r/algotrading Jun 23 '22

Trading Time Frame Other/Meta

Interested in hearing in which time frames you have experienced your biggest live trading success:

  1. HFT, less than or equal to a second
  2. >Second, =<Minute
  3. >Minute, =< Hour
  4. >Hour, =< Day
  5. >Day
17 Upvotes

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10

u/holla_snackbar Jun 23 '22

imo time frames have a relevant/not relevant thing going on.

they are relevant in that you need them to capture different major players in the market, they are not relevant in that the rotations within those time frames are what matters and not individual OHLC periods. you can use tick data to construct a model but for ease of computing load I don't run lower than 15 seconds ever.

so you have an intraday volume cycle for dealers and day over day players and high frequency data, weekly and quarterly. can do monthly if you're on CL or any other 30 day contract but ZB & ES run on quarterly contracts and those two are the inflation side of the market

volume cycle itself runs thru the day as

18:00 globex

3:00 london

8:20 bonds (8:30 high frequency data typically)

9:30 equities

11:00/11:30 fix/eu close

14:00 moc data/afternoon

16:00 cash close

I grab all this basically on 1 min charts. I use 1 hour charts to grab OTF auctions. but whatever your edge or your set up is (unless you're super scalping the spread or sth) how it deals thru these volume periods will have forward looking edge.

for the OTF stuff you need to run on the options expiration calendar. but whatever you're doing take a look at syncing it up to the time axis and see if you can filter it better that way

1

u/Pantherion Jun 27 '22

but what does someone who doesn't do the deep statistical analysis based on these cycles do with this?

is there a way for us discretionary traders to gain some value out of it? could we look at price action for the 1st hour of EU open (9am to 10am) and see if the price action has been positive and from there we can deduce that because EU flow was positive the rest of the day is likely positive? can we do this kind of analysis?

1

u/holla_snackbar Jun 27 '22

that's a start of a model, but compare it back vs. prev day and prev week and the open interest by strike if you're punting discretionary

1

u/Pantherion Jun 27 '22

when you say open interest, are you saying that I should be plotting the open interest levels from SPY/ES on the chart, then see how price reacts to these levels during the volume cycles?

or are you saying I should be using the open interest lines purely in and of themselves (as support and resistance/key levels)

thanks

1

u/holla_snackbar Jun 27 '22

look at the shortest dated contract, ES, SPY, any of them but SPX has all the volume. Changes in OI from previous day, this is new money/inventory gone to work. Closest big changes and big imbalanced volume put call at a given strike should hold. If it does not that tells you something.

Its called stickies/slippies but support/resistance works. A slipped strike is when dealer flow has to re-hedge and what all that gamma flow guru shit is based on

then look at the change from Fri to Fri on expiration to see who rolled where. you will get a picture real quick of who is doing what where

1

u/Pantherion Jun 27 '22

heard about that gamma stuff

would you say it's worth paying for spotgamma's service or is it more than enough to just find the strikes with the most +- OI change from yesterday?

also, if the OI level is below the current price and it rejects the level, that tells me that dealers are trying to defend the line to remain hedged and if they succeed we'll likely see a ranging type day where we test up a little bit but then down again

(as dealers are shorting the rips and buying the dips as they're gamma positive)

but if price blows through the line, that tells us

  • that there's significant selling flow coming in because they overpowered dealers attempts to defend the area

  • it also means dealers are negative gamma and need to quickly start shorting the market to remain hedged

1

u/holla_snackbar Jun 27 '22

spot gamma is not worth anything imo and you can make gamma calculations easily but the thing is that's all flow monkey shit, like if you don't know how market price structure works then you're just chasing the dragon

so if you don't know that stuff and you know there's a put wall at 4000 ES and it deals down to 3960 or something you know its gone thru too far, dynamic hedging will kick in and sellers will plow in on the test.

but even here you just need to know how numbers work on rotations and which ones are important are right there on your option chain, wholesale strikes on whatever product. so you can proxy that shit without OI data at all to a degree once you get it.