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Newbie questions

I have been reading the posts here and in the other forums as well. I like reading them, and I think can make use of them. If not immediately, then in the future.

I read deepbluetrader's posts and your responses to that, and I realize dbt and I are practically in the same boat and at the same level.

So far I have been downloading the historical time and sales data from CME and analyzing the S & P 500 emini trades.

I came to a few conclusions:

1) It's not going to be easy. Exits are still a major problem to me.
2) Money management is critical, but not technically difficult.
3) Discipline, ie sticking to a trading plan/methodology, is critical.
4) I think it's doable, and am considering moving onto live paper trading of the S&P 500 emini. If I can come up with a good exit strategy that is. Hopefully, it's something simple - and sooner rather than later.

If you read on, you will notice that I am tending towards more mechanization in my trading. That's how I plan to enforce discipline on my trading.

Here are a few questions:

Live Paper trading will involve me getting a trading platfotrm and signing up with a broker, right? My impression is that, the platform is practically bundled with the brokers' offerings and charges. I am actually thinking of a fairly simple trading platfotrm because I have a software which is very good at number crunching and analysis, but I doubt if I can/should use it to interact with the remote system. I need to have that part of the process very reliable.

So what I am looking for in a trading platform is
a) it can receive "live" data,
b) chart/graph displays of the data
c) pass the data to the number cruncher (or store it as a flat file at regular intervals for the number cruncher to pick up) and,
d) receive the buy/sell, cancels, etc from the number cruncher.

Are these well within the capabilities of the "average/standard" platform? Does anyone have a trading platform that can do that?

I understand that there are highly automated trading platforms around, but I suspect they may be more complicated, and probably more expensive as well. I was hoping not to go down that route because I have invested a fair bit of time and effort on my cruncher.

2) Regarding the live feed from the broker, does that include Volume info as well? All the while, I thought it was, but I came across some notes on the Internet, that says it's not. What I am looking for is "tick" data with volume information. Is that something I need to negotiate for with the broker, or are live feeds the same across the board.

3) Will the live feed also contain bid/ask transactions?

4) Can someone explain the bid/ask transactions to me? The CME time and sales data that I looked at had them, except that practically all of them have a single timestamp (16:16:08). Are they from previous days? On the other hand, between 8:30 and 15:15, there were very few ask/bid transactions. I was expecting that most transactions would appear first as a bid or as an ask, and hence I should be seeing more during the 8:30-15:15 period. Not the case?


A lot of questions...

I'll try and answer some.

A lot of brokers provide a free trading platform with an account with them. J-Trader is a popular trading platform by Pats Systems that comes free with many accounts.

There are a number of other trading platforms which are more sophisticated. I am only familiar with Ninja Trader ( because I use them. They have charting attached to their trading platform and they use C#.NET as their scripting language so I am guessing that you will be able to capture all the data and write it to a file for later crunching.

CME used to report every tick as it happened. Now they report the first tick at a new price and then bundle the subsequent ticks at the same price into one "piece" of information being sent to you while the price doesn't change. This is to save on bandwidth.

So, for example, if 10 trades of 1 contract each happened at the same price before another price was traded then you would previously receive 10 ticks of price data of 1 contract each at that price. Now you will receive 1 tick at that price for 1 contract and then 1 tick at that price for 9 contracts. Does that make sense?
maskiepop: You sound a lot more level headed than most who plunge headfirst into the jungle known as trading. That's the easy part. If you decide to seriously pursue trading, be prepared to lose money for at least two years AFTER you transition from paper trading.

Best of luck.

T Rex.
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