drag0nsheath, my primary algo uses nothing more than BEDMAS. I had a theory based on human emotion, found a pattern, run that pattern over and...
I figure it's time for another update after running live for two months. Progress has been slow now that we're back into golf season but I'm still...
Thug, the discrepancy was due to a bug in the software. I was using the wrong variable when calculating the price at which a MKT order would have...
EliteTraderNYC, yeah, I agree. I'm well aware of IB's data shortcomings and I will definitely be transitioning to another provider when the...
Craig & winnertakesall, you're right about the orderState messages and I should clarify. When I submit an order, I do get the orderState and...
GreedAndFear, do you have a way to quantify when it will be "good enough" to go live?
I've wanted to do an update for a couple of weeks now but life has been busy. I don't know how I had time to trade before the ATS :) So, there...
winnertakesall, congrats on launching your ATS! Can't say that I've encountered the problem you've described but how is your Internet connection...
wfeagin, my main strategy's average hold time is 2 hours and 10 minutes with approx 0.3 trades/day per equity. Another number you might be...
Haha, I appreciate the input. If you can believe, the last thing I did before going live was put together a unified logging system rather than...
I agree completely, I honestly have no excuse. In fact, I already have the table and code done from an earlier test project but never did...
My slippage model is incredibly simple and I can tell you it is most certainly not feature complete. If anything, it gives me an almost worst case...
Here's an update for last week's trading. It was a good week but system made one additional trade that wasn't made in backtesting. I can only...
Thanks Bob, you've given me some things to think about. I knew when I went live that there were bound to be holes in the system but there comes a...
braman, I agree with Bob. This is all that I use at the moment but I can tell that only a week into live trading, it has it's downsides. As for...
So after a week in the wild, things are running well. I was fortunate enough to have "every" test case tried out (win, loss, timeout and EOD) and...
If you need to work with ticks, then no, you shouldn't use IB as they do not provide tick data. The live data feeds they do provide are not bad...
I have found that automating the back testing of strategies has been the most powerful tool I have come across and I personally find it easier to...
What have you done to mitigate those bad times? I'm trying to approach the problem by running several strategies that are independent from one...
Well, I'm by no means a pro either but this took me the better part of a year to put together. I started prototypes in January of last year and...
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