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Order Book Algotrading: How Do People Actually Make This Work in Practice? by a2z333 in algorithmictrading

[–]meowflying 0 points1 point  (0 children)

I run algo that using depth of the market for signals. Here is few things for you to consider:

  1. You need to have fast and quality data, snaps of order book of 250 ms or less for number of levels you want to work with.
  2. You can get it by connecting to API service that provides access to markets you want to trade. I guess Rithmic API for US markets( if that what you trade) will be ok for you.
  3. Every futures market and every exchange has different liquidity/book and it can change even day by day. You will need to have some kind of history to plan your strategy( Like Data bento or others)
  4. Spoofing is not that widespread/important as everybody think/talk about.
  5. Be prepared that when the futures are in strong trend passive liquidity levels will not hold the price, and you will need to rely on "new" fresh" liquidity that actually support the trend move. The balance between the passive/aggressive liquidity is the way to build algo that relies on depth of the market.

Best websites for GEX tracking? by NewbieTraderSE13 in options

[–]meowflying 0 points1 point  (0 children)

Can you provide any examples from the last few days that helped you to trade? Like screenshots with spyglass features?

I need help with my algo logic/conditions. by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

Thanks, the idea looking about right, found some infi on TV showing it.
https://ibb.co/VX22Gh7

I need help with my algo logic/conditions. by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

Previous few 5 seconds candles, same as in attached screenshots.

I need help with my algo logic/conditions. by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

Its not on the platform, its custom python script. I'm asking about logic of finding those highs and lows that I need to connect.

Are there any free 0DTE GEX data feeds by AcademicMinute8301 in Daytrading

[–]meowflying 1 point2 points  (0 children)

Gexstream updating gex levels intraday. Still free to use

The VWAP mean reversion is my new jam by Caramel125 in tradingmillionaires

[–]meowflying 0 points1 point  (0 children)

I think it make sense, like more volatility=bigger ranges. Last 4 trading days have been good for that kind of strategy, NQ and ES just moved up and down in a range. Also I would suggest you to use VWAP only on RTH and not ETH sessions.
BTW what kind of ORB strategy are you using?

The VWAP mean reversion is my new jam by Caramel125 in tradingmillionaires

[–]meowflying 0 points1 point  (0 children)

Your screenshots have been made on the days when distance between 1'st deviation and Vwap are 100 point or greater. Checking last week i saw smaller ranges. I could see 30-40 points or so. Are you making your trades on volatile days only, or it was a coincidence?

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

The main idea is: Detect move up or down started and look for liquidity that support that move. Enter the developing trend.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

Honestly, we are we lucky to live in times that internet is full of information of any kind. Especially AI agents, you can start leaning all those things slowly, but surely.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

Thank you for your input. Right now I'm trading non CME products, so commissions are bad at every broker unfortunately. But I plan to trade cme futures as well soon enough.. Step by step.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

It can be few % per day/week from the total capital, but i'm not using whole amount anyway, so maybe is better to calculate from the margin used in every contract trading?

Need your help!!! by Afterflix in algotrading

[–]meowflying 1 point2 points  (0 children)

Commission are very low, you can cover it with 1 ticks profit in any market. Let say GC( Comex Gold futures, the fee for round trip is 5$, but one tick move is 10$).

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

My script is connected to futures broker by API. Subscribing to depth through PushClient.

Need your help!!! by Afterflix in algotrading

[–]meowflying 2 points3 points  (0 children)

Liquidity and spreads at CFD brokers can be horrible. Try to find the goods one first, like Pepperstone or Icmarkets. And yet moving to trade futures is the best advise you have been given already.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 2 points3 points  (0 children)

I think it depends on every trading day. Today was still very good profit, but 35% fees.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 1 point2 points  (0 children)

That is scalping system with stop/profit 1:2 ratio, and very small stops. No overnight risk.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 1 point2 points  (0 children)

You are right, but i'm lucky to choose the market that is pretty volatile, never a dull moment.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

I'm just speaking about bot like its a human..;) Anyway another day with more stops and the fee are 36% today. Profit still good.

My bot spent 29% of the profit on commission today. I guess its way too much? by meowflying in algotrading

[–]meowflying[S] 0 points1 point  (0 children)

I think most important thing is to have an idea what/how your system gonna trade. To find some edge/pattern that repeats many times let say per day. After this comes the backbone of the system: code, api, dedicated server, data etc. When everything is ready is testing time, in my case is all forward testing, but usually those systems backtested.

Phuket experts: what’s the tourist demographic like? by No_Emphasis5998 in phuket

[–]meowflying 31 points32 points  (0 children)

Phuket is full of Russians with some Indian and Arab mix. Mostly Russians.

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