Good luck with the project; I hope it works out for you! But I think you should really be blaming the snake-oil salesmen that write trading...
The following I recommend for C#. http://www.csharpcourse.com/
www.ninjatrader.com
Take your pick ... https://en.wikipedia.org/wiki/Aristotelian_ethics http://en.wikipedia.org/wiki/Kantian_ethics...
I read this, and thought I hadn't seen it stated as obviously and clearly before... â ⦠many [â¦] patterns, even if they did exist, [will]...
Your example was placing a limit order 5 ticks below price. For the various instruments, are there any differences (that are observable again and...
If the rate of adding new orders at your limit price was constant, then yes, your order would be behind 50% and ahead of 50% (so the median...
In an order-driven futures market: At each price at the best bid price and below, a number of limit orders, of any size, can be waiting to be...
"... the iconic high-testosterone Loadsamoney traders of the past - the "Masters of the Universe" derided by the American author Tom Wolfe in the...
I'm not sure what you're expectations are re "cheap" for 10-15 yrs of tick data for SPY, but there's these two: http://www.tickdatamarket.com/...
Fault lines ... http://www.amazon.com/dp/0691152632
Don't forget there's a whole world out there ... 5 pm PST = 9 am in Tokyo
It's 10:54 am EST, and for ES 09-13 now I'm seeing 100 <-> 1000 bid 100 <-> 1000 offered So, expect slippage with market orders for amounts...
It's currently 03:16 am EST, and the GLOBEX book for ES 09-13 shows an inside market of approx 100 bid at 1598 approx 100 offered at 1598.25...
EST? CST? CET? GMT? JST? I run NT with eSignal, and ES 09-13 had no data gaps between 17h30 - 24h00 EST on 6/26.
I think this is all fine, and a sensible reference. If I understand what you're doing above, you're effectively taking the backtest result as...
IMO, a big part of trading is all about coping with the "little" you refer to above, i.e. very low signal-to-noise ... so overleverage is often...
eSignal ... ES 06-13 volumes ... 28/May - for the 1425-minute bar starting at 16h30 EST on 27/May and finishing at 16h15 EST on 28/May -->...
Ha ha! Yes ... I had edited my original (incorrect) post from the one you quoted ...but, yes, the original was wrong ... and the modification is...
The Volatility term scales with SQRT(time) in some price models. So in one sense at least, the 16 minute system is exposed to twice as much...
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