How, exactly, are you measuring slippage?
There are timer Add-ins that will give you an event where you can simulate prices updating. I found it easier to go the VSTO route and write the...
REST FATIGUE 20 years ago, I would be days between jobs. Overlapping contract jobs was more the paradym. Get a few years of experience, 3...
Actually, I take exception to that. When I took a class in Numerical Optimization, the professor said on the first day of class something...
As far as optimization: Yes, I built my own continuous optimizer that did a good job of operating within the curved constrained "subspaces." When...
Gustaf, I was wrong. My quick Google search found search-engine-optimized garbage. A better search "modern portfolio theory option...
I have worked on Modern Portfolio Theory for Futures and Equities, but not options. When the market is falling apart, it is will understood...
I am not a big fan of Trade Link or Open Quant, but there is alot that can be learned/leveraged from them. I understand that the combination...
I'm surprised that no one has mentioned SCILAB, the open source equivalent to MATLAB. It can even run .M files.
I am surprised that anyone would bother to analyze a debt default in terms of interest rate/exchange rate mechanics. It is like analyzing a car...
The proposed chart-pattern on a one second chart with automated trading is quite feasible if the chart-pattern can be made fully objective....
I have developed a platform similar to your design, but with C# and VB.Net and VSTO instead of DDE. Broker <-> Broker Liason <-> Excel Liason...
The world is a competitive place. The US is productive, not everyone personally, but as a whole. If it is not competitiveness, then it is...
Last I knew, Yahoo only offers daily summary data on a historical basis. Historical intraday data is hard to come by for free. The bandwidth...
A number of academics have spent much time generating random charts with various characteristics such as tendency to have runs. They have gotten...
Since we are discussing retail ATS rather than straight FIX, I've had problems with some platforms missing position messages on the last fill on...
Not enough information is right. With additional assumptions such as A winning and B losing = wash, there is still an important question as to...
I don't see what differentiates ProRealTime from everyone else. Am I missing the point?
Being long and short the same security is, however, shilling. I am not up on the law, but I think that is verboten.
Doing a meaningful job at Value-at-Risk depends critically on having meaningful correlation and volatility estimates. These are not easy to do...
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