F-Forex, High frequency trading, Quantitative algorithmic trading.

Classic Trend Day market profile

September 7, 2011 – 5:05 pm | by trader

Yesterday the market started to get up from the lows created by the employment numbers of last friday and the Europe debt concerns. Today the market follow this upside move and all timeframes aligned in the bull side creating a trend day.

In market profile, a trend day is identified by constant directinal action to one side for almost all day with each 30 minutes period higher to the other. Check the split of today action:

1197.50

1197.25

1197.00

1196.75

1196.50

1196.25

1196.00

1195.75

1195.50

1195.25

1195.00

1194.75

1194.50

1194.25

1194.00

1193.75

1193.50

1193.00

1192.75

1192.50

1192.25

1192.00

1191.75

1191.50

1191.25

1191.00

1190.75

1190.50

1190.25

1190.00

1189.75

1189.50

1189.00

1188.75

1188.50

1188.25

1188.00

1187.75

1187.50

1187.25

1187.00

1186.75

1186.50

1186.25

1185.75

1185.50

1185.25

1185.00

1184.75

1184.50

1184.25

1184.00

1183.75

1183.50

1183.25

1183.00

1182.75

1182.50

1182.25

1182.00

1181.75

1181.50

1181.25

1181.00

1180.50

1180.25

1180.00

1179.75

1179.25

1179.00

1178.75

1178.50

1178.25

And the complete profile:

1197.50 k
1197.25 k
1197.00 kl
1196.75 km
1196.50 kl
1196.25 klm
1196.00 klm
1195.75 kl
1195.50 jklm
1195.25 klm
1195.00 l
1194.75 jlm
1194.50 jm
1194.25 jlm
1194.00 jlm
1193.75 jm
1193.50 jm
1193.00 m
1192.75 him
1192.50 hjm
1192.25 him
1192.00 hij
1191.75 hi
1191.50 hi
1191.25 hi
1191.00 hi
1190.75 ghi
1190.50 gi
1190.25 gi
1190.00 gh
1189.75 gh
1189.50 gh
1189.00 g
1188.75 ef
1188.50 efg
1188.25 def
1188.00 def
1187.75 df
1187.50 ef
1187.25 def
1187.00 de
1186.75 de
1186.50 d
1186.25 d
1185.75 d
1185.50 bd
1185.25 b
1185.00 b
1184.75 bd
1184.50 bcd
1184.25 bd
1184.00 bc
1183.75 bc
1183.50 bcd
1183.25 bcd
1183.00 abcd
1182.75 abc
1182.50 ac
1182.25 ac
1182.00 ac
1181.75 ac
1181.50 0ac
1181.25 a
1181.00 a
1180.50 a
1180.25 a
1180.00 a
1179.75 a
1179.25 a
1179.00 a
1178.75 a
1178.50 a
1178.25 a

Tags: es market profile, Market Profile, market profile trend day, trend day in the ES

No Comments | Posted in » Market Profile

Getting up market profile

September 6, 2011 – 10:48 pm | by trader

The market formed value to the upside 3 times today closing on it highs. The market wasnt able to reach friday close, the market pushed down during labor day with no volume. This was seen as opportunity today for the bulls.

1165.50 m
1164.00 m
1163.50 m
1163.00 m
1162.50 jm
1162.00 j
1161.75 j
1161.50 j
1161.25 jk
1161.00 jk
1160.75 jk
1160.50 jkm
1160.25 k
1160.00 km
1159.75 jm
1159.50 jk
1159.25 km
1159.00 km
1158.75 km
1158.50 km
1158.25 ijk
1158.00 jm
1157.75 ijk
1157.50 ikm
1157.25 ijm
1157.00 ijk
1156.75 k
1156.50 ijkm
1156.25 jl
1156.00 ijkl
1155.50 l
1155.25 l
1155.00 l
1154.75 hl
1154.50 hil
1154.25 fhil
1154.00 fhlm
1153.75 fhilm
1153.50 fhlm
1153.25 film
1153.00 fghlm
1152.75 ghlm
1152.50 fgil
1152.25 fghil
1152.00 gil
1151.75 ghi
1151.50 fgh
1151.25 efgh
1151.00 efg
1150.75 befg
1150.50 fgh
1150.25 bef
1150.00 ef
1149.75 bef
1149.50 e
1149.25 be
1149.00 bde
1148.75 d
1148.50 bde
1148.25 de
1148.00 de
1147.75 abd
1147.50 bde
1147.25 b
1147.00 e
1146.75 ad
1146.50 d
1146.25 a
1146.00 ab
1145.75 a
1145.50 bd
1145.25 cd
1145.00 d
1144.75 ad
1144.50 abc
1144.25 abd
1144.00 abcd
1143.75 bd
1143.50 acd
1143.25 abd
1143.00 abd
1142.75 abc
1142.50 b
1142.25 b
1142.00 ab
1141.75 ac
1141.50 ac
1141.25 ac
1141.00 ac
1140.75 c
1140.25 ac
1140.00 c
1139.50 c
1139.25 c
1138.75 c
1138.25 0

Tags: es market profile, Market Profile, trading with market profile

No Comments | Posted in » Market Profile

Double Distributions in lower S&P Market.

September 2, 2011 – 11:50 pm | by trader

As employment data was released today with very bad numbers we were expecting more lower auctions for today. After testing the opening levels the market was ready to trade lower in the afternoon and find some value down there.

1184.75 e
1184.50 f
1184.25 ef
1184.00 bde
1183.75 def
1183.50 bdf
1183.25 bef
1183.00 def
1182.75 abdef
1182.50 bde
1182.25 bdefg
1182.00 befg
1181.75 bdefgh
1181.50 abdeg
1181.25 abdfgh
1181.00 abcg
1180.75 abdegh
1180.50 bdh
1180.25 bcdh
1180.00 abcd
1179.75 ach
1179.50 acdh
1179.25 i
1179.00 abchi
1178.75 0ch
1178.50 chij
1178.25 achi
1178.00 achi
1177.75 achij
1177.50 chij
1177.25 cij
1177.00 cij
1176.75 aij
1176.50 aci
1176.25 aijm
1176.00 j
1175.75 acjm
1175.50 m
1175.25 am
1175.00 m
1174.75 m
1174.25 jm
1174.00 jm
1173.75 jm
1173.50 jm
1173.25 jm
1173.00 jkm
1172.75 jkm
1172.50 jm
1172.25 jklm
1172.00 klm
1171.75 klm
1171.50 kl
1171.25 klm
1171.00 kl
1170.75 kl
1170.50 kl
1170.25 l
1170.00 kl
1169.75 kl
1169.50 l
1169.25 l
1169.00 l

Tags: double distribution, employment data, Market Profile, markets in profile, unemployment

No Comments | Posted in » Market Profile

Market profile analisys of septemer 1st

September 1, 2011 – 10:14 pm | by trader

This is the market profile from august 31:

1229.50 b
1229.25 b
1228.75 b
1228.50 b
1228.25 c
1227.75 bc
1227.50 bc
1227.25 bc
1227.00 bc
1226.75 bc
1226.50 abc
1226.25 abc
1226.00 ch
1225.75 abc
1225.50 abc
1225.25 abc
1225.00 bch
1224.75 abh
1224.50 dh
1224.25 acdg
1224.00 adgh
1223.75 dgh
1223.50 adgh
1223.25 acdgh
1223.00 adghi
1222.75 dfgh
1222.50 dfghi
1222.25 adfghi
1222.00 dghi
1221.75 defghi
1221.50 defghi
1221.25 efhi
1221.00 adefhi
1220.75 adefh
1220.50 aem
1220.25 def
1220.00 efim
1219.75 adei
1219.50 adeim
1219.25 adefim
1219.00 dei
1218.75 0fm
1218.50 aefj
1218.25 aijm
1218.00 efi
1217.75 eijkm
1217.50 fjm
1217.25 j
1217.00 jk
1216.75 jk
1216.50 jk
1216.25 jkl
1216.00 klm
1215.75 jm
1215.50 jklm
1215.25 m
1215.00 jkm
1214.75 klm
1214.25 klm
1214.00 km
1213.50 k
1213.25 kl
1213.00 km
1212.75 km
1212.50 l
1212.25 km
1212.00 kl
1211.75 l
1211.50 kl
1211.25 kl
1211.00 l
1210.50 l
1210.00 kl
1209.75 l
1209.00 l
1208.75 l
1208.25 l

this was a perfect normal distribution day, a late excursion to the lows at “k” period was followed with a movement to the center of the range in responsive action. After a day like this we can expect more indecision for the next one or a more directional day. As we were in a short term uptrend, August 31 could be the end of the up movement and start some lower trading.

The complete profile for today activity(sep 31) was a double distribution day:

1228.50 b
1226.75 b
1226.50 b
1226.00 b
1225.75 b
1225.00 b
1224.25 b
1224.00 b
1223.50 b
1223.25 b
1222.75 b
1222.50 b
1222.25 b
1222.00 b
1221.75 b
1221.50 c
1221.25 b
1221.00 bc
1220.75 b
1220.25 c
1220.00 ac
1219.75 bc
1219.50 abe
1219.25 bce
1219.00 cefg
1218.75 ceg
1218.50 cefg
1218.25 cefg
1218.00 acefg
1217.75 defg
1217.50 0acdfg
1217.25 cefg
1217.00 acdefg
1216.75 acdefg
1216.50 acdeg
1216.25 adefg
1216.00 adf
1215.75 adfg
1215.50 deg
1215.25 ag
1215.00 dh
1214.75 adgh
1214.50 ah
1214.25 dhi
1214.00 ad
1213.75 bdh
1213.50 dhi
1213.25 ahi
1213.00 ahi
1212.75 hi
1212.50 ah
1212.00 a
1211.75 hi
1211.25 i
1211.00 i
1210.00 i
1209.75 ik
1209.50 ik
1209.25 ik
1209.00 ik
1208.75 ik
1208.50 kl
1208.25 k
1208.00 ikl
1207.75 il
1207.50 ijkl
1207.25 jk
1207.00 ijkl
1206.75 jlm
1206.50 kl
1206.25 jlm
1206.00 jlm
1205.75 jlm
1205.50 jlm
1205.25 jlm
1205.00 jlm
1204.75 jlm
1204.50 jm
1204.25 lm
1204.00 m
1203.50 m
1203.25 m
1203.00 m

The market created value at the highs during the first half of the day. Then, the sentiment changed and market moved lower, market formed value in the lows accepting the new levels.

As the jobs data will be released tomorrow longer term investors don’t want to keep their long positions in front of it so they close them making the market trade lower.

Tags: Market Profile, market profile double distribution, market profile futures, market profile normal day, markets in profile, value area, value area trading, value trading

No Comments | Posted in » Market Profile

Market profiles for August

August 31, 2011 – 5:10 pm | by trader

Here are the individual, overlays and other forms of profile used to day trade during august. profiles help the day trader to found value areas, points of control, key areas, tails and much more.

Value area is one of the most important things a day trader can have, a market away from value area will return to value in a responsive market, while initiative movements outside value area can create new value levels.

Tags: day trading, Market Profile, market profile trader, market profile trading, market profile value area, normal destributions, trading market profile, value area, value trading

No Comments | Posted in » Market Profile

Fed’s on the Ready

August 10, 2011 – 10:55 pm | by trader

Both U.S. Fed and Euro Zone Fed ( ECB ) have verbalized and taken measures to stem market sell off. But is it to little to late: ECB in retrospect , on their tightening decisions, months and Weeks back, wrong approach. On the table: Economic weakness in U.S. Downgrades in Europe and U.S. Erosion in confidence. Risk off trade by long term investors. Enormous amount of increase in short-side open- interest in ESU’s-SPU’s. Trend line Macro: 3/6/09/ = 665.00 downside violation 8/5/11 = 1261.00 Near term recent bottoms = 1002.75 (7/9/10) and 1037.50 (9/3/10) U.S. 30 year bond 3.50 %, yield not seen since 8/26/10 equivalent futures levels 138′10-15 area.

Tags: ecb, euro zone fed, nko group, rich canlione, us fed

No Comments | Posted in » Report Videos

Mini S&P-500 Market Profile archive for July

August 1, 2011 – 4:43 pm | by trader

Market profile charts of July for the Mini S&P. Profiles uses data from market open at 8:30 to 15:00 Central Time. This is the most active time for this markets.

http://fforex.me/wp-content/content/market_profile/es_2011_07_01_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_05_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_07_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_08_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_11_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_12_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_13_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_14_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_15_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_18_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_19_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_20_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_21_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_22_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_25_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_26_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_27_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_28_profile.txt

http://fforex.me/wp-content/content/market_profile/es_2011_07_29_profile.txt

Tags: market auctions, Market Profile, markets in profile, open drive, value, value area, value trading

No Comments | Posted in » Market Profile

Earnings Strong, Market Still on the Fence

July 20, 2011 – 11:01 am | by trader

Good earnings giving U.S. Markets support from different sectors as well helping abate Euro-Zone.
Debt concerns and U.S. debt ceiling concerns .

AAPL
ABT
JP
C
GooG

Still in a range no breakouts yet : Looking for Weekly closes over 8 day Avg. in SP’s looking to by short term breaks;

F.V. = (-4.16)

ESU : 50 Day Avg. = 1311 8 = 1316 100 = 1316 200 = 1279

USU still in range trade : 6/30/11 122′05 / 4.45% 7/12/11 127′15 / 4.125%

DXY: 50 Day Avg. = 75.01 8 = 75.37 100 = 75.13 200 = 76.90

Tags: mr topstep, nko group, rich canlione

No Comments | Posted in » Report Videos

Lucre Capital Web Access problems and conclusions for now

July 15, 2011 – 12:04 pm | by trader

i have more strategies that i can implement to my system, the problem is that lucre capital has suspended their web access to traders in demo accounts since about a few days so, i can’t see my positions or export my spreadsheets. this makes impossible to continue with my investigation. This really frustrated me, but i know they are working on it.

I will continue with lucre when they can fix the problem moving on to somewhere else for now.

i can probably build a strategy to trade at the cme globex(http://www.cmegroup.com/globex/developing-to-cme-globex/), i will be researching on that maybe, there are some other options also available.

Tags: cme group developer, financial developer, globex developer, high frequency trader, quant trader

No Comments | Posted in » High Frequency Trading

Algo strategy possible modifications to improve results

July 15, 2011 – 11:59 am | by trader

as the initial strategy didn’t worked, i have several approachs to modify it and make it work. as i have all the system in place, it is a matter to change some things to see if one of the changes end up with something profitable. between the options i have the following:

1- same risk and reward: instead of having that huge stop loss, calculate how far is the level in question and use the same distance as stop loss. for example if eur/usd is right now at 1.412, biggest amount of orders are of sell type and in the 1.415 level; if strategy go long now the expected profit if the 1.415 gets hitted will be of 0.003 pips. 0.003 should be the stop loss in this scenario too, making a 1:1 risk:reward trade.

2- use support and resistance levels: instead of just going to the levels another strategy could be use the levels as what they really are supposed to be. if market is at at 1.412, support is at 1.415, lets wait until this 1.415 gets hitted and if it does, place a sell order there. expect the market to retreat a bit when the support level gets hitted, i am not sure how much, could depend i n the amount of volume.

3- no stop go untouched

4- exit trades after certain fixed time pass.

Tags: High frequency business, Lucre Capital, order book trading strategy

2 Comments | Posted in » High Frequency Trading

F-Forex, Diary of a quant forex trader

Classic Trend Day market profile

Getting up market profile

Double Distributions in lower S&P Market.

Market profile analisys of septemer 1st

Market profiles for August

Fed’s on the Ready

Mini S&P-500 Market Profile archive for July

Earnings Strong, Market Still on the Fence

Lucre Capital Web Access problems and conclusions for now

Algo strategy possible modifications to improve results

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