CME E-Micro exchange futures contracts available for trading - page 2
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I have shared the results of a case study. Do you have anything to say on the merits? If I am wrong, tell me. Don't send me away.
1. where did you get your CME volumes from? All the information there is for a fee...
2. How can you even compare the WORKING FOREX kitchens, where quotes and volumes are generated by their servers, with the Stock Exchange?
3. MICEX was recently fined 300,000 rubles for frontrunning. If it happened in America (wrong quotes or something like that), the people involved
people would go to jail for 20 years!
1. where did you get your CME volumes from? All the information there is for a fee...
2. How can you even compare the WORKING FOREX kitchens, where quotes and volumes are generated by their servers, with the Stock Exchange?
3. MICEX was recently fined 300,000 rubles for frontrunning. If this happened in America (wrong quotes or something like that), the people involved
people would go to jail for like 20 years!
1) With the clusterdelta, then combined with the DC quotes.
2) Compared with eyes, if we shift the CME quotations and overlay them on the DC quotations, there are practically no differences. Only on gaps the DCs have slightly higher bars, while 99% of other bars are very similar.
If I'm not mistaken, arbitrage between brokerage companies made them all give the same or almost the same quotes, as there is almost no profit left on arbitrage.
1) From the clasterdelta, then combined with the DC quotes.
2) Compared with eyes, if we shift the CME quotations and overlay them on the DC quotations, there are practically no differences. Only gaps have slightly bigger height of bars in DM, and 99% of other bars are very similar.
If I'm not mistaken, arbitrage between DCs made them all give the same or almost the same quotes, as there is almost no money left for arbitrage.
:)
I used to trade on CME. They have built up a huge number of trading platforms, obviously wanting to attract as many traders as possible. In the end, most of them are empty. They have fictitious volumes (the trading robot trades with itself, creating volatility on an empty space). Those platforms, on which there are people, are not numerous. Real trade volumes are many times lower than indicators of volumes. So it was a few years ago. The situation is probably even worse now.
CME is a funnel. A black hole into which traders' money irretrievably goes. They do not trade with each other, as they think. They trade against the exchange itself. There is no real clearing there. All the trades are against one counter-agent. Against the exchange. It is manipulating the price. You can see this on the charts and through the price stack.
Been doing quite a bit of research on this issue. Observed. Connected through ARI and analysed the data from the cup and the charts. Therefore, my conclusions are not based on nothing.
Interesting, and what exactly did you see from the analysis of the cup and the chart that led you to the conclusion: "They are not trading against each other, as they think. They are trading against the exchange itself. There is no real clearing there. All the trades are against one counter-agent. Against the exchange. It manipulates the price."? Just without the general phrases, be specific, just one example. I am tempted to complain to the US Securities and Exchange Commission about CME. ) But I guess it will end up in a kickback, two or three thousand dollars will be enough. One for you, for the research! ) And I'll give up trading and go to the Canary Islands. ))
:)
1. where did you get your CME volumes from? All the information there is for a fee...
...
I traded on a real account, on SME on TWS from IB. On futures. Paid for the delivery of the data. So, I'm much less of an amateur in these matters than you might think. I have much more to do with CME as a trader than forex.
I have also tried to machine-train volumes from the CME, using a random forest.
Purely from the VC quotes, I find some profit on the forward. And if I add volumes or deltas from CME, the result on the forward is slightly worse. It proves the absence of some regularities between the volume of СМЕ and price of brokerage companies. I tested it on EURUSD. I compared VC bars and CME ones - they are very similar by height and time movement.
Now, based on your response I come to the conclusion that the volumes from CME - really do not have any connection to price movement.
Is it only with currencies or with other instruments (grains, oil, metals, stocks)?
Is it only in SME? Are the volumes on MICEX more honest?
Volumes on the most volatile CME platforms are created by the overflow of liquidity from the exchange itself. The volumes of live traders are lost in these huge fictitious volumes and are very difficult to identify. But, you can. I used to retrieve the data of the cup via TWS API first in Ninja Trader, and then via my bridge in MT. Also, I analyzed tick history of very strange bars that suddenly appeared with a certain consistency, and streams of trades in the feed. First of all, I analyzed the behavior of players before the trading session on corn futures (CORN) and inside the session. Made many very interesting observations that led me to my conclusions.
Very curious about the behaviour of limiters in the cup. By seriously observing this process it becomes clear that limiters volumes are bogus. People are NOT putting in limiters at this rate and in this volume, especially during a sluggish session. The number of real players on that floor could be estimated based on price volatility. So, the activity of limiters in the cup, the giant deals for hundreds of contracts, which ran in the feed now and then, did not fit in at all with the hours-long corridors and flotsam.
The bottom line is that the volume of limiters in the cup can belong to the exchange. Why would it put its own limiters? So that traders cannot move the price one pip. After all, if transactions are made against the exchange (it is the counterparty to all transactions), it is impossible that the trading process is dependent on the traders. Therefore, it is necessary to fill the glass with its limiters, the volume of which cannot be overcome by any trader. And it means to protect yourself from losses.
ZS. My conclusions apply only to CME and futures. I am not familiar with other exchanges or instruments.
ZZY. In a textbook on stock trading in the 90's, I found a listing of clearing types. So, trading through an exchange as a counter-agent to trades, is not only possible, but legal. This is the cheapest method of clearing, and the most profitable for the exchange (which by the way, is a corporation).
Volumes on the most volatile CME platforms are created by the overflow of liquidity from the exchange itself. The transaction volumes of live traders are lost within these huge fictitious volumes and are very difficult to identify. But, you can. I used to retrieve the data of the cup via TWS API first in Ninja Trader, and then via my bridge in MT. Also, I analyzed tick history of very strange bars that suddenly appeared with a certain consistency, and streams of trades in the feed. First of all, I analyzed the behavior of players before the trading session on corn futures (CORN) and inside the session. Made many very interesting observations that led me to my conclusions.
Very curious about the behaviour of limiters in the cup. By seriously observing this process it becomes clear that limiters volumes are bogus. People are NOT putting in limiters at this rate and in this volume, especially during a sluggish session. The number of real players on that floor could be estimated based on price volatility. So, the activity of limiters in the cup, the giant deals for hundreds of contracts, which ran in the feed now and then, did not fit in at all with the hours-long corridors and flotsam.
The bottom line is that the volume of limiters in the cup can belong to the exchange. Why would it put its own limiters? So that traders cannot move the price one pip. After all, if transactions are made against the exchange (it is the counterparty to all transactions), it is impossible that the trading process is dependent on the traders. Therefore, it is necessary to fill the glass with its limiters, the volume of which cannot be overcome by any trader. It means to protect yourself from losses.
There is another version. For example a mega fund (e.g. Rockefeller), which owns several banks or funds, can manage its assets in a coordinated way. And they set huge limits and approximately calculate the assets of other participants, for example they own 1,000, but in the pile they see 1,100, so there are 100 others. And on the basis of this bankrupt small traders.
So, the exchange does not have to do it.
The fact is that the volumes shown to us have no relation to the future price. This is what we have to get out of.
There is another version. For example, a mega fund (for example, the Rockefellers) owning several banks and funds may manage their assets in a coordinated way. And they put enormous limits and roughly estimate assets of other participants, for example they own 1,000, but in the pile they see 1,100, so there are 100 others. And on the basis of this bankrupt small traders.
So the stock exchange does not necessarily do this.
The CME is a corporation. That's what it says on Wiki. Perhaps someone (even the state) is behind it, but it is a sophisticated exchange robot that operates such a cheating machine. People cannot physically cope with it.
...
In principle, it does not matter who moves the price, the fact is that the volume shown to us has no relation to the future price. This is what we have to get out of.
This is both important and not.
1. On the one hand, the trader must understand that neither he, nor hundreds of others like him, will move the price a single point, because the ask or bid will be swamped by new and new volumes of supply and demand, which the exchange robot will pile up.
2. On the other hand, the trader must understand that the price will move against the largest number of open positions to one side. This number is almost impossible to calculate, because it is difficult to distinguish players' trades from fictitious robot trades, (which make trades for hundreds of contracts and for units). That is to say, the sustation will add up in the opposite way to the natural movement. The more traders buy, the lower the price will fall. The more they start selling - the higher it will go up. As soon as they reverse their positions, the price will reverse its movement.
In other words, it will be exactly the opposite. Buy more - the price will go down. More selling - the price will go up. That is how the exchange earns money.