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fatrat
Registered: Sep 2005
Posts: 360 |
12-05-06 02:35 PM
Quote from fader:
can you get the opening print from the primary exchange real-time from Esignal? i use IB which has an option to restrict datafeed to SUPERSOES, for example - it works for historical data downloads, but not for real-time quotes which include ECN data in pre-market hours.
Yes. When you enter the ticker symbol, you use an = to restrict charting to only those prints that came from a certain exchange.
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fader
Registered: Feb 2004
Posts: 441 |
12-05-06 08:58 PM
Quote from fatrat:
Yes. When you enter the ticker symbol, you use an = to restrict charting to only those prints that came from a certain exchange.
thanks, i haven't used esignal in quite some time; best of luck with your OO system.
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fatrat
Registered: Sep 2005
Posts: 360 |
12-06-06 02:53 PM
I've been reading "An Introduction to High-Frequency Finance" as of late to decide whether I need any sort of data-cleansing components for my trading system. The book is very math intense. The good news is that I have -most- of the math background required to understand the book. The bad news is that I forget pieces of information here and there and have been slogging through math books the past two days.
The calculus? I'm decent I remember integrating by parts, most of the basic trig integrals, and integrating with substitution. I remember the basic multi-variable calculus. The matrix math? I mostly remember. The statistics? That's where my knowledge has some gaps. So, the intention, if all works out, is to take a probability and statistics class for a review of the material.
There's two books I'm bouncing back and forth between. "An Introduction to High-Frequency Finance" and "An Introduction to Financial Calculus". There's quite a bit of material and I've read about 25% of each book. The only problem with these books, of course, is that there aren't enough exercises for the reader to work on to really reinforce the mathematics.
As far as the opening system, it's roughly 60% complete as far as signal generation, but it is not complete as far as backtesting. I also need an order management system. Neither of these software components are trivial.
I've decided to spend some time searching for contract work on the side to cover basic living costs and scrap scalping for profit at the time. I'm interviewing right now, so as soon as the interviews are complete and I have secured a solid schedule, I can plan development time ahead in advance.
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fatrat
Registered: Sep 2005
Posts: 360 |
12-11-06 08:05 AM
Tested the system on a few products and the results are decent, but there's still a lot of work to be done. Unfortunately, the past week was filled with personal stuff.
I wanted to post more results, but haven't had time to actually document my work. The problem I'm facing right now is divising an exit strategy for the opening order module.
Another issue that pops up is whether I should use market orders to exit, or whether I should use limit orders. If limit orders aren't hitting, then I have to ask how I want to get rid of a position. Do I want to cancel and chase down something, etc ?
Anyone care to comment on how their automated exits work? Market out? Chasing seems dangerous and more difficult to program and test. Entry can be precise, but does the exit need to be as precise?
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fatrat
Registered: Sep 2005
Posts: 360 |
12-11-06 02:46 PM
I eyeballed an opening order trade based on my OO signal generation tool and picked ADBE because of the upgrade this morning. It made me about $70, but my exit was poor. I used the tried and true sort of gap-closing behavior that can be exhibited when futures aren't running. I shorted ADBE on the morning reversal for the gap close but couldn't figure out how to exit that trade properly.
I manually managed the trade and tested whether my code was able to keep the data flowing smoothly. I am somewhat concerned about managing positions and have decided to read some more books on position management and risk in automated systems. I'm still formalizing the backtest results from my system and building the E-Signal -> Trading Engine bridge over which the orders will run.
I don't want to flood the e-mail inboxes of people subscribed to this thread, so I'll see if I can merge all my changes into one change list and start posting 5-day development summaries on the system.
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