dickiedickieg
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The ALLOCATION models are the top three volume producers in Euribor. NOT the three most profitable.
Pat494
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If automated programs are out there making shedloads of money all around the clock on hundreds of different financial instruments, having been made by some very clever people, then how come they aren't up there challenging Bill Gates for richest man on the planet ?
I did once read an interesting book about 3 nuclear physicists from Los Alamos who made neural nets, but they soon disappeared into the murk.
Computers are still just dumb tools it seems -
maybe trading is more of an art than a science after-all ?????????
I did once read an interesting book about 3 nuclear physicists from Los Alamos who made neural nets, but they soon disappeared into the murk.
Computers are still just dumb tools it seems -
maybe trading is more of an art than a science after-all ?????????
OK I'm surprised that more people don't seem to be affected by these computer allocation models,maybe they are burying their heads in the sand or simply don't post on this forum because everyone I speak to who actively trades Euribor/Short Sterling and Swiss complains about the way the markets have been allowed to develop.
There was another interesting article,this time in the FT on March 19th which goes a long way to answer a couple of earlier posts reckoning that these models actually lose money and that the market that you trade is probably already a target for some big-hitters relying on mathematical models,complex technology and extremely deep pockets to gain a great advantage and with relentless precision more and more market share.
Apparently there are 3 groups based in Chicago using up to the minute technology and highly complex mathematical procedures,relying on transacting huge volumes with great frequency that are quickly becoming a force to be reckoned with.According to disclosures made in late 2006,one of the groups held more than $30 Billion of govt. bonds alone(How much is Bill Gates worth?)It is said that this same group also does more than 5% of all the daily volumes in share trading on the Tokyo Stock Exchanges and the NYSE.I hardly think these models are merrily throwing money at the markets.
The point to this post is that everyone is under-estimating these algorithmic models and it's easy to say "computers will never win" but no-one can deny the rapid growth of them in our markets and they are obviously getting bigger because they are making more than they lose - Eurex reckon that algorithmic models make up 15-20% of their overall business,hardly an inconsiderable amount.I wonder what that amount wil be by 2010?
There was another interesting article,this time in the FT on March 19th which goes a long way to answer a couple of earlier posts reckoning that these models actually lose money and that the market that you trade is probably already a target for some big-hitters relying on mathematical models,complex technology and extremely deep pockets to gain a great advantage and with relentless precision more and more market share.
Apparently there are 3 groups based in Chicago using up to the minute technology and highly complex mathematical procedures,relying on transacting huge volumes with great frequency that are quickly becoming a force to be reckoned with.According to disclosures made in late 2006,one of the groups held more than $30 Billion of govt. bonds alone(How much is Bill Gates worth?)It is said that this same group also does more than 5% of all the daily volumes in share trading on the Tokyo Stock Exchanges and the NYSE.I hardly think these models are merrily throwing money at the markets.
The point to this post is that everyone is under-estimating these algorithmic models and it's easy to say "computers will never win" but no-one can deny the rapid growth of them in our markets and they are obviously getting bigger because they are making more than they lose - Eurex reckon that algorithmic models make up 15-20% of their overall business,hardly an inconsiderable amount.I wonder what that amount wil be by 2010?
NotQuiteRandom
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Hmmmmmm Computers... the great equaliser.
The most rational, well run markets of the future will be those in which all activity is objectified and automated.
As someone who does 80% plus (by $ volume) of his trading on a strictly automated basis I fail to see why all market making, trading and broking should not be done between computers. Far more efficient.
NQR
The most rational, well run markets of the future will be those in which all activity is objectified and automated.
As someone who does 80% plus (by $ volume) of his trading on a strictly automated basis I fail to see why all market making, trading and broking should not be done between computers. Far more efficient.
NQR
NotQuiteRandom
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$spreader. I fail to see that the number of daily trades made is relevant in evaluating the merits of automation but my equity / index future / options thereon transactions (which are all automated) have a mean daily transaction number of 57 with a standard deviation of 19 on a YTD basis. The system I set up for a third party a couple of years ago has averaged over 400 transactions per hour for 2 years with a >1 Sharpe on every rolling 12 month interval to date.
The non-automated stuff I do is on my 'fun' book which is simply some index future / SB, binary and spot FX punting.
This is not about the anatomy of my trading habits however, the point is that any (trading) decision that one can make can be preempted as a function of external inputs. Speculative activity should not be subjective to the degree that one simply 'feels' like executing an order.
On this basis there is no need for professional speculative traders, only algorithm developers / programmers with an understanding of market micro-structure and statistics. The loud mouthed man in red braces has died and been replaced by the young, educated and self made.
NQR
The non-automated stuff I do is on my 'fun' book which is simply some index future / SB, binary and spot FX punting.
This is not about the anatomy of my trading habits however, the point is that any (trading) decision that one can make can be preempted as a function of external inputs. Speculative activity should not be subjective to the degree that one simply 'feels' like executing an order.
On this basis there is no need for professional speculative traders, only algorithm developers / programmers with an understanding of market micro-structure and statistics. The loud mouthed man in red braces has died and been replaced by the young, educated and self made.
NQR
NQR.The system you set up for a 'third party',does that actually complete 400 transactions per hour or is that it could potentially complete 400 transactions per hour?Also is there any human input at all other than switching the computer on?
I fear that most people who read and post on this forum do day-to-day to earn a living what you term 'fun' i.e. non-automated speculative activity and it is because of their input into the markets that in turn keeps you in business.
In an ideal world would you rather everyone have computer models with pre-defined factors determining each and every bid,offer and trade and then to evaluate where to cover for profit or loss so all you've got to do is switch it on in the morning and then check the P+L at the end of the day?
BTW your last paragraph sounds a bit fanatical.
I fear that most people who read and post on this forum do day-to-day to earn a living what you term 'fun' i.e. non-automated speculative activity and it is because of their input into the markets that in turn keeps you in business.
In an ideal world would you rather everyone have computer models with pre-defined factors determining each and every bid,offer and trade and then to evaluate where to cover for profit or loss so all you've got to do is switch it on in the morning and then check the P+L at the end of the day?
BTW your last paragraph sounds a bit fanatical.
NotQuiteRandom
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$spreader, thank you, I would certainly describe myself as fanatical; I think one has to be to do well at anything in the face of >6bn competitors.
In answer to your question, it completes a mean circa 400 per hour - during NYSE hours only - with a standard deviation of approx 22% of that. No human input is required and settlement is also automated. There is really no need for people though historically I can see that there would have been. Automated trading has done away with 90% of back office requirements, all speculative human decision making needs etc. People are so expensive and error prone. Having said that you do need a back office person handy in the event of a settlement issue, though these are rare they are time consuming when they do crop up.
By no means is this special as systems go, all the major investment banks and 1000s of HFs are doing just this, albeit with different algorithms. I would be more than happy if 100% of the market operated on this basis as it would remove fat finger and other human error.
You are right, many people here are into 'fun' trading but look about and you will see plenty of chat about automated trading as well.
NQR
In answer to your question, it completes a mean circa 400 per hour - during NYSE hours only - with a standard deviation of approx 22% of that. No human input is required and settlement is also automated. There is really no need for people though historically I can see that there would have been. Automated trading has done away with 90% of back office requirements, all speculative human decision making needs etc. People are so expensive and error prone. Having said that you do need a back office person handy in the event of a settlement issue, though these are rare they are time consuming when they do crop up.
By no means is this special as systems go, all the major investment banks and 1000s of HFs are doing just this, albeit with different algorithms. I would be more than happy if 100% of the market operated on this basis as it would remove fat finger and other human error.
You are right, many people here are into 'fun' trading but look about and you will see plenty of chat about automated trading as well.
NQR
An interesting perpsective,as I thought the people behind the automated trading are basically seeking more and more market share and trying to drive humans out of these markets altogether including now it seems brokers and even back office staff.How can someone new to the markets compete against these technologically superb models?I respect the previous poster who said that it took 8 years to find a winning formula but how many people can wait that long with bills to pay?Or is it a case of the people that are already running successful programs go from strength to strength and the fresh money just gets slowly sucked away?
If everyone's models gradually stopped executing the trades that historically didn't work and therefore only want to do the potentially good ones what would happen if there were no speculative traders to be the other side?Isn't that a real possibilty ?
If everyone's models gradually stopped executing the trades that historically didn't work and therefore only want to do the potentially good ones what would happen if there were no speculative traders to be the other side?Isn't that a real possibilty ?
$spreader
I think there always will be speculative traders, because not every situation can be automated.
there will always be those times that human intervention is needed.
And if not, there simply will be the fight between the automated systems, so there always will be a market with brains pitted against brains.
by the way: yes it took me 8 years to get consistently profitable, but I only threw in my day job when that happened. To make it, you have to be kind of fanatical, because of the long hours you have to put in. Trading the system is easy, its finding it that takes up almost all my time.
I think there always will be speculative traders, because not every situation can be automated.
there will always be those times that human intervention is needed.
And if not, there simply will be the fight between the automated systems, so there always will be a market with brains pitted against brains.
by the way: yes it took me 8 years to get consistently profitable, but I only threw in my day job when that happened. To make it, you have to be kind of fanatical, because of the long hours you have to put in. Trading the system is easy, its finding it that takes up almost all my time.
By reading through this thread it just seems like $spreader is afraid of losing his edge in the markets.
It was stated earlier in this thread that traders have to adapt or die. It doesn't seem like $spreader is ready to adapt just yet.
Scalping STIRs for ticks will probably solely be done by computers in a couple of years time. I bet that by then $spreader either has adapted to this new environment or is out of the markets for good.
It was stated earlier in this thread that traders have to adapt or die. It doesn't seem like $spreader is ready to adapt just yet.
Scalping STIRs for ticks will probably solely be done by computers in a couple of years time. I bet that by then $spreader either has adapted to this new environment or is out of the markets for good.
Actually I stopped trading STIRS quite a while ago,if you read through other threads in which I've posted and note the dates you would see that I've been trading the Bond/Note spread which goes to show that you really should think before actually making a bet.
As for afraid of losing my edge,it makes no difference to me.I've been involved in futures markets since 1990 and have nothing to prove.I've seen a lot of new traders enter these markets recently,lose money they can't afford to and then wonder what happened and this seemed like a reasonable place to discuss it.
Somebody posts saying that all human elements of the markets should be removed,including firing brokers,market makers,even back office staff and some joker actually comes out against me.
As for computers solely scalping STIRS for ticks in a couple of years time,that really shows that from wherever you're based you don't know about recent developments in containing that(and I'm not talking about LIFFE's new updates to their algorithm) so next time before you post you should do a bit of research before getting it so wrong.
As for afraid of losing my edge,it makes no difference to me.I've been involved in futures markets since 1990 and have nothing to prove.I've seen a lot of new traders enter these markets recently,lose money they can't afford to and then wonder what happened and this seemed like a reasonable place to discuss it.
Somebody posts saying that all human elements of the markets should be removed,including firing brokers,market makers,even back office staff and some joker actually comes out against me.
As for computers solely scalping STIRS for ticks in a couple of years time,that really shows that from wherever you're based you don't know about recent developments in containing that(and I'm not talking about LIFFE's new updates to their algorithm) so next time before you post you should do a bit of research before getting it so wrong.
Pat494
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The piece below is copied from a thread on another wbsite. The thread started off talking about another automated system ( TradeBolt ) which suddenly disappeared without warning or explanation !
Was it bought up by big money and silenced from public utterings ? We may never know, but the site below took over the thread. I am amazed if it is all true but it seems that it will be the way forward for big bucks.
I can relate to your hesistation.
Worrying about the automated system buying tooooo much stock or going Long while the market is crashing, etc. "Points of failure", if you will.
Those were the kinds of concerns I heard back in 2000 and 2001. However, in all of these years and thousands of members running CoolTrade fully automated traders, we have never heard of a single instance where any of it happened. The system has numerous controls built-in to prevent such occurances.
I was nervous when I turned on my first automated trader in 2001 and walked out of the house. I remember dropping my kids off at school and then running in the library to see how my automated traders were doing via the internet. Now I run 5 automated traders trading through TD AMERITRADE, MB Trading, and Interactive Brokers, and I probably only glance at them about once a week.
Once you starting running it and see that you have amazing control over everything that it is doing, you will see that it is an extention of your own trading style, and helping you not jump into the market at the wrong time. It's not a black-box system, where you don't have a clue of what it is doing. It comes with a full built-in live simulator so you can see everything it is doing in simulator mode, for days, weeks, or months, until you are confident in the software and you like the profits it generates, before you ever let it run in live mode connected to a broker.
It's not like you are going to turn it on the first day you download the software and have it trading with real money at a broker.
However, many times people turn it on and see it make $800 on the first day and immediately want to go live. They call the office and say, "how to I go live" right now. Obviously I try to talk them down and virtually beg them to wait at least a week until they understand all that it is doing. With Interactive Brokers, they had to configure the broker's software to talk to CoolTrade, so a lot of people do call before going live. However, with TD AMERITRADE and MB Trading, going live, if you already have a brokerage account, is accomplished with the click of one button, without having to install any additional software.
If you do decide to try it for a month, use this link. You don't have to have a brokerage account with TD AMERITRADE to use the link and get the monthly subscription fee reduced to $39.99/mo.
https://www.cool-trade.com/Default.asp?tda=y
Best to you!
Ed
Was it bought up by big money and silenced from public utterings ? We may never know, but the site below took over the thread. I am amazed if it is all true but it seems that it will be the way forward for big bucks.
I can relate to your hesistation.
Worrying about the automated system buying tooooo much stock or going Long while the market is crashing, etc. "Points of failure", if you will.
Those were the kinds of concerns I heard back in 2000 and 2001. However, in all of these years and thousands of members running CoolTrade fully automated traders, we have never heard of a single instance where any of it happened. The system has numerous controls built-in to prevent such occurances.
I was nervous when I turned on my first automated trader in 2001 and walked out of the house. I remember dropping my kids off at school and then running in the library to see how my automated traders were doing via the internet. Now I run 5 automated traders trading through TD AMERITRADE, MB Trading, and Interactive Brokers, and I probably only glance at them about once a week.
Once you starting running it and see that you have amazing control over everything that it is doing, you will see that it is an extention of your own trading style, and helping you not jump into the market at the wrong time. It's not a black-box system, where you don't have a clue of what it is doing. It comes with a full built-in live simulator so you can see everything it is doing in simulator mode, for days, weeks, or months, until you are confident in the software and you like the profits it generates, before you ever let it run in live mode connected to a broker.
It's not like you are going to turn it on the first day you download the software and have it trading with real money at a broker.
However, many times people turn it on and see it make $800 on the first day and immediately want to go live. They call the office and say, "how to I go live" right now. Obviously I try to talk them down and virtually beg them to wait at least a week until they understand all that it is doing. With Interactive Brokers, they had to configure the broker's software to talk to CoolTrade, so a lot of people do call before going live. However, with TD AMERITRADE and MB Trading, going live, if you already have a brokerage account, is accomplished with the click of one button, without having to install any additional software.
If you do decide to try it for a month, use this link. You don't have to have a brokerage account with TD AMERITRADE to use the link and get the monthly subscription fee reduced to $39.99/mo.
https://www.cool-trade.com/Default.asp?tda=y
Best to you!
Ed
Enlightened
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blackcab said:
Mosts of the trades in the market ARE computer generated already.
MSFT trades over 60 million shares a day. That's not Joe Public trading stocks.
That's institutional computers trading MSFT.
By more people (The Public) going automated, the tougher it is getting for the institutional computer to have their way with the market. Consequently, the institutional computers have to work harder to scalp money from the markets, because they now have more competition than in the past.
Based on the above situation, the manual traders (non-automated) are finding it harder and harder to make money in the market.
E
Pat494
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I don't doubt there are chinks in their armour - not necesarily the same chinks that humans have been wrestling with but some new twist. First find these anomolies and then exploit them.
They won't be the first new generation wunderkind or the last.
They will have their weaknesses.
They won't be the first new generation wunderkind or the last.
They will have their weaknesses.
