Agree, we chew on opposite sides( back and lay ) to make a trade .. the heat in one area of the market is no less prescient as the cold areas . Both have predictive powers .jimibt wrote: โThu Mar 21, 2024 12:16 amthe heat factor is prescient!! would love to garner more of your perspective obviously, but am aware that we all chew the stick in different places and at varying times.. i'm currently (in my new interest in this stuff -pre-racing) looking at:decomez6 wrote: โWed Mar 20, 2024 7:14 pmThe effect of liquidity on volatility is greatly influenced by crossmatching . This tend to happen across the whole market. so unless you factor the latter , match distribution is just another lagging indicator.jimibt wrote: โWed Mar 20, 2024 1:54 pm
i've created a c# api implementation and am weirdly just tackling this very topic as we speak. I likewise feel there is merit in understanding the price/match distribution model and am similarly focussed on the pre race horses in this endeavour. will share what i find as i'm certain that sharing the mechanics of HOW it works won't diminish any edge.
most traders will concentrate on selections with high 'Old volume' which in return create value on long priced ones with less volume.
BUT you must know when to predict the correlation especially when there is too much heat on the front end of the book.
1. slope() across a number of defined data points
2. standard deviation on the same(ish) subset of data
3. rate of change (roc) of price (but using a balanced book% to compare)'
Initially, i was going to use machine learning and use the obvious features of time, price, slope, roc etc, etc, but have gone for a more trad approach (simpler) and am purely looking at the 3 states above as linear comparison. thus far, not much to report as i've only begun collecting the data but am confident that i can make sense of it based on those 3 simple data points mentioned above.
in short, regards activity on previous prices, i'm thinking that i can either look at those prices as being dead, OR being prices of interest.. will keep you posted.
I think it's more on how you stake . Some traders prefer to go against the grain and trade in areas where there is less 'real volume activity ' but highly volatile...Long prices are less prone to over backing or over laying ( or so I tell myself ). This makes them good candidates for corrective measures. And correct staking can minimize exposure. E.g by liability.
I know you are a big fan of VWAP and it seems your current approach is very much a spin-off of VWAP as book% .. ( may be I am Missing something)
Volume / slope /deviation /roc / price / book%
My take :
VWAP is a great support and resistant point but plagued by its popularity.
Its an open secret just like top / bottom trading range or even a stopover point.
While using the same ingredients mentioned above You will need your own bespoke indicator with your own tailor made support and resistance .a perspective away from the masses.
Using Bet angel stored values, one screen and ladder markers/ additional info ... I have managed to build up a semi -auto manual approach to trading.
Price
My indicator will track the price / range/ roc / deviation / book... And display it according to my bespoke support and resistance points .
My intuition and 'experience ' is manually deployed to observe the whole market on all ladders , with emphasis on how volume is behaving especially in areas of FOMO and natural stop losses!!
Generally I am watching and letting the gladiators fight and neutralize each other , then I would go pick up the ' left -overs ' and re-use their tools .
No background preparation or back testing.
only need my markets to be fully/ well formed and within a certain range. ( When dealing with the whole market(book%) those gappy selections will mess with deviation and give false readings .
Please keep us updated
