Dash Riprock Esq. - serious stuff

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

so I was just playing about with TOS (i hate this time on a sunday) and anyway it turns out that in a roundabout way I can explain graphically what i said earler about the NOB spread . Not the "on your FACE!" bit though.

just before i get into it, anybody looking at this and trying something similar, i emphasise that the only thing that translates onto a forum is words and pictures; i dont want to make anyone think that actually you can trade like this just from graphs, because you can't (at least I cant). entries, exits, stops and things are all focused on the tape/DOM and obviously there are other considerations but the graphs are just for an idea of context / structure mkay? it's not the be-all and end all

also, real money / bank / hedge fund bond/rates people are usually pretty quanty - bonds are alot about maths, and fundamental / economicy - bonds are also alot about economics. so please don't start doing rsi divergence on yield curve OK?

right anyway here are two graphs of friday's RTH session in the ZN future and the ZB future. On both, in purple, I've put on the close of the tradeable NOB spread which is 5 ZN futures for every 3 ZB futures. The green sideways lines are the highs of the NOB, ZN and ZB respectively until it broke out above the highs from the high volume area that i was on about on friday. The yellow time lines are points i will discuss in order:

1st at 15:09

this is when both ZB and ZN made new highs on the back of some dudley comments on cnbc iirc, before pulling back and then both going on to print higher and move towards other areas. What matters is that they were both going up..... BUT - look at the space inbetween the 1st and the 2nd lines! ZB and ZN are both going up but the NOB is just staying where it is :-0

2nd 16:11

An hour after the futures broke higher, the NOB joins in. This mean that up until here, ZB and ZN had both been going up by roughly the same amount Schwiiing something else moderatly interesting to note is that it is only on the pullback that the NOB went anywhere. at the ZB and ZN highs of that move, NOB was in the middle of its daily range.

3rd 16:57

this is really just an observational point, not something that you could necessarily trade in real time. It's just the highs of the NOB and the disparity between the ZB and the ZN in terms of where it was in terms of that days range (ZB below daily high, ZN printing new one). after that point, ZB outperformed the ZN which brought the NOB back to where it was at the beginning of the day EVEN THOUGH both ZN and ZB finished on their highs.


Points:

the NOB spread is also traded on the exchange (a bit like crack spreads), which I can't get in TOS, and since I dont trade it dont pay that much attention to it anyway. But I think you can get price improvement through it instead of dicking about with legs in.

these are 2m graphs because I can't do tick charts like before with the NOB on it, so I just eyeballed the one that looked most like my tick charts from friday.

I removed the volume profile just to make it easier to see what I'm talkin about

these are percentage charts (and log percentages at that) which is not ideal.

I tried to make the yellow time lines at identical times on both charts but couldn't.

the NOB, either by legging or the ICS, is an attempt are replicating the Bond yield vs Note yield curve trade. As a broad generality it's the changes in yields on the cash bonds that are the dog thats wagging this tail.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

and one other point about these spreads - it is absolutely right and proper for them to move in their own right. Im not saying only trade when the shifts are parallel. This is a graph of the TYX (30yr yields) minus TNX (10yr yields) since 2010. Obviously it moves. The whole point about looking at the spread is to try and guestimate how much of a move is from the parallel side, and how much is from the spread side. Sometimes its mostly one, sometimes mostly the other, sometimes they are complimentary and other times they are not.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

remember I said the basic idea is to know when the market is rotating around a price, and to know when there is new price discovery (MP talk for ranging and trending)?

Well sometimes its as clear as mud, and these days can be costly. These 2 graphs illustrate that quite nicely I think, I was keeping half an eye on them during the day and the ZB looked like there were some reasonable trades to be made but the ZN looked like a bugger.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

OK well as total experiment I put similar settings on the globex euro future to see what's what. I think alot of people here trade currencies so hopefully some of you find it interesting.

So what it shows is alot of volume being done around the1.4164 level, and it looks to be rotating around that. The overnight session is is included in the graph but I checked and the first print at this level was at after 7am so its all from london session, The purple highs and lows show london range so far, the box shows rotation zone.

I think globex volumes are getting to the stage where it's more representative of the spot/swap market but I don't know if the tape stuff you can use on "legacy" contracts are applicable here. You can at least see them though, along with making inside prices.

So if you're not trading the range the next step here is to wait until something changes to start off new auction and then only trade with a long or short bias depending

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

now in a situation like this, the breakout of the rotation area is only 5 or so pips above the low of the london opening range. So if it breaks out below the rotation area, there is a high likelihood that there will be a run down to new lows. The important thing is to wait to see what the action is like after the low print, to see if the move is backed up by volumes or if it's just a run on stops.

*an alternative way to trade this is to actually go into this short and go for the stops yourself with limits resting a handful or ticks below the lows*

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

its these times when looking at the tape really pays off. You can see the volume of trades building up here from the profile, but without actually seeing them 1st hand it's hard to get a handle on who is operating and what they are doing.

 

[Devilicus]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

are you referring more to the time and sales window as opposed to the depth of market, or both together?
Are you looking for big trades going through?
I spent some time looking at the behaviour of the tape but it just all seemed random.
Maybe you could go into this aspect a little deeper, although I understand that may be hard just using the written word

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

Time and sales > Depth of market (actions > intentions, people lie) but look at both together side by side.

I think I made a list of the kinds of things to look for earlier on. if you just look at the tape all day long you might pick up something eventually buts its pretty boring and theres lots of noise. better to pick the times when it's appropriate to be looking (like when i just posted, or when you are working orders) and take it from there.

Its pretty impossible to show examples unfortunately, but tbh I don't think id want to go in to that much detail anyway. not because im worried about my "proprietary edge" (lol) but it's personal to me and Im shy

 

[timsk]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

Hi DR,
A few Qs . . .
1. Would it be reasonable to substitute the volume profile histogram on your charts with something like VWAP and, if so, what settings would you recommend?
2. I'm a fan of delta. Is there anything you see / expect to see in your volume histo' that couldn't be derived from, say, a cumulative delta chart? For me, the latter is way easier to interpret as one can apply conventional TA to it - just as one would an ordinary price chart.
3. Following on from Devilicus' question, I appreciate you can't explain very easily how to read the tape / T&S. However, perhaps you could take a step back and suggest some practical steps that members might take to help them to learn to read the tape? Besides just starring at it for hours on end - the tape I mean - not the totty!
Cheers,
Tim.

PS Sorry, posts crossed - didn't see your reply to dev' before I submitted my post.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

Hi DR,
A few Qs . . .
1. Would it be reasonable to substitute the volume profile histogram on your charts with something like VWAP and, if so, what settings would you recommend?

No. "traditional" VWAP doesn't really tell you much IMO. You can use a MA on Volume bars which is something similar, but I'd still only use it as a crutch for directional bias.

2. I'm a fan of delta. Is there anything you see / expect to see in your volume histo' that couldn't be derived from, say, a cumulative delta chart? For me, the latter is way easier to interpret as one can apply conventional TA to it - just as one would an ordinary price chart.

I dont use delta or cumulative delta either. The only purpose of the volume histogram is to visually represent where the most trades are being done and to use this area as the first step of deciding how to trade the action. Whether they are all on the bid or the offer, or what the cumulative delta is for the day, doesn't matter to me. If someone wants to sell another 10,000 lots they will.

3. Following on from Devilicus' question, I appreciate you can't explain very easily how to read the tape / T&S. However, perhaps you could take a step back and suggest some practical steps that members might take to help them to learn to read the tape? Besides just starring at it for hours on end - the tape I mean - not the totty!
Cheers,
Tim.

PS Sorry, posts crossed - didn't see your reply to dev' before I submitted my post.

thats OK i'll forgive you this once.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

There is nothing more really to add about this strategy, and now that all the hot women I can think of right now are mentioned (finished on a high), it's time to call this thread a day. I am totally bored of tradetowin, it's mostly full of idiots pushing dirt around with a stick.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

here is an example of what Im on about, the trade is hidden away in here, though you would have to be clever with the execution, you need at least 1 inside price (so its not totally risk free but you could get a bot do manage it for you I reckon, depends if there are messaging limits n stuff).

don't write off the chance that Ive got it wrong but looks OK to me

from this the expectancy is approximately* +2.30 for every 500 quid in margin so the trade yields 0.458% near as dammit risk-free. You can improve the yield by working orders, nearer the match I assume they chop around a bit more meaning it should be easier to leg in at favourable rates.



* I say approximately because you need to do a mixture of implied probablities and empirical probabilites to figure it out. Bare minumim E(X) = 76p + lottery ticket.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

heres another one for tonight, QPR vs Derby. With this one you need to dime one or two orders, or get filled / have one of the legs trade through. There are a couple of ways you could get it on.

Pays about 2.59 per every 575 in margin (0.83 + lottery ticket)

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

well i waz watchin thiz erlier and it can def be done BO!

 

[Trader333]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

well i waz watchin thiz erlier and it can def be done BO!

I agree and although not quite the same as you have shown here, I did have a big interest in doing this a while back but then other things took up my time. At the time I also used the Excel API to determine automatically if an opportunity existed. I had planned to set things up in a way that would then place the bets as soon as the opportunity presented itself but never got as far as doing this. I think that automating it would make sense because it then comes down to speed of execution to take the opportunity as I noted that sometimes it would not be there for long. I didn't look into football but this is an obvious market to do it from the looks of things.


Paul

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

wat wur u lookin 2 arb?

 

[Trader333]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

Horesracing which is probably not as easy to do as football or even tennis but there were still opportunities to be had. Have you looked at using Excel to help ?


Paul

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

i only got betfair on saturday so no. and I am sh1t at apis and stuff, so unlikely to take it mych further tbh. basically you need an autospreader to get the legs on.

I quickly looked at horses but couldnt see any obvious bets to trade against each other.

 

[rsh01]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

Horesracing which is probably not as easy to do as football or even tennis but there were still opportunities to be had. Have you looked at using Excel to help ?

Paul

i think there is some quite sophisticated arb machines out there - using c++ - in most sports with liquidity esp footy, tennis & horse racing.

in footy you see them scalping time value on match bet all the way down to FT, and pull the machines when its corner (and sometimes this is gd time to jump in as you get some great prices). Tennis through BF has 5 (i think) sec delay when placing order so these are still at disadvantage to someone sitting in the stands with decent pda/phone (though there are only a handful of ppl who do this).

gd thread, thanks.

 

[DashRiprock]

Re: Get Long My Schlong, by Dash Riprock Esq. - serialisation

actually at one point you could have gone to market on all the legs and still got the arb, but a more sensible way IMO is just to be working one order, and if it gets filled go to market on the the less-liquid legs.

Just like spread trading really.