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I have a question about a trader on the Leaderboard - mark101rrrr. The majority of his scalps are either 1 second or 0 time in the market. How is it possible to be in a trade for 0 time? There are sequential strings of these trades. I trade live and once in a while something like that will occur. But it's very infrequent. I've attached a screenshot of his trades. I'm curious because I also scalp the CL and do very well (thanks to John Grady). I tracked mark101rrrrs' trades over a period of a month, used market reply to see if any of them were feasible. I couldn't find a single trade out of 100 that entered and exited in 0 time. Is this a function of the demo account? I trade live but market replay should at least mimic a couple of these trades.
Would be interested to know what you think.
Also, what is the EXPF market type? Is that another exchange?
some softwares do not include in their messages if a instrument is a futures contract, stock or option etc.
In DayTradr this is then shown as EXPF. "external platform".
Sim and backtest results are always questionable. In DayTradr you also get a fill of thousands of DAX contracts at a level without problem when I was testing it...
Regarding the ultrafast fill: perhaps it would make sense if Jigsaw built in some delay in regard to the simulated order execution.
I've been missing these - thanks to Spamdrain not notifying me!
daytradr is truly multi-threaded. In our architecture, we do it like this...
- each inbound feed is managed on it's own thread (each L1/L2/History subscription)
- data is then disseminated to tools - like position monitor, depth & sales etc. - onto it's own thread. That means that an instance of a tool like D&S which uses L1, L2 as well as position/order subscription - has 1 thread per set of inbound data.
- UI is on a seperate thread - so in an instance of depth & sales - we may have 6 inbound data threads and a single UI thread rendering data - but the UI thread is throttled to only repaint changed areas
We do the same thing for other internal operations like strategies, volume stops - where any 1 instance has it's own thread.
I presume you built your PC already - but it's still worth putting out there. If you use something like Process Hacker - you'll see the threads created/killed as it's running.
Now - when the market gets heavy, there's a simple way to tell if the data is lagging or if it's CPU/UI bound.
If an app appears to slow down, then click the top of one of the windows & try to move it. If it won't move - you hit a CPU/UI limit. If it does move, it's a lag in the data getting to you.
The data lags manifest in 2 ways
- a difference in reporting between L1 and L2 pricing - as L2 is much heavier, it can lag. This is less normal on CQG driven feeds as CQG delivers the 2 together
- overall slowdown
Each data provider goes through periods where they get data issues. In my experience, they come out of the blue, tend to last 1 or 2 weeks and tend to hit many people at the same time.
So - check task manager for CPU usage & try to drag a window if you see a lag in an app.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
We are still planning to allow tag maintenance but as I'm sure you are aware - we have a lot of stuff in the pipeline.
What has been done is we've changed the UI to show the most recently used tags at the bottom of the journal entry page - so the ones you don't use will either be at the end or off the bottom of the page.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
What's happening with EXPF - is the trades are from a platform that does not hold the instrument type, we tag it as EXPF.
For the large fills on SIM - if you put in a market order for 10,000 on DAX - you will slip all the way into next week. The fill issue comes on limit orders where the REAL market moves down through your big limit order. We could either leave the limit order unfilled there or fill it. We currently fill it.
So - question - do you think the best solution is to fill some & cancel the rest? Or leave a limit bid above the market? Or other?
Genuinely interested in your thoughts.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Hope Mike is OK with this. For those on JX - we uploaded phase 1 of ProfitSeeker today...
It's a very nice way to navigate through your trading data - with drill downs etc - there's some ideas below on how to navigate around and review the impact of trading plan rules like "3 strikes and you stop.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
Sorry that I can't help with your questions. But can you help me understand how to understand the snapshot? I know that it shows the numbers of bids or offers that are stacking up or pulling out, but I still don't know how determine if something is pulling out or stacking up. I'm especially confused by the negative numbers that show up on the snapshot column. Thanks again!
IMO the SIM should be as realistic as it could be.
We never know how our order would impact market behavior.
Once, in a thin market, my 10 contracts had an impact.
It doesnīt have to be 10.000. When you look at the ES sometimes there trade only 30 contracts at a level and then price reverses.
Thatīs why I think in SIM you should only get what was actually trading because that we know for sure.
At the time when I was looking at this nothing slipped into the next period.
As said, itīs some while ago that I looked at this. Perhaps you have already improved the app.
I tested also with ES and CL and put in some hundred contracts over several levels.
I got not only more contracts than actually traded in a specific time period but while the market was moving up and down through my limit orders the Application had problems to calculate the correct PnL.
The final result was wrong and other stats. like drawdown, too.