Ok, that would indeed work. I was under the impression that it is only 100k. Anyways. But what about the other requirements, ie. the streaming data? And: can their API be used with such a paper account? And: is options trading possible with the paper account?
It depends how long your trades remain open. In my system i keep trades open avg 40 days so 20 min means nothing. So if you are holding even a few days then 20 min means nothing. If you hold trades for 20-60 minutes then yes you can fake it. Right now you use fake GBM data that you make up so this is better.
You better should be careful with your unfair accusations. The GBM data is neither fake nor made up. It is in my very own interest to have everything as realistic as possible. This is an example of trade durations in days: Code: Trade durations in days: Days Trades cumTr cumPct 1: 1153 1153 66.00 2: 293 1446 82.77 3: 134 1580 90.44 4: 82 1662 95.13 5: 42 1704 97.54 6: 21 1725 98.74 7: 13 1738 99.48 8: 4 1742 99.71 9: 2 1744 99.83 11: 1 1745 99.89 12: 1 1746 99.94 14: 1 1747 100.00 I'll change it to get this statistics for 15 minute intervalls, ie. 26 intervalls/day. BTW, above you talk of your own system. What kind of instruments do you trade with it? Options?
Why "20-60"? Should that not be just 20 when the data is 20 minutes delayed? My stats show that in the current version about 35% of all positions last less than 20 minutes or 38% last less than 60 minutes. I think I can change this, so that this percentage then gets halved or so (but this then only for the 20 minutes). Hmm. I think I can even try to keep a position at least 20 minutes. I have confidence in my system; it should master even that constraint. But which impact that will have on the P/L I have yet to test. Regarding your system: don't you pay too much time value when holding an options positions for so long, ie. on avg a whopping 40 days as you say?
I buy ITM Call options that expire 12-48 months away if I have a directional bias, they have very little time value deterioration I also sell options when the opportunity is right. I enjoy exploiting the nature of the VIX term structure is also a favorite trade.
Chubbly, it is impossible to test this with delayed data, without getting accused of fraud by peeping into the realtime data. Even if I keep a position at least 40 minutes, or 60 minutes... It can function only with realtime data. Any ideas?
Some statistics about trade durations after 252 trade days (just an example, changes with each run and depends on the params): Code: Used params for each bot (each bot trades just 1 instrument; trade means also strategic hedge-trades): MinWaitSecondsBetweenTrades = 300 MinHoldSeconds = 600 Trade durations in 390 intvls/day: Intvls = Days = Minutes: Trades cumTr cumPct 6 = 0.0154 = 6.00: 20 20 0.89 7 = 0.0179 = 7.00: 394 414 18.34 8 = 0.0205 = 8.00: 10 424 18.79 9 = 0.0231 = 9.00: 20 444 19.67 10 = 0.0256 = 10.00: 13 457 20.25 11 = 0.0282 = 11.00: 10 467 20.69 12 = 0.0308 = 12.00: 9 476 21.09 13 = 0.0333 = 13.00: 9 485 21.49 14 = 0.0359 = 14.00: 15 500 22.15 15 = 0.0385 = 15.00: 2 502 22.24 16 = 0.0410 = 16.00: 11 513 22.73 17 = 0.0436 = 17.00: 11 524 23.22 18 = 0.0462 = 18.00: 6 530 23.48 19 = 0.0487 = 19.00: 6 536 23.75 20 = 0.0513 = 20.00: 5 541 23.97 21 = 0.0538 = 21.00: 6 547 24.24 22 = 0.0564 = 22.00: 10 557 24.68 23 = 0.0590 = 23.00: 8 565 25.03 24 = 0.0615 = 24.00: 5 570 25.25 25 = 0.0641 = 25.00: 12 582 25.79 26 = 0.0667 = 26.00: 3 585 25.92 27 = 0.0692 = 27.00: 8 593 26.27 28 = 0.0718 = 28.00: 6 599 26.54 29 = 0.0744 = 29.00: 2 601 26.63 30 = 0.0769 = 30.00: 8 609 26.98 31 = 0.0795 = 31.00: 11 620 27.47 32 = 0.0821 = 32.00: 4 624 27.65 34 = 0.0872 = 34.00: 6 630 27.91 35 = 0.0897 = 35.00: 2 632 28.00 36 = 0.0923 = 36.00: 5 637 28.22 37 = 0.0949 = 37.00: 2 639 28.31 38 = 0.0974 = 38.00: 7 646 28.62 39 = 0.1000 = 39.00: 11 657 29.11 40 = 0.1026 = 40.00: 2 659 29.20 41 = 0.1051 = 41.00: 8 667 29.55 42 = 0.1077 = 42.00: 4 671 29.73 43 = 0.1103 = 43.00: 3 674 29.86 44 = 0.1128 = 44.00: 5 679 30.08 45 = 0.1154 = 45.00: 9 688 30.48 46 = 0.1179 = 46.00: 3 691 30.62 47 = 0.1205 = 47.00: 3 694 30.75 48 = 0.1231 = 48.00: 6 700 31.01 49 = 0.1256 = 49.00: 5 705 31.24 50 = 0.1282 = 50.00: 12 717 31.77 51 = 0.1308 = 51.00: 1 718 31.81 52 = 0.1333 = 52.00: 5 723 32.03 53 = 0.1359 = 53.00: 7 730 32.34 55 = 0.1410 = 55.00: 4 734 32.52 56 = 0.1436 = 56.00: 8 742 32.88 57 = 0.1462 = 57.00: 3 745 33.01 58 = 0.1487 = 58.00: 4 749 33.19 59 = 0.1513 = 59.00: 8 757 33.54 60 = 0.1538 = 60.00: 5 762 33.76 ... 100 = 0.2564 = 100.00: 4 905 40.10 ... 174 = 0.4462 = 174.00: 5 1132 50.16 ... 258 = 0.6615 = 258.00: 5 1355 60.04 ... 368 = 0.9436 = 368.00: 2 1581 70.05 ... 539 = 1.3821 = 539.00: 1 1806 80.02 ... 846 = 2.1692 = 846.00: 1 2032 90.03 ... 1227 = 3.1462 = 1227.00: 1 2146 95.08 ... 1532 = 3.9282 = 1532.00: 1 2201 97.52 ... 1714 = 4.3949 = 1714.00: 1 2212 98.01 ... 2220 = 5.6923 = 2220.00: 1 2235 99.03 ... 2505 = 6.4231 = 2505.00: 1 2246 99.51 2519 = 6.4590 = 2519.00: 1 2247 99.56 2527 = 6.4795 = 2527.00: 1 2248 99.60 2550 = 6.5385 = 2550.00: 1 2249 99.65 2551 = 6.5410 = 2551.00: 1 2250 99.69 2565 = 6.5769 = 2565.00: 1 2251 99.73 2708 = 6.9436 = 2708.00: 1 2252 99.78 2751 = 7.0538 = 2751.00: 1 2253 99.82 2842 = 7.2872 = 2842.00: 1 2254 99.87 2922 = 7.4923 = 2922.00: 1 2255 99.91 3424 = 8.7795 = 3424.00: 1 2256 99.96 3795 = 9.7308 = 3795.00: 1 2257 100.00