10.50 or 11.10 and the half hour reversals can often come 5 minutes early or late so for the 10.30 you would watch for 10.25 and 10.35 as well just in case they are early or late .
Please Read below for the most common reversal times
First here is The Globex Overnight Session

(1)# 2am gmt
(9 pm Est)
Importance
Medium Hong Kong market opens and the market tends to make a decent move (Tokyo is open since 7pm EST but doesn't make a huge difference until it closes at 2am for lunch just as Hong Kong opens so they often take advantage of the close.
(Syndey Australia is open at this point as is Singapore but usually theres no decent move until Hong Kong opens.)

(2)### 3.30 am (1030pm EST )
Importance
High !!! Indian Stock market opens this country has become huge as
regards trading the markets and at times it makes very decent moves.Tokyo is now reopening after lunch as well so the market usually makes a move.
(3) # between 5am and 6am .(12pmEST)
(1amEST)
Importance
Low There is sometimes bounces as different exchanges some smaller close or open but it's not a vital one usually
(4) ##### 7am (2am EST) Importance
High !!! Eurex opens this almost acts like the premarket does in the States as orders for currencies etc are suddenly thrust into the market and usually it gives significant moves.Algos are most definitely very active from here on out. The Eminis can move quite a bit at times here

(5) ############# 8am
( 3am EST)
Importance
Very High!!! !!!

High !!! Very important time when FTSE and UK markets open
usually makes significant moves Algos quite often kick in at 9am too (4am EST) and drive a continuation or a turnaround 9.30am gmt sometimes small reversals **** Quite often the trend continues up until 8amEST ImportanceVery High!!!
















Times When New York and UK Sessions Are Open At Same Time
US Market Most Likely Reversal times Day Session
US Market Most Likely Turnaround times / Hfts/Algos pushing the market

(1) 8am EST
Importance
High Usually moves the market a bit as of course premarket orders are
showing up etc as I am sure you know and there are moves to reverse and test the overnight levels sometimes as well.
(2) 8.30am
EST
Importance
High The market can sometimes reverse here up until 9.30am based on both the market orders being filled
(2) 9.30am
EST
Importance
High Market jumps as you know to close the gap between night time
session and day session Prems/fair value levels . This quite often lasts for only 3 to 4 minutes before a bounce 9.33/9.34 am EST ....... 9.40am EST bounces a lot as well as 9.50
until 10 am which can turn the initial trend on it's head temporarily.
(3) 10 am EST
Importance
High 10 am est until 10.30 am usually before another bounce / continuation driven by hfts at 1030
(4) 10.30 EST *Importance Very High ** (4) 10.30 another bounce / continuation driven by Hfts this can be a very important one as some traders may have already started profit taking from what they made earlier so the market may continue in this direction only until these traders have bought or sold to cash out their positionsso it helps to be careful here as the direction at 10.30 might reverse at next reversal quite often .
The UK markets are closing as well at 11am EST so its one of the most important ones of the day.
(5) 11 am EST
Importance
High (4) #### At 11 am is another common time for the market to be driven by algos/hfts and is usually one that often defines the trend up into lunchtime.
Its important to also note that a high percentage of the time after this initial move the market slows without much volatility until after lunch 1- 1.30 pm

(5)12.30 pm EST
Importance
Low It is only sometimes when the Algos/Hfts kick in here quite often if I think most of the afternoon reversals are a bit scatteryi.e unreliable so I'll just say this for now .Lunch times can sometimes move a bit but not always sometimes very flat. A 12.30 pm reversal often may happen when previous reversals either were very small or didnt happen
(6) 1.00 pm EST as well as 1.30 pm EST
Importance
High The market has moved many times up to and beyond 1pm only to reverse sometimes very very significantly driven in most part by Algos/Hfts at 1.30pm
***Please note 1.30 pm EST is the key time here.its safer to avoid the 1pm reversal as its often a head fake i.e. a false reversal

(7) 2.30 pm
Importance
Low The market can sometimes stall and reverse slightly here but quite often will continue the trend from 1.30pmbut again caution is urged here
(8) 3pm
EST
Importance
Medium Bond markets are closing now so traders from these areas will often enter the market which can cause some sudden moves


Remember that the Algos/Hfts Almost Totally Dominate The Last 1.15 minutes from 3 o clock so expect a lot of bouncing !!!
(9) 3.30 pm
EST
Importance
High Again this end of day is driven by Hfts/Algos almost on their own as you know so it is very similar to the 9.30 am to 10 am session in the way it can bounce around a lot

(10) 4.00 pm
EST
Importance
High Although this is a reversal that does not always happen its a dangerous one in the sense that it can bounce/reverse at 3.50pm / 4pm or 4.10pm often losing or gaining 2 to 3 points in a very short time as people either take profits or buy/sell to cover some losses***caution is urged if you are still in the market here !!!



Think of the reversal times as waypoints for navigation. Lets say a 10 o clock reversal doesnt happen or is very slight then its a continuation of the trend but you would then also be careful at the next waypoint which would be the reversal time at 10.30 am if the trend continues and continued then you would of course be careful at the 11am reversal time.

Remember these are a guide to help you not panic sometimes and other times give you
Confidence that you are indeed on the right side of the market, a reversal might only be temporary or it might be a complete reversal or continuation no matter what being armed with the knowledge that these market timings are likely to happen at these times can help you greatly.

*** Start reviewing the previous days action at the end of the day especially on
15min 30minute and 60 minute charts and you will see how significant these key Market Timings times can be in conjunction with hft monitoring software software..........knowing the key times that program trades are likely to happen can help keep you on the right side of a trade Sometimes the absence of reversals or very very slight ones can indicate two
things....a very strong trend in the same direction or a very significant trend change could happen at a later key time....... this will make more sense to you the more you
watch the market and the times the reversals happen.

*** When the reversals happen they usually move the market between 2 and 4 points. Small moves of only .50 cent to 1 cent often suggest that the market will not reverse very strongly and will continue its trend at least until the next key reversal Time
*** A lot of it might not make sense until you watch the market and
the key timeframes for a few days/weeks but the more you pay attention the more important you will see they are.
*** Also remember program trades/ Hfts/Algos pretty much totally control the
market in the last hour........................ as well as the first 1.5 hours..........


By Patrick Hayes Author Tuesday, 28 February, 2012

 

[alexfermoy]

My post still isn't showing up as of now so I don't know ?

If anyone wants more info as i cant seem to post info about program trading etc send me a pm (private message and Ill happily send it to you.

it's an eye opener for sure !!

 

[brajeevn]

Please post more info...........:clap:

 

[hawaisanjay]

My post still isn't showing up as of now so I don't know ?

If anyone wants more info as i cant seem to post info about program trading etc send me a pm (private message and Ill happily send it to you.

it's an eye opener for sure !!

can not send you pm