Recent Content by tiagor

  1. Building an ATS - Logbook

    Not trade volume but tick volume, which measures the number of tick changes in a given timeframe. Price movement is correlated to trade volume so...
    Post by: tiagor, Dec 19, 2012 in forum: Automated Trading

  2. Building an ATS - Logbook

    From their site, "MB Trading FX receives quotes from multiple banks, partners, and pools of liquidity". That being said, volume in Forex is not a...
    Post by: tiagor, Dec 19, 2012 in forum: Automated Trading

  3. Building an ATS - Logbook

    I do use tick volume in FOREX. You will definitely not be seeing the whole market but I find it useful nonetheless to work out patterns of...
    Post by: tiagor, Dec 19, 2012 in forum: Automated Trading

  4. Building an ATS - Logbook

    @377Ohms: Thank you for your words of encouragement. I can review myself in everything you said. I'd also like to take the time to thank...
    Post by: tiagor, Dec 16, 2012 in forum: Automated Trading

  5. Building an ATS - Logbook

    Progress report: Still trying to weed out some bugs in the simulator. I actually found a nasty one on the way the stop-loss and drawdown were...
    Post by: tiagor, Dec 15, 2012 in forum: Automated Trading

  6. Building an ATS - Logbook

    Progress report: It's been nearly 2 weeks since I started this project and I'm happy with the progress so far. I'm finishing some sanity checks on...
    Post by: tiagor, Dec 13, 2012 in forum: Automated Trading

  7. Building an ATS - Logbook

    Yes, it IS academic. I invite you to read the first post of the thread. I do not - nor intend - to make this my primary income. I want to try and...
    Post by: tiagor, Dec 13, 2012 in forum: Automated Trading

  8. Building an ATS - Logbook

    +1 Being the Original Poster, I'd like to remind that the subject of the thread is "Building an ATS". Even though at the moment my strategies...
    Post by: tiagor, Dec 11, 2012 in forum: Automated Trading

  9. Building an ATS - Logbook

    A side note. I found this book on amazon (only available for kindle), that may interest some of the readers on this thread: Zen and the Art of...
    Post by: tiagor, Dec 10, 2012 in forum: Automated Trading

  10. Building an ATS - Logbook

    Threading IS expensive. But I'm not even attempting to compete in the HFT league so I'm not overly concerned with timing issues at the moment. I...
    Post by: tiagor, Dec 10, 2012 in forum: Automated Trading

  11. Building an ATS - Logbook

    Thanks. Checking it out now and will try it as my previous experiences with threading (mostly with C) have not been happy because of locking and...
    Post by: tiagor, Dec 8, 2012 in forum: Automated Trading

  12. Building an ATS - Logbook

    No, not yet. Both quote event handlers and the ghosts run on different classes so the change to go multithreaded should be minimal. By now my main...
    Post by: tiagor, Dec 8, 2012 in forum: Automated Trading

  13. Building an ATS - Logbook

    Only trading spot FX. Thanks for the input. I was not accounting for rollover interest rates. :eek:
    Post by: tiagor, Dec 8, 2012 in forum: Automated Trading

  14. Building an ATS - Logbook

    Progress report: The simulator engine is fundamentally done. It has been taking somewhat more than expected to finish because of a lot of details...
    Post by: tiagor, Dec 8, 2012 in forum: Automated Trading

  15. Building an ATS - Logbook

    @CT10Gov: Yes, I mean in-sample, out-of-sample data. Regarding the correlation and Sharpe ratio I didn't expect a definitive number to begin with....
    Post by: tiagor, Dec 7, 2012 in forum: Automated Trading