From the post "So I limit my sampling to active opening times in markets, although I don't account for changes in daylight savings. I will try...
I've stayed out of this debate, since I learnt to my cost that debating with VP is a painful and pointless exercise so I generally keep him on...
No, you still can't afford me! Also I'm very much in the "teach a man (or woman) to fish" school of thought. You'd be much better in the long...
Yes I use swgibpy to do 1 and 2. In theory it would be trivial to do (3) although I don't do that, since my order system is tightly coupled with...
It might be worth starting a new thread on the use of R and IB in the appropriate section. I use swigibpy as there isn't a native python API.
Just to show how easy it is in pandas, this took me 2 minutes to do everything you wanted. I removed the first and third line from your csv. The...
Sharpe Ratio? Length of return history? I'd have at least another 100 questions I'd ask to do a proper due diligence. Without the answers to...
Yes I stopped using Matlab about 14 years ago, and went from S-plus to R 7 years ago! I then went from R to Python about 4 years ago. I haven't...
Pandas is taylor made for this kind of processing. I strongly encourage you to use it. For example you could do the first two things with one...
This is nicer, but probably still won't work: lines_list=ins.readlines() for line in lines_list: items = line.split(",") As another...
I covered spread collection although I probably could have been more explicit. I didn't go into candles since I don't use them, so I've added a...
Yes I like the stuff in Panic about the housing crash. Boomerang is great too. Its about the sovereign debt crisis.
I've added some material about implementing price capture systems to my blog. Cross post:...
A while ago I ran a series of posts on how you would write some python code to systematically trade using the interactive brokers C++ API. Whilst...
Just my opinion but personally that raises a big red flag and strongly suggests your system is over fitted.
I should add that although I paid slippage of £175, I would have paid £240 had I paid half the bid/ask spread each time (i.e. just crossed the...
http://www.investopedia.com/terms/t/tanstaafl.asp
Hi Vindago I don't want to come across as critical, but perhaps other inexperienced people reading your first comment should also bear in mind the...
If you can't do that, its very hard to trade... One trick I found is to only look at drawdown in %. Makes it easier than cash terms. I admit it...
Yes (see my blog http://qoppac.blogspot.co.uk/2013/12/p-margin-bottom-0.html) Part of "everything by michael lewis"
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