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Tuesday, October 4, 2022

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Order Book trading on futures , better then graph for scalping?

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 Quentin Depigny, Co Founder & Export Sales Manager at Wine International Axis

 Thursday, August 7, 2014

I'm very interested in Order Book trading for futures market. I have been active on the forex market but recently ran across the book order scalping methods and they look just incredibly more profitable, easy to read and efficient ! Anybody with experience please do share your thoughts, is it "better","easier" etc... Also, does anybody know is automated system for order books can be created? Thanks ! Quentin


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5 comments on article "Order Book trading on futures , better then graph for scalping?"

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 Alex Krishtop, trader, researcher, consultant in forex and futures

 Monday, August 18, 2014



Jonathan, I tried the adjusted parameters and the equity curve got far worse. I wonder why did you publish the code and the article if you made no attempt to optimize these parameter settings? I mean, if you saw from the beginning that the system didn't work, why did you post it as a proof of concept for your article?


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 Jonathan Kinlay, Quantitative Research and Trading | Leading Expert in Quantitative Algorithmic Trading Strategies

 Monday, August 18, 2014



I would hardly have posted a system that I knew didn't work. Indeed, the Tradestation performance report indicates that it works quite well (with the usual caveat about fill rate assumptions that Tradestation makes). I have emails from people telling me that they got it to work exactly as shown, whereas others, like yourself, have reported issues. So it's a conundrum.


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 Jonathan Kinlay, Quantitative Research and Trading | Leading Expert in Quantitative Algorithmic Trading Strategies

 Monday, August 18, 2014



I notice that the performance report indicates that I was using a specific ES contract (June 14), rather than the continuous @ES contract. Also, the session times were restricted to 08:30 to 15:14. That may make a difference. No reason why the strategy could not be recalibrated to work on the continuous contract though.

It might a good idea to carry out a (walk-forward) optimization test. I didn't do that, I just used fixed parameters that I plucked from thin air (well, there is some underlying logic, of course, but the parameters were not optimized, I assure you).


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 Scott Boulette, Algorithmic Trading

 Monday, August 18, 2014



@Jonathan, I have not tried the code as I took the point of the article to be instructive rather than an actual live strategy. Your approach is one I have found to be the basis for profitable scalping strategies.

I would find a thread on this interesting if you decide to start one, pm me (I am a moderator in this group so I will eventually see it anyway). I think this is interesting enough that it would be easy to inadvertently hijack this thread with a tangential discussion.


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 Quentin Depigny, Co Founder & Export Sales Manager at Wine International Axis

 Monday, August 18, 2014



Hey everyone,

Thanks for the feedback and comments on the post. All very interesting stuff here.. I have to say for some part i'm out of the league as I am not familiar with certain markets and knowledge but it's great learning about them.

@Jonathan , thanks for the link ! all very in-depth work you give there.. very detailed too it's nice to see it illustrated like that too.

So that strategy was for Futures, is there a reason why you would choose futures above Forex?

Please do let me know... I guess it is once more questions of volatility and market preferences but I'd like to understand better if - and I do think so - that some automated strategies work a lot better on certain markets only. That being said, forex is indeed not an easy one, and it looks like many traders are active with automated systems on equities and futures...

Thanks !

Quentin.

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TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
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