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PTMC team 13.09 2014

Scalper: Manual high frequency trading in Protrader

Hey there, Protraders!

It is not a secret that a price of an asset is formed under the law of supply/demand.For example, we can say that if the demand for the asset is quite high and the supply is low enough, then the asset price will rise. In fact, any warp in the parity of buyers and sellers leads to a change in the asset price. Using this fundamental economic knowledge, some market participants get profit by short-term asset movements due to an imbalance of supply/demand. Such type of trading is called a short-term high frequency trading or scalping. And market participants who use this type of trading are called scalpers. When using scalper strategies the fixation levels of profit or loss are small in terms of the asset movement but it is compensated by the position size. Scalper can open from a dozen to several hundred of positions for the trading session. Having studied the experience of short-term trading and optimized the existing solution of high-frequency trader’s workspace, the “Protrader” developers created the module called “Scalper”. This module includes the main instruments that high-frequency trader may need.

To access the “Scalper” choose the appropriate item in the menu “Terminal”.

To access the “Scalper” choose the appropriate item in the menu “Terminal”.

We’ll see the “Scalper” workspace in the opened window:

We’ll see the “Scalper” workspace in the opened window

Just note that the trading will be conducted on the tick level. Let’s consider the available instruments.

Market depth (Level II)

Current quotes of the asset show the best price of purchase and sale (Bid and Ask) which the liquidity provider can offer. But itself this data is practically useless in terms of predicting the direction of the asset movement. The so called “Market depth” of prices exists, in which you can observe pending orders of the market participants on some depth higher and lower than current price. The short-term situations of imbalance between buyers and sellers can be noted by analyzing this data. These situations can be divided into two types: situations when one player exposes an order with large volume in one direction or another; and situations when most of the market participants simultaneously come to the side of buyers or sellers. In both cases with a certain probability we can anticipate further movement of the asset. Thus, “Market depth” of Level II prices helps to define current mood of the market participants relatively to the asset.

Market depth (Level II)

In this case, the “depth” itself consists of a certain amount of prices below and above the last trade price by the asset, as well as histogram of volumes of the exposed orders. Also at the top and bottom of the screen, in order to make the analysis easier, the total volume of pending orders for purchase and sale of the asset can be derived.

Time & Sales

The data that is available in the “Market depth” describes only the dynamics of pending orders, but doesn’t give the information about really performed trades. After all, the exposed pending orders can be cancelled or modified. The information about performed trades can be seen in the Time & Sales. In the “Scalper” it is implemented as a sequence of small and large circles of different colors. In this case, we can set a certain limit value by volume of the performed trade, and then, the large trades will be displayed as big circles with a mark of the traded volume inside. This allows tracking the dynamics of the large trades.

Time & Sales

We can judge about the sentiment of the market participants by the sequence and value of performed trades. Analysis of the total information from the “Market depth” and “Time & Sales” gives to the experienced scalper the comprehensive market information, based on which, trading decisions can be made.

Overlay indicator

Communication of certain assets between themselves becomes apparent with the development of financial markets. As an example, we can consider the movement of any index and asset included in this index. In such linked assets we can identify the asset that sets the direction and pace of movement, and the asset that in some extent repeats these movements. The first asset is called a driving, and the second - driven. Using such dependencies between assets, the high-frequency traders can increase their chances of a positive outcome of their trading. Tracking of the linked assets in the “Scalper” module is implemented in the form of an indicator which graphically reflects the dynamics of set assets' movement (Overlay indicator). Up to three assets can be set simultaneously.

Overlay indicator

Also, one more instrument in the “Scalper” module can be attributed to the intermarket analysis. This is an impulse indicator which consists of two vertical bands for each asset that show the total volume of purchases or sales for a certain period of time respectively. After all, the accumulation of the purchases or sales on the linked assets can lead to the impulse movements that will affect the dynamics of the traded instrument.

Trading with the help of the mouse and hot buttons

In the case of high-frequency trading the time of opening, modifying and closing of the trade plays a significant role in the effectiveness of trading. Therefore, management of the pending orders and opened positions with the help of one mouse click or hot buttons from the keyboard is implemented in the “Scalper” module.

Trading with the help of the mouse:

  • Left mouse click in the “Market depth” area will lead to the long position opening or to the Buy pending order sending;
  • Right mouse click in the “Market depth” area will lead to the short position opening or to the Sell pending order sending;
  • If Buy pending order placed then right mouse click on it will lead to its cancellation;
  • If Sell pending order placed then left mouse click on it would lead to its cancellation;
  • Drag and drop the placed order, the levels of Stop loss or Take profit using clamped left mouse button to modify an order.

Trading with the help of hot buttons:

  • “Up” button opens the long position;
  • “Down” button opens the short position;
  • “Right” and “Left” buttons increase or decrease the quantity of position;
  • “Ctrl” button closes the positions;
  • Buttons 1, 2, 3 respond for the switching between standards of the position settings.

User can set up the type of opened orders, standard values of Stop loss, Take profit, and Trailing stop through the Context menu - > Settings. Also, using “Position limit” window we can set a limit on the open orders. The “Overlay indicator”, “Impulse indicator”, “Time & Sales” and “Market depth” are setup in detail.

Trading with the help of the mouse and hot buttons

As a result we get a ready instrument for high-frequency trading which is easily customizable for the requirements of individual trader. And the most important thing is that all of these functions are available to users “out of the box”.


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