More than 10 years of experience in the world of price micro structure and order book reading!
About 11 years ago, I discovered, almost by chance, that it was possible to trade the financial markets and the various financial assets, even as a retail trader, which seemed to me before completely impossible.
When a false belief disappears, it is usually the moment when the jump can start. which will be necessary to move to the next step.
I think that's true for many people.
other areas of life, and this, beyond the world of trading and finance: to move forward.
So I discovered in 2009/2010 that it was possible to buy a whole bunch of financial instruments different via CFD or forex products, even with money that we don't have!
The famous leverage effect! Second quantum leap, when I understood what the effect was of leverage backed by trading: a debt.
Then I realized that it was also possible not only to buy something with money, but also to buy something, that you don't have...but also; especially to sell something that you don't have, and that, too with money that we don't have either... Short selling. Totally crazy to design
for me at first at the time, but I got used to it, I understood it and I admitted it. Then I discovered the price charts with Japanese candlesticks and RSIs, MACDs, stochastics, and all the other indicators that your CFD broker will give you for free... I was invited to look for and trade trends, but I soon realized that the markets were in fact most of the time:
no trend.
Especially when we want to work them in day trading or scalping. First problem.
Why did they want me to follow the trend when there was none?
Why did they want me to trade breakout configurations when the main breaks in the range are false?
Why was I encouraged to trade economic statistics during high volatilities?
So I decided to take a closer look at the business model of this industry, particularly in the CFD and forex industry. I then understood quite quickly, that by simply looking the prices move, I was missing an element! I finally discovered volume and centralization of future markets, the tape (time and sales windows) and the footprint chart, from 2011! The business
model of the industry has gradually revealed itself to me.
Finally, another quantum leap occurred when I understood the relationship between the lack of liquidity,
and price volatility, only in 2013... A major turning point in my learning and research! I understood relatively quickly from the start ; at that time, that in reality the volume was different from the liquidity, but that ultimately, liquidity and volume are only two parts of the same coin! One cannot go without the other! Indeed, to serve a limit order, you need a market order that hits, and for a market order can be typed and executed, a limit order must be available opposite in the other direction to serve him.
So I understood that the real auction was not so much "buyers against sellers" but rather; "market operator, against limit operator"..... VOLUME vs. LIQUIDITY.
Liquidity provider versus liquidity consumer... for both buy and sell !
Market Maker against "the whole market". That's how it works to simplify things.
It was at that time that I focused on price formation mechanisms, and I then very quickly understood that everything started in the order book! The best one market maker's playground! A paradise for HFT robots.
Problem: the order book went so fast, that it was difficult to exploit humanly... So I looked for a whole bunch of ways and methods to make all these information about reading the order book, and I gradually came to the point to develop the quantmap, and other quant tools related to the study of the micro structure of order book, and this will start in 2015!
In 2017, I naturally understood that it was becoming essential to be able to see what our human eye cannot see with the naked eye...... I am talking in particular about the activities of high frequency market making: the famous HIGH FREQUENCY TRADING: the HFT! This famous HFT which has been invading the financial markets since 2007!
To study the beginnings of HFT, it is necessary to admit, and therefore be able to measure, that most of the time financial markets are highly manipulated by HFT algoes (acting as market makers) and this most of the time. It is an operating standard that has now become the basis for price formation mechanisms.
Through research, statistical studies of all kinds, and attempts at understanding, and the development of certain indicators, I have succeeded in developing and fine-tuning different HFT alerts that will be printed directly on the chart, as soon as an HFT event occurs in the order book:
thus making visible, key elements that were previously invisible.....
One of my ultimate goals has often been to develop a trading algorithm that is capable of to trade alone automatically in scalping on the basis of the HFT signals I have developed upstream... and that's what I'm trying to do today! This is where the whole adventure begins, finally here: with the multiplicity of backtests performed, as well as through the processing of the data collected during these tests, it will be able to determine correlations, constants and probable new concepts that will emerge, and reveal themselves to us. I think the importance of back tests is fundamental because that's what will produce the data, and that will allow us to process the data, to exploit it ; the data, and that solutions for optimizing the algo can be implemented on the basis of this, in order to limit risks and optimize profits.