That's interesting - page 26
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. Like peas against a wall. Price is not a market. Flat and trend is not a market. The market is the processes which are reflected in the price as a "flat" or "trend".
Stop being stupid. Records of all changes in the rates of all financial instruments are market records (swaps are also treated as BPs). No one says to analyse just the price, and only one financial instrument.
Price BP is taken from a liquidity calculation. For example, we take BPs of prices that correspond to the average best price for a 1 mio order.
. Or take additional information from other markets. Validate, check for robustness... It is clear that sometimes in this case results will not be as good as when using "native" (but closed) information.
is this about COT on currency futures, or something else?
In any case, there is far less information like this than for some other markets. Especially intraday. Longer term strategies are not statistically reliable due to another feature of FX - small number of independent instruments.
Stop being stupid. Records of all changes in the rates of all financial instruments are market records (swaps are also treated as BPs). No one says to analyse just the price, and only one financial instrument.
Price BP is taken from a liquidity calculation. For example, the BP of prices that correspond to the average best price for a 1Mio order is taken.
. Smart guy, man! Where does the price in the glass come from?
. Not at all. I just think you should put your efforts in the right direction... But we've already discussed it, so there's no point in going back there again.
You have intrigued me. If it is not a secret, not a commercial secret - show what you write about and quote, all this beauty of philosophical thought. I also want to be in the role of Belinsky. Give me the opportunity, to be fair. I'd really like to see the "beauty of the game".
:о)
is this about COT for FX futures or something else?
In any case, there is far less information like this than for some other markets. Especially intraday. Longer term strategies are not statistically reliable enough due to another feature of FX - small number of independent instruments. imha.
COT is a good example. But not only that. Sorry!
And of course information is always scarce, much less intraday. I won't argue, the approach is not universal, but sometimes it brings a few pluses. It's not a cointegration. Rather, it's some kind of local short-term correlation between instruments caused by global processes. Some people start to revise assets, others expand their presence, and some people quietly manipulate large volumes. Why am I telling you this, you already know this.
Let's leave the sarcastic invective to the private sector. And let's keep the discussion a little more constructive. There is no need to respond to this message.
And in order not to lose liquidity (so as not to cause collapses, as in May), bids are thrown by "specialists" (or some other name of exchange employee), which are also full-fledged bids with the same rules.
An order is thrown into the tumbler with its volume and price, and there it is.
. Yeah, so the application didn't just appear there, someone put it there. This "someone" has a desire, a need, a necessity, a mood to make a bid. In other words, in a very primitive way: for a price to appear in the glass, someone must be in the mood to put this price there. In this simple system, what is primary and what is secondary? If not, I will tell you that the mood is primary, and the price is a derivative, a reflection. And to look competent, you need to analyze the mood, not the crooked reflection.
. Naturally, the example is quite primitive and does not describe much, especially the tricky relationship between sentiment and prices. But nevertheless it is about principles .
Graph based on 3 years of COT data(source):
The second field is the aggregate position of the following guys: Commercial - Operators (big companies), Large Traders - big players, Small Speculators - the rest.
The third field is the number of traders.
When I said weak change in total money supply, I meant that the total net position of all three types of market players for all instruments is about zero.