Trading the E-mini

rawrschach said:
IMO TT>CQG>Ninja
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I'm with you on that although I've never tried CQG. The Sierra set-up I am running is via a TT FIX connection so I'm getting the TT order execution/reliability but on a platform with far superior charting and an 'ok' dom. Having said that I've only pushed one trade through this week so it's early days.
 
In terms of data

TT is a terrible feed for order flow as they do a poor job of matching trades against the bid/offer. If you use cumulative delta, footprint charts, or Jigsaw - the results based on a TT Feed will be quite inaccurate.

CQG, IQFeed, Kinetick should be tick for tick the same. I've run all three and whilst IQFeed/Kinetick were dropping the ball on Eurex a while back they are lock-step the same. Same with Tradestation feed - you run Tradestation, Kinetick, IQFeed, CQG next to each other and you see exactly the same thing.

CQG has a bit of an edge in that it gets given away for free by some brokers.

Zenfire also has similar issues to TTFeed but the key with TTFeed and Zenfire is that they are execution level feeds. They are geared around keeping you up to date on price no matter what happens. they do this by dropping certain messages. For the clean feeds like CQG/Kinetick/IQFeed you can get lags at peak times because they send you everything.

More here:

https://www.mirusfutures.com/video/Data_Vendor_Trading_Engine/Data_Vendor_Trading_Engine.html
 
DT, really useful info thanks.

Have you ever noticed a situation where a TT feed will be posting incorrect volume levels, just simple volume I don't use T&S or DOM.

I ask as like Robster I'm currently trialling Sierra with a TT feed, and so far I have seen no discrepancies between Price and Volume on this when comparing to eSignal. Not saying eSig is perfect of course, this may suffer from similar issues.
 
T44 said:
DT, really useful info thanks.

Have you ever noticed a situation where a TT feed will be posting incorrect volume levels, just simple volume I don't use T&S or DOM.

I ask as like Robster I'm currently trialling Sierra with a TT feed, and so far I have seen no discrepancies between Price and Volume on this when comparing to eSignal. Not saying eSig is perfect of course, this may suffer from similar issues.
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Volume should be fine because it's Level 1 bid/ask values that get dropped, generally speaking with TT, you should get all the trades coming through.

One odd thing though - if you compare the volume profile from IQFeed/Kinetick/CQG - they will be very, very close but then you switch to TTFeed based and it does seem to be off.

I can't explain why this is but based on what I have seen, it's TTFeed that does it.

Still - your volume profile doesn't need to be perfect, as long as the distribution is the same.
 
One thing you can do Rob - if you have TT & Sierra.

Go & get a trial of CQG & Ninja here: NinjaTrader Online Futures Trading Platform | Amp Trading

You can then run Sierra T&S against Ninja T&S to compare TT Feed against CQG. It helps to video it and replay it slowly so you can see the issue.

If you think the difference will make a difference for you, you can hook IQFeed into Sierra as that will fix it.
 
wackypete2 said:
markets are about as lifeless as I've ever seen them (n)

Peter
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not great volatility last few hours is there. cable has had a range of 50 pips or so in the London session to date, if you want volatility it's cable and WTI all the way.:confused:
 
cablemonster said:
not great volatility last few hours is there. cable has had a range of 50 pips or so in the London session to date, if you want volatility it's cable and WTI all the way.:confused:
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I don't really feel it that much on ES - you do get ok moves even though vol is low. Just a different pace, no better, no worse.
 
robster970 said:
I don't really feel it that much on ES - you do get ok moves even though vol is low. Just a different pace, no better, no worse.
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absolutely there is no right or wrong, I suppose with the thicker instruments like ES & FESX aspects like inventory and queue position are more important.

did you try that cheeky early queue position strat I was on about last week? I want to try it out but cant be ar5ed opening a futures account.

GTTY
 
cablemonster said:
absolutely there is no right or wrong, I suppose with the thicker instruments like ES & FESX aspects like inventory and queue position are more important.

did you try that cheeky early queue position strat I was on about last week? I want to try it out but cant be ar5ed opening a futures account.

GTTY
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Note yet amigo - will have a good run at it after easter week for a few weeks and report back conclusively on whether it worked for me or not.

I can see if you are doing 500+ lots why this would work as a strat. If I can't get it to work on 1 lot then I probably need shooting. :eek::whistling
 
25/03/2013 13:35 Market Buy Open 1555.25
25/03/2013 13:44 Market Sell Close 1556.5

An ok entry off the rejection of Friday's high but below par reading once in flight. Thought it was stalling about 1pt and took an early bath although I could have held on for another 1.5pts really.

Struggling to read the tape on Sierra or should I say struggling to adapt to reading the tape on Sierra. Pretty sure the tape isn't bad. My bad. Well, not bad just not brilliant.
 
March 27th

10:00am Pending Home Sales, Crude
mid-morning - FOMC members speaking

Last week Range 1531.75 -> 1560.50
Last weeks Value 1539.50 -> 1552.00

Yesterdays Range 1546.75(globex)1550.25 (pit) -> 1558.75
Yesterdays Value 1551.75-> 1556.00
Globex Range 1548.00 -> 1560.50
Yesterdays Close 1557.25

Currently in a range 1530-1560, so looking to see if we break yesterdays low to carry on down. If it does break down, looking at 1539 and 1535.75 as obstacles.

To the upside, looking at 1562 being an obstacle if we do pierce the range high.

We look set to be gapping down though, so look for responsive buying off the open.
 
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I'm still not great today so may duck out, even though I have planned for today.

Couple of minor additions to Pedro:

a) It looks like an open out of range to the downside so I'll also be looking for a lack of responsive buying at the open to indicate a drive down.

b) If buyers do step in on the open, what it does around 56 will be my main focus.
 
Down 2pts - went short, 46.25 thinking it was going to drive down after a little wriggle. Wrong! I think that is my first loser for a few weeks.
 
So part of me was surprised today at losing, in part because:

a) It had opened so far away from the gap close & S/R that the chances of it being pulled back seemed small

b) Delta was about -35k on open which is a big bias at open

c) The prevailing trend had been downwards

All 3 things gave me a short bias and any hint of weakness was taken as a sign of getting in. However it was not to be and had I followed the price action with a greater degree of impartiality, a long position would have been in order by minute 9 of the session.

This is just a reminder more than anything else that you should trade what you see and not what you think.

The probability of a gap close today is 35% according to FT71.
 
robster970 said:
So part of me was surprised today at losing, in part because:

a) It had opened so far away from the gap close & S/R that the chances of it being pulled back seemed small

b) Delta was about -35k on open which is a big bias at open

c) The prevailing trend had been downwards

All 3 things gave me a short bias and any hint of weakness was taken as a sign of getting in. However it was not to be and had I followed the price action with a greater degree of impartiality, a long position would have been in order by minute 9 of the session.

This is just a reminder more than anything else that you should trade what you see and not what you think.

The probability of a gap close today is 35% according to FT71.
Click to expand...

Your judgement might be off as you are ill. I had man flu last week and the lemsip max clouded my judgement.
 
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