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If I understand how your using the stop limit orders, You are setting the
Stop limit and max limit equal to the same price. I never thought of trying
that. Please correct me if this is wrong.
Jerry
> -----Original Message-----
> From: Simon Campbell [mailto:simtrader@xxxxxxxxxx]
> Sent: Monday, November 19, 2001 2:39 AM
> To: omega-list@xxxxxxxxxx
> Subject: RE: Profit Taking --- Round 2 --- Other Alternatives
>
>
> This depends on the type of online system you use. For
> myself, I see ZERO
> slippage on entry because I always use stop-limit orders
> (same stop & limit
> price) and get filled 99 times out of a 100. Not all systems offer
> stop-limit orders. For exiting with profit I use Limit
> orders (i.e. no
> slippage) and with loss I use plain stop orders. I
> occasionally see a tick
> of slippage on stop orders but most of the time the fill is
> at my stop price.
>
> If you use an online system where stop orders are held on the CME's
> servers, then slippage is usually minimised because your
> order is queued
> and filled according to when it was received. Execution is
> instantaneous
> as the price is hit (I often see the fill before my screen shows the
> quote!). By contrast, if you go with a firm that holds your
> stop orders
> locally on their servers (e.g. IB, PMBe), then the order is
> only released
> after the stop price is hit i.e. your order gets lowest priority and
> results in a few seconds extra delay. The potential for
> slippage on such
> systems is much higher than systems that let you hold stops
> at the CME.
>
> S.
>
> At 08:50 PM 11/18/2001 -0500, you wrote:
> >What kind of slippage do you see on the NQ?
> >
> >-----Original Message-----
> >From: Bob Heisler [mailto:BHEISLER@xxxxxxxxx]
> >Sent: Sunday, November 18, 2001 5:31 PM
> >To: TaoOfDow; Rich Tuchow
> >Cc: omega-list@xxxxxxxxxx
> >Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
> >
> >
> >One addition to the Mini thread...take a look at the NQ if
> you haven't
> >already done so. I've found the NQ to be greatly preferable
> to the ES on
> >most occasions and only trade the ES when I think I have to, and then
> >grudgingly so. The margin requirements are about the same
> but the NQ is
> >normally cleaner, has less noise and trends better - all of
> which make it
> >easier to manage a trade.
> >
> >It moves about 3 points to every 1 point on the ES right
> now, so during the
> >day I am always looking to see if it's easier to get 6
> points on the NQ or 2
> >points on the ES, and in which direction(s). These aren't profit
> >objectives, just my way of determining which contract is
> best to trade in
> >the current environment. Being willing and able to trade
> both/either can
> >come in very handy especially on those days where the
> Dow/Nasdaq diverge
> >(buy the stronger/sell the weaker). You may also find that
> the best trading
> >conditions usually exist when the Nasdaq is leading the charge.
> >
> >Bob
> >
> >----- Original Message -----
> >From: "TaoOfDow" <TaoOfDow@xxxxxxxxxxxxxx>
> >To: "Rich Tuchow" <rtuchow@xxxxxxxxxxxxxxx>
> >Cc: <omega-list@xxxxxxxxxx>
> >Sent: Saturday, November 17, 2001 10:22 PM
> >Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
> >
> >
> > > Dear Rich,
> > >
> > > It has been fruitful to me to consider several
> possibilities that are "out
> >of
> > > the box" that you have considered --- some of these have
> been mentioned by
> > > others, notably Ted & Bob.
> > >
> > > 1. Trading multiple contracts, each under its own
> parameters. The fellow
> >in my
> > > mind most associated with this idea is Joe Ross, of
> "Ross Hook" fame, who
> > > advocated trading threes: taking one off after making
> one's commission
> >expenses;
> > > the second off after making a few, predetermined number
> of points; and the
> >last
> > > off upon hitting a trailing stop set up to catch a
> substantial move. Ted
> > > elaborates on this specifically and Bob generally. I
> recall Bill Williams
> > > saying that his hardest time trading was trading one-lots
> (and secondarily
> >any
> > > fixed number of contracts, all or nothing), and I find it
> emotionally
> >easier to
> > > trade several contracts, each with its own rules, than
> one size all or
> >nothing.
> > > That having been said, I find it easier still to trade
> one size all or
> >nothing
> > > very tightly (see #2 below) as well as varying the size
> of my entry
> >depending on
> > > the size of the anticipated move. This is one of these
> situations like
> >Justice
> > > Stewart who in answer to the question, "What is
> obscenity?" Replied: "I
> >can't
> > > give you a definition, but I know it when I see it." I
> can't give you an
> > > objective description of "This is the start of a big
> move." But every now
> >and
> > > then, something goes off in me when I see something on
> the screen, and
> >what goes
> > > off in me says "Start of big move --- This is an
> opportunity --- Be
> >courageous
> > > --- Don't fuck up and play chicken --- Commit!!!" And
> for reasons that I
> >can't
> > > explain, my feelings more often than not (much more often
> than not) will
> >be
> > > realized. I just wish I had some control over whatever
> it is that goes
> >off in
> > > me. It just happens, often without my expecting it, in
> fact when I
> >usually
> > > least expect it. I've learned that it occurs, if at all,
> only when I have
> >let
> > > it go and am not looking for it. For a control freak
> such as myself who
> >was
> > > trained and has worked largely in analytic environments,
> it has been a
> >real
> > > challenge for me to get out of my analytic and into my
> intuitive. All I
> >can say
> > > is that I seem to be more successful as a trader when I
> rely less on my
> >analytic
> > > and more on my intuitive, although this has indeed been a
> long, difficult,
> >and
> > > stressful learning experience for me, and I still have
> much yet to learn
> >with
> > > it.
> > >
> > > 2. Trading in and out through a move. Bob elaborates on
> this. The great
> > > majority of my larger "trades" (a la 10-15 point
> "trades") consist of
> >multiple,
> > > smaller trades --- they hit my profit targets, I get out,
> and look to get
> >back
> > > in, just like with a new trade, although in the same
> direction as the
> >last. I
> > > basically don't use stops, especially trailing stops. I
> get out mostly on
> > > profit targets, a small pullback upon the failure to hit
> a profit target,
> >or a
> > > small gain/loss or scratch following entry. The market
> does what I expect
> > > (occasionally) or I'm outa' there (much more often than I
> would prefer ---
> >God I
> > > ain't). Bob has some cogent comments about this, which
> reduce down for me
> >to
> > > "Plan your trades, and trade your plan." I can guarantee
> you that when I
> >start
> > > messin' with my plan during the day, generally as a result of my
> >perception of
> > > what has transpired for better or worse with my trading
> earlier that day,
> >I am
> > > colluding with my own prospective failure. For me at
> least, I just don't
> >have
> > > what it takes to both think and trade, and when I try to
> do both, I shoot
> >myself
> > > in the foot and will soon (altogether too soon) regret my
> extravagance.
> >Another
> > > lesson that has been hard for me to accept, and I'm still
> working on it.
> > >
> > > 3. Trading selected hours. In my experience, there is
> more opportunity
> >for
> > > profits available for trading during the first and last
> hour or two of the
> > > market day than during the middle of the day (the "noon
> balloon"). No
> >wonder,
> > > all you have to do is spend a day or two on the floor and
> watch its
> >population
> > > fluctuate during the day. It's packed at the open, and
> after an hour or
> >two,
> > > sometimes you could roll a bowling ball from from one
> side to the other
> >and not
> > > hit anyone. Then the guys come back from lunch for the
> last hour or two
> >before
> > > "quittin' time." If I were looking for larger moves,
> these would be the
> >times
> > > that I would look for them.
> > >
> > > 4. Trading selected days. In my experience, it pays to
> be at my desk
> > > especially on Mondays and Fridays as opposed to other
> days of the week
> >(Goldspan
> > > days excepted, among others). If I were looking for
> larger moves, these
> >(and
> > > Greenspan days, among others) would be the days that I
> would look for
> >them.
> > >
> > > 5. Developing ways to discern, upon the initiation of a
> move, whether the
> >move
> > > will peter out after 3-5 points or extend further.
> > >
> > > 6. Developing ways to discern, after a move has gone 3-5
> points, whether
> >it
> > > will now peter out or extend further.
> > >
> > > Frankly, I find entries more problematic than exits. The
> exits just seem
> >to pop
> > > out at me. It's the entries that I struggle with. I
> continue to attempt
> >on
> > > entry to buy the bottom tick or two or sell the top tick
> or two. I gotta
> >get
> > > over that. I'm driving myself nuts with it.
> > >
> > > Lastly, I was surprised to read that you identified
> yourself as "an S&P
> >...
> > > trader", in the sense that I was surprised to read that
> you are trading
> >the S&P
> > > and curious why you had not switched to the S&P E-mini.
> I guess I am
> >going to
> > > expose my naivity and ignorance here. In my experience,
> my (what I have
> >come to
> > > see as a long overdue) shift from trading the S&P to the
> S&P E-mini has
> >been
> > > nothing but positive. Perhaps you trade much more size
> that I or have
> >other
> > > reasons for doing so. Although I traded very little, I
> used to trade the
> >S&P
> > > through a commercial/wholesale desk that routinely traded 100s and
> >occasionally
> > > 1000s (I can remember standing in back of the head of the
> trading desk
> >when he
> > > sold 1000, old $500 contracts during a fast market down
> and his worst fill
> >was
> > > half a point off his desired price) --- my max was
> 10-lots, which was
> >very, very
> > > seldom; my usual was onesies and, if I was really feeling
> my cojones,
> >twosies.
> > > That desk gave me what seemed to me to be great service
> at reasonable
> >rates
> > > ($17/car). To my surprise and increasing pleasure, all
> in all (speed,
> > > commissions, fills, relative absence of human
> interaction, etc.), I have
> >come to
> > > prefer my experience with the E-mini and electronic
> trading relative to
> >open
> > > outcry trading. Would you be willing to tell me what
> keeps you trading
> >the S&P
> > > as opposed to the E-mini? Maybe you are a member or a lessee?
> > >
> > > Sincerely,
> > >
> > > Richard
> > >
> > >
> > > Rich Tuchow wrote:
> > >
> > > > I am an S&P day trader and keep going back and forth in
> my mind my exit
> > > > strategy. There are 2 schools of thought 1)let profits
> run 2)don't try
> >to
> > > > be a pig on every trade. It seems that every time I
> grab the 3-5 point
> > > > profit the trade goes on to 10-15 points and every time
> I let profits
> >run,
> > > > the 3-5 point profit disappears. I am not particularly found of
> >trailing
> > > > stops because you have to be willing to give back a
> fair amount of
> >profit.
> > > > Others use a staggered exit strategy such as take 1
> contract off at 3
> >points
> > > > another at 5 another at 8 etc.
> > > >
> > > > I would be interested in hearing only from successful
> S&P day traders
> >which
> > > > school of thought they follow.
> > > >
> > > > Thanks
> > >
>
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