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Hello everyone, thank you for letting me be a part of this valuable community.

A bit about myself:

Went back to university for computer science at the age of 29 and while studying I discovered the world of derivatives. Finished the degree last summer while doing a trading algo final project. The universe dropped a real quant trader into my life and since then I've been learning from him full-time. I didn't get a job after finishing school, so 100% dedicated to this slow and steady. Days look like this: 7amPre-market prep->9:30trade the session-> 4:30 post-market-> evening or weekend is typically research/algos.

Trading on the CME, only focused on ES/NQ futures for now (options in the near future). The core of my ideas are founded on auction market theory, market profile/volume profile (<3 microcomposites!), stats on IB/opening ranges.

Enjoyed these trading books: "Psychology of Trading" -Brett Steenbarger, "Trading in the Zone" - Mark Douglas, "Models Behaving Badly" - Emanuel Derman, "Mind over Markets"- James Dalton , "Python for Quants volume 1" - Pawel Lachowicz.

On the education side: Studying the CSI courses for derivatives (DFC/FLC/OLC) and should be done them all by the end of 2020. Taking a few other udemy courses focused on the quant/algo/machine learning side.
Plan for 2020:
- Develop real consistency with a few solid systems.
- Focus on process rather than outcomes.
- Explore the quant research/ machine learning side on a deeper level.

Questions for the seasoned traders:
1) Other books you recommend for trading?
2) Anyone with experience with remote prop trading platforms or firms such as TopStep, SMB capital and the likes, just wondering if it's worked for you. My Ideal situation is to always work remotely from home, but if someone has other suggestions or knows intelligent ways to progress I'm all ears.
 

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Welcome! That's interesting that you're a full time trader. It will be great to hear some of your insights and thoughts; there aren't many traders here.

I would think you're in a challenging position. How do you feel about going head-to-head with the guys at Goldman Sachs and the other Wall Street firms? I'm genuinely curious about that. I feel that many of them have the unfair advantage of being insiders. For example, these investment banks which execute trades for the Federal Reserve have special knowledge about liquidity injection, the day's POMO activity etc. They also have giant research & support teams, specialized hardware, etc. I feel like they have an insider's edge here versus an external (independent) trader and when I considered trading, I found that too intimidating.

Have you read Fooled By Randomness by Nassim Taleb?

I've done some AI and ML work and lots of modelling in my professional work. Beware that there are a lot of junk models and junky ML out there. Keep asking yourself if you really have a predictive model, or if you've just done an elaborate back-fit to historical data.
 

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I've done some AI and ML work and lots of modelling in my professional work. Beware that there are a lot of junk models and junky ML out there. Keep asking yourself if you really have a predictive model, or if you've just done an elaborate back-fit to historical data.
... just picking on this flavour of the month ... how do you account for a Black Swan event in your modelling? Just curious.
 

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... just picking on this flavour of the month ... how do you account for a Black Swan event in your modelling? Just curious.
Actually a big problem with AI / ML models is that we generally have no clue what's going on under the hood, and it's very hard (or impossible) to plan for a worst case or 'pathological case'.

There are many examples of ML systems which seem OK for a while, but then can be coaxed into generating a wacky, incorrect outcome. In my professional opinion as an engineer and computer scientist, ML systems are inappropriate where high reliability and fail-safe behaviour is required. The outcomes are too unpredictable, and we can't explain WHY the outcomes occur.

Another solution may be to use ML or AI, but then feed the result into a second stage which does thorough sanity checks, uses traditional statistics, or another form of modelling which can validate or otherwise reduce reliance on pure ML.

Unfortunately however, because ML is so easy to use, programmers today are starting to use it as a lazy "solution to everything" without carefully considering these factors.
 

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Discussion Starter #5
Welcome! That's interesting that you're a full time trader..
Hi James, I'll try to do my best here in responding to your very valid questions which seem to in alignment with what many other people believe. Heavy importance on the beliefs, as beliefs are not always the truth. Also my experience could be vastly different from others so this is just my two cents in the last year of absorbing as much as possible.

1) How do you feel about going head-to-head with the guys at Goldman Sachs and the other Wall Street firms?

This one can be answered with a few bullet points:
- From an advantage perspective, one could argue they do have advantages, but they don't have them all. Remember that they are big, and execute in certain ways which others can take advantage of. Not to get too far into those details but if you use auction market theory and market profile/ volume profile, eventually you get a picture of context and can catch when big players are moving markets one way or another. Today was a perfect example in the S&P500 futures, the overnight range matched exactly the previous day's range, which means we formed some degree of balance. About an hour into the session, we broke below the over night lows, and it was clear from reading orderflow there was now an imbalance of major selling driving the market down. If you're not doing this fulltime and paying attention with the right tools, there's no way you can catch these waves,clues, information at the precise moment it happens. There are stats to leverage on these scenarios,so I just hit short at 3214 in ES when the stats were in my favor. There's many other components to analyzing but I'm trying to paint a little picture of what it's like for me as a day trader and how there are ways to compete on this playing field.

- For many decades, the majority of advantages used to be heavily weighted towards institutional players for sure, and the gap between institution and retail was very wide especially from a technology standpoint. I'll actually argue that there's never been a better time to be solo trader, as we can now take advantage of sophisticated software tools (you can pay to have a bloomberg terminal if you have deep pockets), high performance systems and co-location where other big players have their stuff running, sophisticated statistical modelling and automation, algo creation/ development which puts the right person at a near level playing field. I'd say this should probably remain true for at least 5-10 years, which many are going to disagree with because "HFT!!!" and "AI!!!" and "Algos!!!"...but in actuality its still mostly humans clicking buy and sell at the institution level. Back to beliefs, which most retail traders have setup incorrectly due to being formed based on information they took as truth from somewhere.

- To my knowledge, the institutions are typically split up in 3 units as you mentionned; 1-research (think phd mathematics/ AI), 2-quant development (software engineering, running models, algo testing and implementation) and 3 -execution (a human clicks buy/sell with millions of dollars each day or MONITORS an algo doing buying/selling and takes human corrective action). HFT is not part of what I'm talking about here, and it's mostly irrelevant unless you're trying to build microwave towers to fast forward your orders a few microseconds ahead of the internet. In my particular case, I have to take care of those 3 components (research, algo implementation, and trade execution).

- So back to the big picture: you're up against humans for the most part, who have been trained to think a certain type of way: simply execute based on statistical edge, and not care of one trade to the next is a winner or loser, because it doesn't matter and every moment of every market is unique, random and unpredictable. They execute like soldiers, with fine precision, no emotions or deviations from their plan. In my opinion, this small difference is the most significant which holds retail traders back, and has been the case throughout the history of the markets. I will re-iterate that it is literally just the way they think and manage their trades (not moving stop losses, feeling bad about losing a single trade, having fear or anxiety while in a trade taking heat, believing they know the next trade will win etc...). Sounds easy right? Well in practice it is one of the most difficult things to do and why the statistic is roughly 4% of retail are profitable, where as institutions are typically in the 60-70%+. Once you know how to think like a pro trader, it's seriously a level playing field for the most part. It's a shift from focusing on outcomes ($$$) to process. I would still be doing the same thing for 10k a year or 10M per year, and that is the absolute truth. It's a growth and long term mindset. Most people just see $, and end up going down a miserable path, especially if they have gambling problems.

Though some think I earn an easy income clicking buy and sell from the comfort of my home (unfortunately many trading "gurus" preach how easy it can be), this work carries at least 80-100+ hours per week. It doesn't feel like work though because I sincerely love it, and daily performance in terms of $ is irrelevant. The earth-shattering realization that good trades can be losers, bad trades can be winners is a major wall to overcome. Once you get to the point of understanding truly what is a good trade and what is a bad trade, consistency more than likely be achieved.

- Since the the goal as a beginner is essentially undo anything you've learned in retail for the most part and begin learning how to think like the institutional trader, it doesn't mean you need to work an institution but you must find a way to acquire this knowledge /perspective. Mark douglas is probably a good starting point, but problem is that for the most part this institutional education / information is generally not on the main pages of parts of the internet which retail traders seem to gravitate towards, or you have to pay quite a bit to get it or find the right mentor. For some reason people are happy to pay tens of thousands for a piece of paper like a degree which can land you a salary, and yet most also think it's not worth investing tens of thousands into education/skills/ coaching which can unlock almost limitless wealth as a professional trader. In terms of hardware, I've invested in that too so I can see what I need to see: using 4x 4k monitors, and very high performance desktop. I love Sierra Chart trading platform which has some of the best performance in the game and allows developers no limit to anything they would want to create, implement or automate in terms of indicators, algos, chartbooks etc. The simulator alone has done wonders because it accurately simulates order queue and execution performance, so there's less issues when transitioning to/from live and sim. This means the practice can be nearly perfect, then systems can be tested live with small amounts of money on micro contracts, then funding behind the tested systems can scale to essentially no end once they are proven. Once again a focus on process rather than outcomes is core to this working.

In conclusion, if you think like a retail trader, have access to the same education / information (CNBC *shrug*) as retail traders, use the same indicators and software as retail traders, pay for signals because you can't form your own trades/stats/systems then arguably yes you're more than likely to be trading against Goldman etc.. and given enough time will lose money. If you manage learn how to think like an institutional trader, invest in sophisticated software and hardware, you'll have a chance of being on the same side as Goldman.

Have you read Fooled By Randomness by Nassim Taleb?
No sir, but I've been told his books are good, especially Black Swan. Thanks for the suggestion!

I've done some AI and ML work and lots of modelling in my professional work. Beware that there are a lot of junk models and junky ML out there. Keep asking yourself if you really have a predictive model, or if you've just done an elaborate back-fit to historical data.

I haven't gone deep down the rabbit hold with the AI stuff yet, still learning basics and exploring what's out there, so I will keep this in mind!

There is a philosophy that I've put together while being on this path and I'm curious what you guys think:

- "The S&P500 futures market is the biggest, most liquid, instant and abundant opportunity source in the world."
If you think about the nature of buying and selling with the goal of making profit, it seems insane to me to participate in any other market or business. Think about it from a business perspective: You don't have to find customers, you don't have to advertise, there's no counter party risk (your $ are always safe and insured, you can't be scammed), the cost to transact is almost negligible, there's not really overhead, no holding product, no warehouses, and most importantly NO DELAYS in buying or selling as information becomes available. You are sending 1's and 0's through the internet which represent a digital form of a futures contract. I don't see any reason to buy and sell anything else if it's strictly for the sake of profit. I believe It's a wealth tap that can fill any sized container (the container being your beliefs and decision making).
 

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How lucky that you get to experience some really challenging market conditions soon after starting your career in this. Sometimes people have to work for 10 years or more before they see something like this.

Are you attempting to trade in the current conditions? At my brokerages, the bid/ask spreads even on common stocks do not appear correct. I'm seeing huge spreads, quotes that are not updating etc.

How is the trading going?
 

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Are you attempting to trade in the current conditions? At my brokerages, the bid/ask spreads even on common stocks do not appear correct. I'm seeing huge spreads, quotes that are not updating etc.
Which stocks were you watching? I was watching just before close and the bid/ask were always close, the orders sizes shown on the level 2 were kind of low though likely due to the high volumes.
 

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Which stocks were you watching? I was watching just before close and the bid/ask were always close, the orders sizes shown on the level 2 were kind of low though likely due to the high volumes.
Some major ETFs that I watch had very wide bid/ask spreads near closing time which usually isn't the case. Perhaps it was a temporary problem near the close or maybe even a TSX glitch at the close.

This can be confirmed in what TDDI shows for Friday's closing values; I logged in and can see it through there as well. For example, ZSP closed at 43.72 but the bid price near the close was much lower, at 43.55. That bid is is a whopping 17 cents below the price. Normally it's 1 or 2 cents below! The same goes for just about any major ETF and again, TDDI shows the same thing in their day end records... look at the "Price" shown in your holdings.

XIU finished trading at 24.48 but the bid was 24.38, again, a whopping 10 cents lower.

What TDDI shows is consistent with what I observed in real time on the tickers as well. I interpret that as poor liquidity heading into Friday's close, but there could be other reasons.
 

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I was watching stocks, mainly CDN banks so I'm not sure how the ETFs reacted. The stocks did seem to have fewer orders stacked up which in fast fall / gain situations does make sense even though the bid/ask spread was minimal.

Is what you're seeing just an issue with ETF pricing due to the high % changes in the underlying assets?
 

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How lucky that you get to experience some really challenging market conditions soon after starting your career in this. Sometimes people have to work for 10 years or more before they see something like this.

Are you attempting to trade in the current conditions? At my brokerages, the bid/ask spreads even on common stocks do not appear correct. I'm seeing huge spreads, quotes that are not updating etc.

How is the trading going?
Huge bid/ask spreads are most often seen @ a market bottom.
 

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Though few realize technical indicators must be used in conjunction with the price pattern & the size of the fractal being played.
 

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Discussion Starter #12
How lucky that you get to experience some really challenging market conditions soon after starting your career in this. Sometimes people have to work for 10 years or more before they see something like this.

Are you attempting to trade in the current conditions? At my brokerages, the bid/ask spreads even on common stocks do not appear correct. I'm seeing huge spreads, quotes that are not updating etc.

How is the trading going?
Are you attempting to trade in the current conditions?
-Yes 5 days a week, every week, no matter the condition. I only trade ES/NQ futures on the CME, can't comment on stocks,bonds etc. As a day time frame trader, I'm only focused on a few trades through the day session.I do NOT: scalp, trade overnight, take swing trades or position trades, macro trades.
-Of course times like these are significantly different than the previous couple months so it's an opportunity to learn how the market conditions change, why they change and how to adjust size/risk given those conditions. It's been fun getting over the psychological aspects of taking more heat than usual in certain trades as the average rotations are much wider in recent days. The velocity of the movements are more amplified, so it's a great test from the execution side not letting the fear and greed cloud decision-making.

How is the trading going?
TLDR: Well overall. More green days than red days, not that it's the main indicator of success for my stage of development.
My goal 1 year goal from September 2019 was to go from books &theory->research stats/build a few systems->simulator->live micros (MES/MNQ) -> live ES/NQ w/ 3 contracts and be CONSISTENT, at least breakeven (after factoring in commissions, so slightly profitable depending on how you look at it).This goal represents being in the top 5%, but most people don't like to think of break-even as being successful, because everyone wants to quit their jobs and just all of a sudden become rich and profitable. Since being live, increased my size which was an exercise in pushing the boundaries of the psyche slowly and resolve the fears which re-emerge even though they have been previously dealt with on lower size. Personally, it's more difficult to not feel bad when taking a loss that is technically a good trade compared to not letting a win make me feel happy/euphoric. For each person this transition to live trading is different, but I've been able to follow my risk and drawdown limit rules,so no blown accounts or anything catastrophic. So Yes overall it's going quite well because I'm actually able to follow plans/systems/rules.
 

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How is the trading going?
TLDR: Well overall. More green days than red days, not that it's the main indicator of success for my stage of development.
My goal 1 year goal from September 2019 was to go from books &theory->research stats/build a few systems->simulator->live micros (MES/MNQ) -> live ES/NQ w/ 3 contracts and be CONSISTENT, at least breakeven (after factoring in commissions, so slightly profitable depending on how you look at it).This goal represents being in the top 5%, but most people don't like to think of break-even as being successful, because everyone wants to quit their jobs and just all of a sudden become rich and profitable. Since being live, increased my size which was an exercise in pushing the boundaries of the psyche slowly and resolve the fears which re-emerge even though they have been previously dealt with on lower size. Personally, it's more difficult to not feel bad when taking a loss that is technically a good trade compared to not letting a win make me feel happy/euphoric. For each person this transition to live trading is different, but I've been able to follow my risk and drawdown limit rules,so no blown accounts or anything catastrophic. So Yes overall it's going quite well because I'm actually able to follow plans/systems/rules.
... don't dispute the notion people wants to be rich with trading and being able to break-even is considered a successful goal but what's the objective of just to "break-even" ... to test your trading system/algorithm? To prove you can trade? Or seeing the glass half-full, or half empty? I'm puzzled.
 

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... don't dispute the notion people wants to be rich with trading and being able to break-even is considered a successful goal but what's the objective of just to "break-even" ... to test your trading system/algorithm? To prove you can trade? Or seeing the glass half-full, or half empty? I'm puzzled.

This is just my own experience, but from any professional trader or CTA (USA version of CTA) that I've spoken to thus far, the break-even on LIVE (major emphasis on live) is a realistic stepping stone to have if you want to actually do this as a career. Of course my longterm goal is to be profitable to a point of making thousands per day and that doesn't happen overnight... but there are realistic expectations you need in place in order to stay in the game...rather than blowing accounts and forcing trades. If we're talking about the transition from Simulator to live, then the answer is to prevent ego from being shattered or high expectations that once you can make money on sim you can make the same on live. Anyone can do anything on sim. Getting from sim to break-even on live means you have learned to execute a system decently while properly managing risk and fears in general. As I said, break-even is not final goal, just a stepping stone. It's a major one to achieve. Guru's aren't saying this in their sales pitches, because who would buy their course/mentorship if they were told expect to be break-even if you're lucky? It's about staying alive in this game and giving yourself the time to keep learning and building consistency using only 1-2% of your account per trade. The emphasis for any developing pro is on process rather than outcomes. No aspiring pro is developing themselves for the sake of losing money but the money won't come if there's no strong process and sound psychology, so I hope that makes things clear.
 
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