Recent Content by robbob

  1. Automated Currency and ETF Arbitrage Journal

    I’m a few weeks behind on updating the results of the strategy as I prepared a presentation for the JavaOne conference which took place this...
    Post by: robbob, Oct 10, 2012 in forum: Automated Trading

  2. Automated Currency and ETF Arbitrage Journal

    Once again, I’m running a week behind on publishing the results of last week’s trading.. Both strategies had a down week, with AUD/NZD...
    Post by: robbob, Sep 21, 2012 in forum: Automated Trading

  3. Interactive Brokers - bracket order problem in Java

    The problem is that your parent order is getting executed before the child order makes it to TWS. To get around this set the "transmit" flag on...
    Post by: robbob, Sep 21, 2012 in forum: Automated Trading

  4. Automated Currency and ETF Arbitrage Journal

    I’m running a little behind on publishing the results of last week’s trading once again. AUD/NZD had another another losing week dropping...
    Post by: robbob, Sep 14, 2012 in forum: Automated Trading

  5. Automated Currency and ETF Arbitrage Journal

    Heh, no. But what I'm saying is that it is an additional risk on top of the risk that the broker could still screw up executing an order...
    Post by: robbob, Sep 13, 2012 in forum: Automated Trading

  6. Automated Currency and ETF Arbitrage Journal

    Its a double edge sword I guess. If running your own algo, you introduce the risk that any downtime on the machine your algo runs on means that...
    Post by: robbob, Sep 13, 2012 in forum: Automated Trading

  7. Automated Currency and ETF Arbitrage Journal

    My software for the AUD/NZD strategy has been trading along without any issues and an event with Interactive Brokers left me with a large position...
    Post by: robbob, Sep 13, 2012 in forum: Automated Trading

  8. Automated Currency and ETF Arbitrage Journal

    I’m running a little behind on publishing the results of last week’s trading. AUD/NZD had another rough week this week with a loss of nearly...
    Post by: robbob, Sep 7, 2012 in forum: Automated Trading

  9. Automated Currency and ETF Arbitrage Journal

    As mentioned in a previous post, issues with the IB Gateway this week caused the system to miss about 3 trading opportunities that would have...
    Post by: robbob, Aug 27, 2012 in forum: Automated Trading

  10. Automated Currency and ETF Arbitrage Journal

    Another issue occurred this week with the Interactive Brokers Gateway application which is not leaving me with warm fuzzy feelings. I awoke on...
    Post by: robbob, Aug 25, 2012 in forum: Automated Trading

  11. Automated Currency and ETF Arbitrage Journal

    This past week was mixed with the AUD/NZD strategy taking the biggest hit with a loss of -60 ticks. HKD/JPY and USD/SGD edge out a few ticks of...
    Post by: robbob, Aug 21, 2012 in forum: Automated Trading

  12. Automated Currency and ETF Arbitrage Journal

    Commission is 0.2 ticks, with discounts if you do A LOT of trading ($1B+ in volume). I've heard brokerages such as Dukascopy have better/cheaper...
    Post by: robbob, Aug 15, 2012 in forum: Automated Trading

  13. Automated Currency and ETF Arbitrage Journal

    With a spot transaction you are actually taking delivery of the currency, whereas a futures contract is for delivery at a later date. The futures...
    Post by: robbob, Aug 15, 2012 in forum: Automated Trading

  14. Automated Currency and ETF Arbitrage Journal

    IdealPro at IB actually does operate as an ECN with banks acting as the liquidity providers. So you can place a bid and/or offer and see it show...
    Post by: robbob, Aug 15, 2012 in forum: Automated Trading

  15. Automated Currency and ETF Arbitrage Journal

    Thanks. The strategy is a short term mean reversion strategy which AUD/NZD and EUR/DKK backtested well on. I didn't have any historical data for...
    Post by: robbob, Aug 15, 2012 in forum: Automated Trading