OK guys seeing how I am not going to be around as much I thought I'd at least offer up my thoughts on what has been happening in the horse racing markets recently. I've heard all sorts of theories....some dismissive, some conspiracy but most are in agreement there is something going on!
Here is what I think anyway!
Its actually a lot simpler than people realise IMHO. It comes down to one thing. Fill rate. Fill rate has gone through the floor. I don;t have the actual stats on this but I am pretty sure Euler has and can probably back this up.
I have been watching quite a lot of older videos in the last few days and one thing seems to be sticking out. Volatility is through the roof! Why is this happening? Its down to the fill rate. In pretty much all the videos I have seen from over a year ago the price action is a lot more stable than it currently is.
How does the fill rate affect the volatility?
Its fairly straightforward for me. The fill rate is a lot lower. You used to be able to ask for a price and get filled because the fill rate was pretty good. Now what has happened is the fill rate has gone down so there are more orders in the book at all the prices that simply aren;t getting filled. This means if people want to get filled they are having to take a price rather than ask for a price. This means the price is effect getting pushed back and forwards a lot more by both traders and punters. As a trader when you have to take a price you are pretty much putting yourself in almost a 2 tick loss just to open a position. Throw in some volatility and all of a sudden you are having to take some serious heat on most of your positions you open. This is the first part of the problem. The second part of the problem is there are a lot of bots competing against you. Breakout trades through crossover points are completely automatic and if price go's through and you have a position based on support at that point you have no chance of getting out and likely price will go 5-6 ticks instantly.
What you will find a lot of the time now is whatever position you take you will either not get filled or price will go through you and you have no chance of getting out never mind profiting.
I like to think of the market like a fast stream when the fill rate is high. Price flows from one point to the next fairly fluently. When the fill rate gets low then it is more like a set of stairs but you are tossing a coin if there is going to be enough power in the market to push up or down the next stair.
I have no idea why the fill rate has gone so low. Maybe its the sportsbook. maybe it is just lack of real money in the markets. Maybe all the traders have tried to automate their strategies after being priced out by the PC. Curiously its not so much of a problem on betdaq so if you are just starting and struggling on betfair I would definitely suggest having a look their. Its a smaller market and liquidity is less but trust me it is actually easier to trade!!
Just a few thoughts anyway!
JR
whats happening in these horse racing markets! My thoughts!
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steven1976
- Posts: 1744
- Joined: Tue Jan 19, 2010 6:28 am
For me, if I want to scalp a trade, it is at least 3 positions now. Its as though you have to expect your first position to be moved against. If it moves against, you need your next position a couple of ticks away to trap it.
Its only doing that because the prices aren;t being filled at a price and so traders are having to then take a price and temporarily push it in one direction. compound this multiple times and you just get a lot of chunky noise around a rough price. Its also harder to get on an actual move because the book is so full. You may see the move before it gos but getting a position on it is extremely hard.
The most frustrating thing is having to chase a position against you when your order doesn;t get filled. you end up chasing it and then all of a sudden the whole thing reverses and catches you out leaving you in the exact opposite position you first had and in effect you end up taking multiple reds on what is the same position! Its all because the fill rate is so low!
The most frustrating thing is having to chase a position against you when your order doesn;t get filled. you end up chasing it and then all of a sudden the whole thing reverses and catches you out leaving you in the exact opposite position you first had and in effect you end up taking multiple reds on what is the same position! Its all because the fill rate is so low!
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steven1976
- Posts: 1744
- Joined: Tue Jan 19, 2010 6:28 am
Its because the market isn't natural. The "market is the market".
There are not a lot of real backers clicking through to the exchange, so it becomes war games simple as! I think even peter Webb said last year that all his entry points are automated and he just manages his exits?
There are not a lot of real backers clicking through to the exchange, so it becomes war games simple as! I think even peter Webb said last year that all his entry points are automated and he just manages his exits?
I agree with the fill rate hypothesis, but why is the big question. Maybe just a lack of real money in the market? Also when you look at the stats the volatility overall is actually reducing, it's just the 'jumpiness' of the market that has increased over the last year.
ok that has stumped me somewhat....how can the market be more jumpy but less volatile? I need to think about that one for a while! I guess you mean the total volatility which means the markets are moving less in total but more within a tighter range?? That makes sense to me anyway and is what I am seeing. And holds true to the lower fill rate theory too. There is generally less real liquidity to push the market to a higher range but because the fill rate is so low there is more noise/jumpiness around the price because people are having to take prices rather than wait to get filed at a price? Hope I have explained that ok. It seemed ok in my head!
Good post Jim I was working round to the same conclusion. I've virtually stopped trading these markets now until I can work out a way to exploit them.jimrobo wrote:snip
JR
Interesting that you think the Betdaq markets are easier to trade. I've been observing the markets and from what I've observed (not a great sample size)the money just seems follow Betfairs matched prices. On top of this it looks as though a 1 tick price gap is a common occurrence. Added reduced liquidity this seems to increase the volatility in prices matched while at the same time makes its very hard to get on a trend/counter trend. I'll continue my observations this week.
I can't speak about the Racing markets, but I can relate to your observations when comparing them to sports markets
I've been desperately disappointed by the Aussie Open Tennis markets - the fill rate has disappeared down the toilet. I think a combination of PC and a general hatred for BF, has led to many traders and bigger punters leaving. The markets have just become so weak and open to unexpected volatility
I've been desperately disappointed by the Aussie Open Tennis markets - the fill rate has disappeared down the toilet. I think a combination of PC and a general hatred for BF, has led to many traders and bigger punters leaving. The markets have just become so weak and open to unexpected volatility
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superfrank
- Posts: 2762
- Joined: Fri Aug 14, 2009 8:28 pm
I agree with this 100%. Something changed on 1st July 2012 and things have not been the same since and have actually got worse. When once you could have been confident of a fill in certain positions, without the price busting through you and being held, now you can't, and "nice fills" are increasingly rare.jimrobo wrote:What you will find a lot of the time now is whatever position you take you will either not get filled or price will go through you...
I suspect it's a combination of things: BF tweaks on order matching, an increased number of bots running very similar strategies, and an overall reduction of "real" activity on the exchange. It's a shame, but stop worrying about it now... you're moving on to better things!!
I'm still going to be trading weekends and some evenings and technically I may be trading again in a few months. I only have a guaranteed 3 months contract with a potential after that! (crosses fingers!)
I've been thinking about this a lot over the last few days. I usually have been burying my head in the sand about it and trying to work around it rather than explain it but seeing as I don;t technically have to work around it in the very short term I wanted to try and offer a decent explanation to people as to why it is happening and at least try and qualify an idea even if I can;t actually quantify it.
I've been thinking about this a lot over the last few days. I usually have been burying my head in the sand about it and trying to work around it rather than explain it but seeing as I don;t technically have to work around it in the very short term I wanted to try and offer a decent explanation to people as to why it is happening and at least try and qualify an idea even if I can;t actually quantify it.
I realise you'll laugh at me for raising a terrible market, but on Sunday nights I've always dabbled on Dancing on Ice markets, especially the next eviction where there are invariably some good bookmaking & dutching opportunites. There's always a few thousand in this market, so far tonight it stands at £219
Something has gone horribly wrong in the past 18 months. I know you're primarily interested in racing markets jimrobo, but these changes have happened across the board
Something has gone horribly wrong in the past 18 months. I know you're primarily interested in racing markets jimrobo, but these changes have happened across the board
nothing wrong with those type of markets! I know people have made thousands trading stuff like that.
I suspect there is going to be a decent drop off in betfairs reported profits at some point at least from the exchange anyway and that's when the serious questions will be asked. Its amazing how quick some of these markets can drop off though! well.....worrying more than amazing!
I suspect there is going to be a decent drop off in betfairs reported profits at some point at least from the exchange anyway and that's when the serious questions will be asked. Its amazing how quick some of these markets can drop off though! well.....worrying more than amazing!
I have always been heavily into the Reality markets and have done extremely well out of them over the years. However, year on year, the volumes in each market have declined from 10's of thousands to pitiful amounts. Only the core pro's stay in these markets now.
If I may offer a view on the pre race markets, I think there is a contradiction if it is claimed that fill rates have declined whilst volatility has increased. Volatility can only increase as fill rates increase, viz as money gets taken quickly, the market will appear more volatile (assuming we are looking at non thin markets).
I may be wrong but those who complain most about fill rates are probably, for the most part, scalpers who put money in a queue and expect, as they have always done in the past, their money to be taken in proper English order
. They might want to think about Newton's 3rd law.
From the tens of thousands of detailed charts I have covering the past few years, I can see some of the things that are happening. Firstly there is less money in the markets and at some meetings they are as thin as a Cartmel teatime market. The effect of thinner markets is to increase volatility and the resultant leapfrogging makes it difficult to get filled unless you stick your neck out.
Secondly, bookmakers lay-off bets (mad bombers) are more apparent in thinner markets and a lot of the jerkiness that now appears is caused by bet sizes well above stakes that the market can comfortably accommodate.
Finally, whereas in the past, market movement was a relatively smooth affair with money being taken from the queue in an orderly fashion; the current situation is somewhat different due to the "reverse bot".
Instead of moving gradually one tick at a time in a particular direction presenting a smooth upward or downward curve on a chart, the "reverse bot" now makes most trends look like a zig zag path through a minefield. This is why the most common complaint recently is that "every time I place a bet, the market moves against me".....guess what? It is true! (ask Newton)
The combination of these changes in market dynamics has now served up a different type of market that frustrates scalpers more than most but offers a new challenge to those who constantly evolve their trading methods.
Just a final note on the "reverse bot". I can see it but I cannot determine its owner; whether it is a by product of cross matching, a recent change linked to the sportsbook, an actual bot run by an individual or some other computer generated code (it certainly isn't a manual process), I can not tell which.
If I may offer a view on the pre race markets, I think there is a contradiction if it is claimed that fill rates have declined whilst volatility has increased. Volatility can only increase as fill rates increase, viz as money gets taken quickly, the market will appear more volatile (assuming we are looking at non thin markets).
I may be wrong but those who complain most about fill rates are probably, for the most part, scalpers who put money in a queue and expect, as they have always done in the past, their money to be taken in proper English order
. They might want to think about Newton's 3rd law.From the tens of thousands of detailed charts I have covering the past few years, I can see some of the things that are happening. Firstly there is less money in the markets and at some meetings they are as thin as a Cartmel teatime market. The effect of thinner markets is to increase volatility and the resultant leapfrogging makes it difficult to get filled unless you stick your neck out.
Secondly, bookmakers lay-off bets (mad bombers) are more apparent in thinner markets and a lot of the jerkiness that now appears is caused by bet sizes well above stakes that the market can comfortably accommodate.
Finally, whereas in the past, market movement was a relatively smooth affair with money being taken from the queue in an orderly fashion; the current situation is somewhat different due to the "reverse bot".
Instead of moving gradually one tick at a time in a particular direction presenting a smooth upward or downward curve on a chart, the "reverse bot" now makes most trends look like a zig zag path through a minefield. This is why the most common complaint recently is that "every time I place a bet, the market moves against me".....guess what? It is true! (ask Newton)
The combination of these changes in market dynamics has now served up a different type of market that frustrates scalpers more than most but offers a new challenge to those who constantly evolve their trading methods.
Just a final note on the "reverse bot". I can see it but I cannot determine its owner; whether it is a by product of cross matching, a recent change linked to the sportsbook, an actual bot run by an individual or some other computer generated code (it certainly isn't a manual process), I can not tell which.
The problem I always found with your named reverse bot is inconsistency......done days it's simply not there, done days it appears during a day. If it's an automatic system I can't see how it is so inconsistent unless it is triggered by specific conditions
OK for volatility I am measuring full traded range. I.e. the maximum the market can move against you and create a loss, which is decreasing year on year. For fill rate I am talking about sticking an order in the market and waiting for it to fill. So that's why I say volatility is decreasing but the market is more jumpy.
It depends how you approach the market though, as I've changed my stance based on the above observations. So I've already changed behaviour to take account of direction becoming more important.
If you think either will have a -ve impact on Betfair why not short them?
It depends how you approach the market though, as I've changed my stance based on the above observations. So I've already changed behaviour to take account of direction becoming more important.
If you think either will have a -ve impact on Betfair why not short them?