Automated Trading

Two months of running the same mean reversion thing on sample data, and my fill assumptions were always a bit hand-wavy — I just assumed the book looked ro…

My perp entries have gone out as market fills for months because I hate missing a move, and my PnL curve has this weird slow bleed even on days I called di…

I read the guide here comparing market and limit orders, the one that actually tries to measure what each costs rather than just define them. What stayed w…

So I read the volatility stop writeup in the strategy library over the weekend, the one that scales the exit distance to how much the instrument has been m…

morning all, coffee number two and i'm poking at the crypto side for the first time.

Read the scalping writeup in the strategy library last night, the one that argues the spread condition is the actual strategy and the entry is just decorat…

So I read the guide here about how much you actually need to day trade now that the pattern day trader thing has been scrapped. Interesting read, and hones…

so i read that research piece on this site where they walked market buys down the recorded ask ladder on US stocks, millions of quotes, and compared the ac…

background. used to scalp manually. burned out. now i automate.

Read that research piece here about the last traded price not being a price you can actually get filled at, and it dug up an old bruise.

hey all, night shift crew reporting in ☀️ (well, moon i guess)

Up at 4:30 most days. Not bragging, my dog decides it, not me.

In our experience the gap is rarely the strategy. It is universe eligibility, fill assumptions and data timing. A backtest that assumes every candidate can…

Paper mode is where the strategy gets to be right in a world with no consequences. The gap to live is mostly about things paper can't punish you for.

kept a year of my own logs. the stop loss closed the obvious disasters, fine. but the thing that actually moved my numbers was the time exit — the rule tha…

Someone said above that a grid is a short volatility position with a friendly interface, and I've been thinking about it since.

Following the grid posts, a caution. A grid is the only common retail strategy where the default behavior when things go wrong is buy more. Everything else…

There is a property of your strategy you are expected to know and almost nobody here computes: how much capital it can absorb before it stops working. I ha…

Somewhere along the way I picked up the habit of keeping a running session average on the intraday chart and asking one question about it constantly: is pr…

The failure mode is always the same: the grid is fine until the range stops being a range. So put something in front of it that notices.

Every grid has a lower boundary. Below it you have spent all your allocated capital and you are simply long, holding everything you bought on the way down,…

Trading the closing stretch deserves to be treated as its own category rather than a special case of intraday, and I had never seen anyone here say so.

I had been treating everything before the bell as noise. Then it occurred to me that the opening auction publishes an indicative price and a matched quanti…

Two ways to space the levels of a grid.

Most people here treat grid bots as a crypto toy. They have been run on stocks and funds for far longer than that, and the mechanics are worth stating prop…

People pick a universe size by gut. Here's a cleaner way to frame it.

Honest question rather than a lecture. People here. Me included. Will run something for three weeks, see green, and start sizing up.

When something goes wrong, "the strategy lost money" is not a diagnosis. Here's what I keep so I can actually reconstruct a session:

Both of mine trade momentum. Different timeframes, so I figured they'd stay out of each other's way. Nope! On a strong day they both fired on overlapping n…

Automation makes it easy to increase frequency, and frequency is where execution cost stops being a rounding error.