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Study results posted: MOC Imbalance - Is there an Edge? (Part-2: The Verdict) https://siramcapitalresearch.substack.com/p/moc-imbalance-is-there-an-edge-part-c98 Thanks Jim and Marcas for valuable feedback. Posting a picture of summary info here. Regards! -gariki

Very good insight Marcas wrt poor liquidity days having a bigger impact. I suspect I will dig in that far though. Something for someone else to run with :) And i do see that i have the time stamps incorrectly set as 11:50 and 12:15; they should have been 12:50 and 1:15 (PST). Around market...

Excellent feedback Marcas. Yes; all three of the things you listed.. i think i will have some quantifiable answer by the time i am done with collecting data and analyzing. And yes; i am going to look at the move between 15:50 and 16:15 (/ES should move after close and that should be due to...

Hello folks, I am setting up a study to test somewhat quantitatively if there is an edge in moc imbalance data available from financialjuice.com As of now just did a basic setup of what i want to measure and test. If you guys have any feedback like changes to parameters to test, additions to...

Sorry to hear Tom. Hoping for a quick recovery for your wife. -gariki

Yep; on office 365. Was curious on this _xlfn thingy.. and you are bang on. Here is what google says; interesting to know..

Agree with status1; seems like some software compatibility issue. When i try today; and replace with a random SPX opra; this is what i see.. And data loads up fine. Dont see the _xlfn stuff. Are you on some kind of unix/apple hardware by any chance? Also, negative on replacing with...

Its quite simple actually. Almost what OV did before plus a few things ONE does better (easier data management, easier navigation) - and beat them in pricing. :) -gariki

I have a guess as to what happened here.. there were some bugs in tos backtester that I reported last week where in SPX, if you backtest and change quantity or lock the price in the backtester once a trade is on, the prices were going blank on the ladder. They probably tried to fix that bug...

ah. I see. it's showing a bigger profit in one vs the other. yes.. surely it's a model error. I think someone said that before already.. it's just a guide. Real results will be different; and since you are modeling with a 10lot you are seeing a 10x error magnified.

hello status1: i am looking at it also after market close; actually saturday night. And here is how it looks like.. looks ok to me. other than the fact that since its a cal, you cant even really depened on the expiry pnl curve. But you already know that.. probably. And the am expiry looks ok...

Hear you Marcas. Same here actually; that's quite a coincidence. I used it for a couple of years - but now it's more of a drag than help. If I have to do more backtesting sometime in the future; I will get a subscription though.

Thanks Marcas. It's already on my to-do list; maybe I will prioritize it again. If someone else wants to join in in the fun.. let's connect. I don't mind sharing the end result for everyone to benefit from (it's not easy to collaborate and work.. it comes with its own challenges but worth a...

Yep Marcas. I do have my own little excel dashboard i use to trade - I can almost trade exclusively with it. But i do supplement it with tos for charting. Someday i will integrate pnl curves also into the dashboard. Anyways.. i did chat with tos support and they have confirmed that it seems to...

Looks like somebody botchedup and made an unintended change to look expiry pnl curves all curvy and maybe nice(in their opinion).. also inaccurate un-intentionally. Anybody else seeing this. or is it just me? -gariki

Yes. I have seen odd stuff like that coming through the RTD feed once in a while. Closing and reopening the spreadsheet usually fixes it for me. Worth a try..

Thanks for the input Dave. I did include a brief description on the site as well as in the post above. But perhaps i will update the spreadsheet and add some description directly in it.

@Marcas: Idea of the diff column is to see the difference in pricing between a fly centered at x vs at x-10 or x+10. Many times i dont mind a fly around in a wide range of center strikes and if there are any price abnormalities due to skew or whatever they should become evident in pricing and...

Hello Folks, I've recently posted a fly pricing spreadsheet on my site (a glorified blog of sort). Given a number of folk here trade similar structures (flies, condors etc) thought it would benefit you folk as well. I am attaching the spreadsheet here to the post so you dont need to go to my...

looks like bad data.