i stopped trusting single-exchange candles and it fixed a lot
ok so this is more of a data hygiene rant than a strategy post but bear with me.
for like a year my whole perp process was built on candles from one venue. entries, my ATR stop sizing, everything. and every so often i'd get these trades where the wick on my chart clearly tagged my level and bounced, but the fill was garbage or the move just... didn't exist anywhere else. one wick, one venue, gone in a second. i'd size up on what i thought was a real sweep and it was basically one guy nuking a thin book at 4am.
what i do now, and honestly it's dumb simple: before i take anything based on a wick or a sweep, i eyeball the same window on two other venues. if the wick is only on one chart it isn't a level, it's noise, and i either skip it or i cut my size in half. i also stopped putting hard stops at round numbers that only show up on my primary feed for the same reason.
the other half of it is funding and OI, which i treat as its own data problem. i pull those separately instead of just squinting at price, because price alone told me nothing about how crowded a move was. i don't trade off funding directly, it's more like a size dial - if everyone's paying to be long and i want to be long too, i'm going in smaller than i'd like to.
things i still haven't figured out and would take input on:
- how much do you care about candle timestamp alignment across venues? like some feeds close the minute differently and i've definitely fooled myself comparing two charts that weren't actually the same minute
- do you look at aggregated/index price at all or is that just extra abstraction
- volume across venues is basically uncomparable to me, wash trading and different fee structures, so i mostly ignore volume numbers and just use them for relative shape on a single venue. is that too paranoid
the degen part of my brain hates that this process makes me pass on stuff. but the trades i passed on were mostly the ones i'd have been stopped out of by data i shouldn't have trusted.
