Heavily martingdale on futures, NQ 100 futures, and YM futures

(Last Updated On: May 23, 2010)

Here is a conversation on reddit.com which pretty well inspired me tostart thinking about blending my knowledge of technology and financial investment. This was pretty inspiring where an indie software engineer launched his own business. He is now clearing millions. Source is http://www.reddit.com/r/IAmA/comments/9s9d7/iama_100_automated_independent_retail_trader_i/

whatswith_this 1 point2 points3 points 6 months ago[+] (3 children)

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bolln 1 point2 points3 points 6 months ago[+] (1 child)

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locktight 0 points1 point2 points 6 months ago[+] (5 children)

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searching4alpha 0 points1 point2 points 6 months ago[+] (6 children)

searching4alpha 0 points1 point2 points 6 months ago[-]

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Great thread. Have several questions if you have the time. 🙂 1. Do you display your orders or use reserve book/hidden features when adding liquidity?

  1. How much does displayed size factor into your trading. i.e. does bidding/offering infront of size still have juice or have the algo’s neutralized that game.
  2. Do you apply martingale or anti-martingale strategies or is it mainly one shot one kill type of trading? i.e. do you scale in or out, etc.
  3. Did the end of flash trading recently have any effect on your profitablility? (do you think that future regulation of dark pools will)
  4. Do you close most trades at the close (4ET). For example if your trading a mean regression strategy and the mkt is about to close do you exit at the close or if the strategy suggests that its a good trade do you carry it over?
  5. Do you trade the same strategy on Nasdaq and NYSE, do you run a strategy against all symbols that met your min qualifiers to trade, or does one strategy run on large caps, another on nasdaq stocks, another on lower volume stocks, etc, etc.
  6. How much data do your strategies need before they can start to trade. Does the market open and seconds later your trading or does it take a while to collect the data from the prior day.
  7. How important is the book or the depth of mkt for your trading?
  8. Are you hooked into a database so that the strategies take account of their sectors or industries, or group beta’s or is a symbol pretty much a symbol and the strategy doesn’t care.
  9. When you are providing liquidity and collecting a rebate, how do you decide where to place the order (venue wise, infront of size, etc)

Thanks again for taking the time to answer everyone’s questions the last few days.

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mejalx [S] 0 points1 point2 points 6 months ago[+] (5 children)

mejalx [S] 0 points1 point2 points 6 months ago[-]

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  1. Yes, I use it a lot, although you have to have a good model to decide what is legit and what isn’t.
  2. Yes, I utilize a lot of strategies which are generally accepted as bad practices by the retail trading community. I heavily martingale in a futures based strategy.
  3. No. I think more transparency can only help me.
  4. Yes. I don’t carry over because I don’t want to be exposed in after hours or overnight. Also for futures, overnight margins kick into effect, so I would need a completely different capital layout to continue operating.
  5. Yes. The majority of my high frequency equities trading is done on lower volume nasdaq stocks though. The more products I can apply a strat to, the happier I am.
  6. For a couple of them I need a few months of historical data to continuously calculate different distributions and other statistical factors. For others, I need pre-market/futures data, and others just start at 9:30.
  7. Very important, especially in lower volume issues. For example, when I’m trying to push out 100 contracts on the NQ or YM.
  8. Two of my strategies are very industry specific, so I will monitor the industry as a basket and often take multi-leg trades composed of several or even a dozen stocks.
  9. Well, I have detailed statistics on where historically I’ve gotten the best fills, least slippage, and I combine that with real-time data to decide where to route orders.

If you want more specifics, let me know.

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ej271 0 points1 point2 points 6 months ago[+] (3 children)

ej271 0 points1 point2 points 6 months ago[-]

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100 contracts on YM/NQ?? are you serious? E.g. for YM, a 50 point move against you would be 100x$5×50 = 25000 or 3% of your stated 800k capital. Even with hedging, seems like a lot of size.

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mejalx [S] 0 points1 point2 points 6 months ago* [+] (2 children)

mejalx [S] 0 points1 point2 points 6 months ago* [-]

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People misunderstood how much capital I’m working with, due to my title causing confusion. I do 800-1.5m shares a day, on a 2cent/share average, and made a profit of close to 1m last year. BUT 800k would be plenty for the strategy.

I’m doing this or more size on a martingale type strategy. On the NQ, my maximum loss without hedging is around the 20k mark, which I mitigate with options and can get it down to around a third to half of that. Worst case scenario happens on 1.4% of trades. All of this is automated and I don’t tend to stick in issues for 50 ticks at a time; it’s a fast game.

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Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs