Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for Gold/XAU/USD. I'll be grateful if someone helps me to figure it out ..read more

I have been working on a trading strategy using price action concepts and support resistance lines. So it will initiate buy order if there is a hammer candle or bullish candle near the support line. It will sell if there is a shooting star pattern or bearish engulfing near the resistance line, additionally it will sell if it hits target profit or stop loss. I wanted to get insights on how I can improvise this strategy ..read more

To my knowledge, the algorithms that require stationary input can't capture temporal dependencies. This is inherent due to the fact that the input features must be stationary, thus things like trends, changing market regimes, etc can't be effectively input into the model. Therefore, when plugging in features to this model, it theoretically shouldn't matter if I were to randomize the time-series before AND THEN calculate these stationary features (like RSI, for example). Please correct me if I'm wrong, just something that I was thinking about ..read more

Super noob here, and I'm sure this is already a thing but I can't find it... Often times on various stocks there are huge limit orders that have a have a high likelihood of bouncing the price. I was curious if there is any program or app that tracks, for example, the highest limit order compared to the market cap, or something similar. It would have to show ratio of limit order to market cap, otherwise all of the largest limit orders on the books would just be the largest market cap stocks on the market ..read more

i have been recently trying to generate Renko bricks from my OHLCV data, I'm currently using stocktrends module and have successfully generated the bricks, but I'm having trouble with generating the volume data as shown in the trading graph. By far i have tried "summing all the total volume of candles corresponding to the formation of that brick", this works at a 60-70% correctness but the remaining volume fails to match with the trading chart, is there any method behind calculation of this volume, I've been trying to understand this by googling but haven't got any luck about "renko volume". a ..read more

I am new to this forum. I am looking to start a Dual Auction Emulator project, can you advise on areas to consider/incorporate ..read more

I am testing a simple systematic strategy: I buy a certain product once every five business days and sell it after three business days from the buy date. In the backtest, I shift the starting date of the strategy by $5$ business days to find the days on which I will buy and $5+3$ business days to find the days on which I will sell what I bought on the relevant business day. This is how I define my strategy. But of course, I could formalise it differently (such as always buying on Mondays and selling on Thursdays for every week). I have noticed that I can get very different profiles of the cumu ..read more

I have a set of algorithmic strategies. Each strategy focus on a specific financial product and generates entry and exit Long or Short signals. So for each strategy we can have periods in which we are long, flat or short. The holding period can change. For each strategy, I have already computed the cumulative PnL given an initial capital. What is important to remark in my context is that each strategy can open one position at a time and the volume of the position for the financial product is always constant = Q, so we are not reinvesting all the profits that we gain from a successful position ..read more

As suggested by Huang et al. (2018), in order to test whether simple luck can generate the return of a trading algorithm, it is possible to conduct a statistical test to measure the probability of this situation. First, we separate the portfolio daily returns into two components: one benchmark-related and the other non-benchmark-related by regressing the portfolio excess returns against the benchmark excess returns. Formally, ${s_t} - {s_t}\left( F \right) = \alpha + \beta \left( {{s_t}\left( B \right) - {s_t}\left( F \right) + \epsilon\left( t \right)} \right)$ where ${s_t}$ stands for the p ..read more

On a expiry day, there are sudden spikes in option prices. Example, Just before last Min of expiry (3:29PM , market closes at 3:30pm), a 0.20 Option Made an high of 4.00. It is price injection by High Frequency trading. My question: How they make profit from this Injection? This may happen by placing a huge quantity of buy order at market price, but there is big chance of loosing money. Example of such sudden spikes in attached images ..read more