IB doesn't have T&S data via API... QT is pulling it from another source (please correct me if I'm mistaken).
Look... Cointegration is an econometric relationship. I tried a similar data mining exercise using indicator/log return relations without...
Do you have an example?
Of course, prices rarely revert to their mean because price series is nonstationary. Cointegrated series (by definition) must revert to the price...
You would run your mean reversion system over the detrended series. Attached is an example chart, except here I divided price by the centered...
Detrending means removing the drift (subtracting the centered average): PriceClose *minus* SMA(Period/2) The output is a highly mean...
Just don't buy penny stocks.
If IBKR was shortable it would have been a completely different story. I bought shortly after your post... avg 31.29
What is your avg price on that odd lot, Tom? 34.50, higher? :D
anyone know what's going on?
Does anyone here trade the short squeeze with success? It makes sense in theory, but short interest is a specious ratio considering exchange...
Sanjuro: Excellent info. Congratulations to those who received an allocation...
I have found that investigating the book in real-time is phenomenally fruitful to understanding traders behavior before price moves occur. You...
The IBIPO auction for Interactive Brokers Group, Inc. has been completed. The offering price has been set at $30.01 and 40,000,000 total shares...
WSJ reported News Corp's offer was made in a letter at the DJ April 18 shareholder meeting....
So the only investors who should have profited from the announcement were those who owned DJ stock by mere accident?
Qualitative heuristics
At market orders are different than limit orders. When both are out of sync, that usually indicates a reversal point in price movement (at market...
"What good have I done today?"
Maybe max drawdown is significant psychologically, but not statistically. It's only one outcome, and not very probable that the same drawdown...
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