TRADING CLOSED 2.0: tracking Micro-structure flows & live streaming Mean Reverting signals____DM for details (times in screenshots are Chicago/CST)
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Have you heard about this crazy coin with wild, erratic and enormous daily ranges that you can trade at the moment?
It's called: EminiS&P500Coin
Good stuff!
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i'll have the wrap up in a bit. Just need to do a little bit of housework on the signals.
The arrow below was what the early bias (which can sometimes swing around) showed.
and here is the trade with the discord timestamp
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JOURNAL DAY 10
WINNING DAY
5x day. Got swayed by some early signal prints. Bias stayed to the BUYSIDE all afternoon, despite two-way prints in the lead up period before the trade. Happy enough with entry price - though I do tend feel it could always be cheaper.
Onto Thurs!
TC
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Welcome to my Trading Journal.
Over the past year, we have built & refined custom filters to capture several, specific large flows that occur over the last hour of the trading day.
For strictly entertainment purposes, we will journal some of the trades we take in here.
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Read James here... If for no other reason than to lighten the load of his conscience
at some point, volatility is going to spike a lot.
and lots of you are going to get rekt cos you didn't have a good plan for what to do, or you didn't stick to it.
i can't have that on my conscience - i got enough already - so pls read this and make a plan.
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JOURNAL DAY 10
LOSING DAY
Very noisy 2-way flow at the end. Went with the Half Call/Half Strangle play as the model suggested a bias to the upside with small potential for late, very large rip down. Neither move really happened and we gave back a Standard Bet.
Friday next!
TC
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JOURNAL DAY 12
LOSING DAY
Half-Size Friday did its thing after a first move as forecast. As always, I aim to trust the model, stay with the Bet Sizing and accept the variance.
Have added a nominal account to track returns in nominal dollar amounts.
Happy weekend!
TC
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JOURNAL DAY 7:
LOSING DAY
Got a big signal in the last 15/20. Printed early trade journal entry accordingly. But Friday Buyers held the 5000 line. Friday-Half-Size for a reason.
Good week though.
Now we drink!
Happy Weekend.
TC
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TC SATURDAY MUSINGS (a thread):
The final ten minutes of each trading day are ruled by large flows that follow either specific internal rules or strict outside regulations.
These rules/regs can be divided into three subgroups:
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here is the Trading Journal screenshot.
Writing End-of-Day Newsletter in discord. And then will post short review in here shortly.
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END OF WEEK 4 SUMMARY:
MON: +3.75
TUE: NO TRADE
WED: -1
THU: - 0.5
FRI : - 0.5
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TOTAL FOR WEEK: + 1.75 (going to round down)
TOTAL SINCE FEB 7: +9
on nominal opening balance: $250,000 *(with 1 Standard Bet equaling $2,500)*
1 MARCH NOMINAL BALANCE: $272,500
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But at the very least, we think it is important for any trader to start thinking about what flows other than MM's are out there; who is the biggest on any given day; and how to get a view of them.
Happy Saturday!
Don't forget to drink lots of water - big week ahead.
TC
8/fin
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TRADING JOURNAL DAY 13
WINNING DAY.
For a moment there, the 6x was in play. But Feb continues to stay lean and refuses to break the 5x barrier.
But Gift Horse, Mouth etc. Don't be rude, TC!!
Onto Tuesday now.
TC
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Maybe. But I'm not so sure. From where and what we were looking at it looked a lot more technical than that.
Someone doing a rebalance into a very large, steady futures execution the other way. And then the elastic snapped and everyone else piled in.
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END OF WEEK SUMMARY:
as always:
past performances indicate nothing about forward performance. And this feed - and the discord - are simply a daily newsletter for entertainment purposes.
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JOURNAL DAY 9
LOSING DAY
Large whacks of SELLSIDE flow lined up from 14:00. some of that got resolved on the tape from 14:30. But there was still large chunks left to go into the Closing-10. Simply a matter of bigger (very big), later flow was buying.
Onto Wednesday!
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JOURNAL DAY 14
NO TRADE
PUSH DAY
First one of these in about a month. I'd normally expect to see at least one every two weeks. Meaning, the last 4 weeks have been way less noisy than today in the last hour.
No Trade is STILL a trade!
Wednesday next!
TC
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JOURNAL DAY 7:
WINNING DAY
Most of the modeled/filtered trades happened late, leading to a late flip in the bias - about 3 min before the preferred trade time of 14:48.
Great entry price on the call. First price I've been happy with all week.
Onto Friday!
TC
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There are certainly methods and efficiencies that could, would and should be applied in order to further maximize those returns.
But you are better receiving those lessons from folks who are way smarter and sharper than us.
Happy Second Sunday
TC
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Thank you, sir!
Was good to hit a >5x again. Option pricing of late has made those payoffs a little less frequent than January.
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signals went off super early today.
Early signals can very easily be overwhelmed by later ones. We model the later ones to be scored higher.
But, sometimes I'll share those early signals with y'all in here. That's what this was:
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here is the very short summary of how that SANDBOX of signals (one of 4 SANDBOXES we rely on) works.
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The Journal has also helped me to even improve my signals as folks inside the group continue to ask questions I had previously answered to myself - forcing me to review if those answers are still correct.
I knew it would enforce a commitment to the simplicity of the execution I wish to maintain. But I honestly had no idea by how much.
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On Sunday, the Chiefs got the most points and won the Superbowl.
So, what I'm saying is - sometimes someone gets the most of something because they are the best.
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Gonna be a late journal posting today - I'm going to take some Q & A inside the discord.
But here is a preview of the, eventual, post out here
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This should be headed:
JOURNAL DAY 11
JOURNAL DAY 10
LOSING DAY
Very noisy 2-way flow at the end. Went with the Half Call/Half Strangle play as the model suggested a bias to the upside with small potential for late, very large rip down. Neither move really happened and we gave back a Standard Bet.
Friday next!
TC
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This approach is not taken as commentary or an expressed opinion on optimal approaches to bet sizing.
This Journal is intended to display and record the effectiveness of our suite of signals in generating returns from their forecasting of the direction of the Closing-10.
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No Trade is STILL a Trade.
And Still is STILL to movin' to me.
piped.video/ItaQ1rJk2Gk?si=frlJ…
JOURNAL DAY 14
NO TRADE
PUSH DAY
First one of these in about a month. I'd normally expect to see at least one every two weeks. Meaning, the last 4 weeks have been way less noisy than today in the last hour.
No Trade is STILL a trade!
Wednesday next!
TC
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could be....way too early for our models to have a real view. The majority of flow we track mainly comes in closer to later in this hour.
but we have definitely started capturing some of them within the last 30-40 min. Hence that message in our internal chats.
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Model flipped late.
Nice to get the hattrick for the week.
End of day summary to follow after I've posted the end-of-day newsletter in the discord.
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Everyone is just jealous of the new kid who turns up and gets all the attention. DTE0 options are just like the foreign exchange student with the great hair who suddenly turns up halfway through 11th grade.
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JOURNAL DAY 15:
LOSING DAY
Very happy with the model/filters/signals' performance. Less so impressed with my execution. But this is all part of the experience of live trading a Strat.
Next time my process will be better.
Onto Thurs!
TC
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JOURNAL DAY 18
LOSING DAY
A very late flip - like yesterday - and a very very late DONK - like yesterday.
We ride off into the weekend awaiting variance's payback. Which it will do.
Happy Beers & Wines
TC
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A Note re: these Summary numbers:
This Journal tracks a strategy that is betting 1% of the *starting balance* of a nominal account.
So, if the starting balance were $250K, Standard Bet size = $2,500.
The Standard Bet Size is static.
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JOURNAL DAY 7:
LOSING DAY
Got a big signal in the last 15/20. Printed early trade journal entry accordingly. But Friday Buyers held the 5000 line. Friday-Half-Size for a reason.
Good week though.
Now we drink!
Happy Weekend.
TC
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As they build up and the duration of the day shortens (ie the window in which they will be traded narrows), they become stronger and modeled higher.
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As someone new to the Journal & Newsletter world, I can't endorse this line enough:
"Writing a newsletter for an audience improves trading discipline by an order of magnitude."
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Beautiful colors, anon.
So pretty.
I've heard that this is even more colors than they have, in total, in Hungary.
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This is an early signal that indicates there is an important, in this case, SELLOFF that needs to be resolved.
The earlier in the day it is, the less these signals are worth, because there is so much time left in the day for them to resolve.
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Windows of opportunity are only that. You need to also have a directional view that is correct enough to capture regular, positive chunks of that convexity.
This account is mostly about tracking trades triggered by proprietary signals we've developed to identify flows that
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I try to share that info with the folks inside the journal if the filters do catch them getting closed.
But I'm comfortable saying out here: most of those SELLOFFS haven't been closed. Been sitting there a while. Perhaps there is a reason they haven't traded them yet....?
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All of which is to say:
End of Day MM hedging is *an* important flow. For sure. But it is hardly the most important. And, frankly, it is mostly not the largest.
There is no guarantee which flow will win - the flows our signals capture certainly don't win every day.
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(re-post: for typos!)
JOURNAL DAY 6:
WINNING DAY
Noisy signals just prior to trade time leading to HALF-SIZE Call & HALF-SIZE Strangle. Both paid. About 1.9X average over the whole position. Chunky rip down at the Closing Auction. But we ride the variance on those.
TC
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(little note - I've seen that lot's of y'all have hit the DMs. I appreciate the interest. I will respond to everyone. Just need to work through them in order.
Thanks, again, for the interest!)
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It does not increase or decreases as the account grows. It stays set at 1% of the starting balance.
The numbers in the summary indicate: Increase/Decrease in Standard Bets
Or, to put it another way: % Increase/Decrease Starting Balance
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I knew it would enforce a commitment to the simplicity of the execution I wish to maintain. But I honestly had no idea by how much.
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It certainly could play out that way.
one thing we are able to do is, generally, identify when the trades have been closed off. Especially around this middle of the day period when there is very little noise in the data.
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fall into the subgroups (2) & (3) above. And occasionally, we'll share some of the knowledge we have gained along the way.
Fintwit folks get tremendously passionate - yet logically vague - about 0dte MM's hedging controlling spot into a pin of their choice at close.
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But, what we witness daily proves otherwise. Most days, other flows arrive late in the day. They drive the market, spot moves and then MM's hedge.
Sometimes they all align and push the same way. But often the MM's hedges 'lose the battle' at a strike and spot moves on.
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time-sensitive manner) is they're all (to varying degrees) price-insensitive.
Here at @trading_closed, we thrive on these price-insensitive, massive flows. They're the key to unlocking the closing ten-minutes as a window for convex returns.
But that's not enough.
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ha. sorry!!
it started to get pretty noisy a bit before you woulda entered this.
But it surprised me too. I was getting pretty twitchy to punt at some puts. HA. But I have learned the hard way to wait for the final score. which today was pretty bang on i reckon
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Ha. Yeah.
It was pretty good trading conditions. It actually felt pretty good all week, tbh. Maybe 2024 is the payback year for 2023?
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It'd looked to have been building for about 20 min before I tweeted the pink arrow. Was quite surprised by how long said elastic took to snap.
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back to SELLSIDE bias.
as always, everything our filters capture is just large trades that need to execute before close. as to when exactly they get filled, we are less certain. but they are certainly stacking up here in the first half of the day
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1) widely known, distributed & easily found rules
2) lesser-known rules that require research and study to uncover
3) secret rules with hidden flows, protected from public knowledge
But what unites these subgroups (due to these rules/regs requiring they act in a
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