Need Information on GTIS Feed. Charts don't reflect actual price prints.

[demarcog]

I have been using esignal for many years both professionally and personally. It was my understanding that the data used to build the charts were actually trade "prints" for equities. In addition I believe for time & sales and chart displaying, there was a way to filter out certain prints, ie., eliminating the ECN prints which can usually be away from the "real" market for listed stocks.

My question is about the GTIS feed for forex, ie., EUR A0-fx as one symbol. The price bars that are being painted on the screen seem to contain Bids and Offers for all the colective feeds, and typically bars are being painted at price points that are therefore highly innacurate.

If one bank, makes an odd ball bid or offer, which is done frequently, to have that bid or offer which will usually never get executed, used to build the chart seems somewhat inconsistent with other products, like equities. The oddball bids and offers made by ecns are not used to build the chart for equities are they?

I develop systems using EFS and the results I get in my backtesting for systems that seem profitable, don't come close to making money primatily becaise the highs and lows for each bar are way away from the market.

The fact that volume data is offerred for the GTIS feed leads me to believe that the feed contains actual trade information. Wouldn't it make sense to only use real prints when building a chart as is done in every other market. Bids and offers are just that bids and offers, not trades and it really makes my job as a trader infinitely more difficult. Anyway of just getting the prints?

As a second possible solution, is there anywhay for backtesting and for chart painting to filter out everything except for example, FXCM and or HoTSpotFX?

Keep in mind that the forex market is much larger than the equity market and it may be in esignals interest that by making that feed more consistent with what the forex traders see in the real world may open up new markets to esignal.


Thanks very much.

[JayF]

There's one big difference between the stock markets and the Forex market... Forex does not report trades. The banks themselves only disclose the bid and the ask; they don't report actual deals (the Forex term for a trade.) Because of this, there is no subsequent volume as there is with the stocks and electronic futures. The volume you see in an intraday Forex chart in eSignal, is simply a reflection of the number of bids. Likewise the charts are reflecting the historical bids (not offers.)

We have had requests in the past for the ability to single out only one bank for a particular chart or quote. This is on the list of items to accomplish, however it has not yet been scheduled for a particular release.

The best way to get this feature added sooner instead of later is to email [email protected] , which goes straight to our Product Development Team.

[demarcog]

Thanks for the reply.

One important thing you mentioned that I wasn't aware of was that only bids are reflected and not offers? That's interesting, any idea why only bids?

Do you have any idea how I can adjust my trading strategies, in particuliar stops and profit targets to account for this discrepency?

Thanks again, I appreciate all the help you guys provide.

[JayF]

demarcog,

Without knowing your trading strategies it would be difficult to advise you how to adjust them for Forex. From my experiences with trading the ES futures and Forex, I can say that my strategies had to be fairly significantly altered in the following ways:

1. Changed to Swing Trading - Scalping Forex is more of a challenge in my opinion. While there is no commission with most Forex brokers, their cost is higher for scalpers, because of the way the banks make their money (via the pip spread). I found even a setback of 3 pips created an uphill battle both psychologically and fiscally. I'm certain that more seasoned Forex traders can scalp it, but I instead switched to longer trend plays (100-150 pip targets,) with a somewhat looser stop then with the ES.

2. Switched to Pattern/Price Level Trading - Patterns seem to develop cleaner in the Forex market due to the sheer amount of liquidity. While ES is certainly very liquid, it seems that ES is better (for me) with traditional technical indicators (CCI, Stoch, MA's) and Forex is better with pivots and basic support and resistance principles.

3) Alter my perspective to a global marketplace - Forex is obviously a global market and as such it is influenced by very different factors then equity futures are. For instance, one major stock can release negative numbers and can send ES in a downward spiral for a few hours. Forex, while it certainly can be volatile, seems to react slower. Some may disagree with this, but generally speaking this has been my observation.

I hope this information proves useful to you. You may also want to post a similar thread in the Trading Strategies >> Forex forum to query some other experienced traders that specialize in that area.

[demarcog]

Jay,

I very much appreciate the sound advice.

I agree that the 3 pip spread is a bit of an obstacle to overcome in shorter term, 5 minute interval based trading systems. Although that situation is changing. Hotspotfx for example which I've used recently trading for a prop trading company is between 1-2 pips which is significantly better.


I also agree with the subtle or not so subtle differences between the ES which I also traded. In forex, the round "figures" are definately signigicant.


Given markets seem to move sideways for the most part with occasional bursts my strategies utilize stochastic, price oscillators, +DI, +DI looking to be in the market most of the time, looking to be on the right side of the next major move, and then I switch to moving averages, and ADX, ignoring stochastics and oscillators until the trend starts to fizzle out or my profit target is hit.

I'm really starting to doubt whether a fully automated profitable strategy is possible based on indicators alone. The more I trade the more I realize that you need to be aware of so many other factors as you alluded to: support and resistance levels, trend and channel levels on the time frame you are trading and other (higher time frames), fibonacci retracement levels, what fundamental news is due out and how the market reacts, what the market has done in the prior few hours, what time of day it is, how other related markets are acting, etc, etc, etc. Then there is the finesse of trade placement, looking to establish a position at the most least expensive chart point in terms of stops, Then the science of effecttive profit target's, sizing up and down when in a position, how big a position to take, etc.


I've been cranking out EFS strategies on a daily basis for years now, have downloaded and tested every complete strategy posted on this site and I've not been able to find anything that performs well enough to trade. If you have anything that makes money using 5 min data in the currency or ES market I would love to be pointed in the right direction.


Thanks Again [email protected]