The 4pm Fix

Hi all,

 

I’ve been looking more recently at bank orders, and the process of the 4pm fix.

 

http://www.theguardian.com/business/2014/mar/12/forex-trader-closer-4pm-less-risk

 

I’m wondering if the 4pm time (just before or just after) would be the basis for setting up SQ to find some interesting strategies.

 

Any thoughts?

 

Cheers,

 

Mike

The European close is a good one. Quite often that is the HOD/LOD or atleast a directional change. +/- ~ 30mins

Hi Mike,

 

did you really understand how they do it? It has nothing to do with a strategy relying on training historical data and finding repeating patterns like SQ does, but taking advantage of large clients orders that THEY place for those clients and they simply put a trade for their own profit right before executing the client order since the client order is so big that it will push up the market. Hence they profit from their own doing of “manipulating” the market. You can´t exploit that in any way with SQ except you are a bank. Or how do you want to do that?

Hi Mike,

 

did you really understand how they do it? It has nothing to do with a strategy relying on training historical data and finding repeating patterns like SQ does, but taking advantage of large clients orders that THEY place for those clients and they simply put a trade for their own profit right before executing the client order since the client order is so big that it will push up the market. Hence they profit from their own doing of “manipulating” the market. You can´t exploit that in any way with SQ except you are a bank. Or how do you want to do that?

 

I was sort of wondering if this 4pm deadline, combined with front running and large orders, left some kind of footprint in the data that could be exploited in some way, that was all.

OK sure, I see. Well, if you work at a bank, then this will work out nice for sure. But to test it out, you could just used a fixed rule for “Hour == X” then use the improver to build strategies around that fixed rule. Personally I´ve been down that road for any of the 24 hours, never found anything useful from what it generated.