Actually IB is limited to 3 simultaneous level II subscriptions. I use IQ Feed for depth (almost unlimited), but more than 10 subs gets CPU...
In that case, is it effective to compare open interest (buys) vs volume-open interest (sells), instead of the P-C ratio?
cubic spline interpolation
http://www.elitetrader.com/vb/showthread.php?s=&threadid=26324&perpage=40&pagenumber=3#post399844 Also explained here:...
It's been a while since I've seen this thread! To anyone interested in market depth patterns, I suggest you read Dr. Bogdan's posts. I've been...
You can't seriously expect someone to divulge details of their strategy knowing the competition is reading this thread???
I recall one of last year's winners tried to write a NN system but gave up and had the system buy GOOG instead (days before it was added to the...
:D :D :D
IB just went down !!
I use log returns because I'm looking for a symmetric distribution... price alone is unstable and meaningless for correlation (which depends on...
sounds like a faulty backtest. do you use an implementation shortfall algorithm in your backtest (commissions, taxes, b/a spread, market...
Looks nice. I assume order management and risk controls come next... Can you implement strategies at runtime or is it compiled into your app?
There have been many improvements to Markowitz, perhaps someone more experienced with portfolio theory can elaborate (there's no point...
do you intend to share the source code or is this solely a personal project? I look forward to seeing the diagrams.
Peterffy was interviewed in II Magazine last year... it's a good read, his vision of trading automation in the early 80s was spot on....
"Historically, our profits have been principally a function of transaction volume on electronic exchanges rather than volatility or the direction...
Directed at the Times article... This kind of nonsense is sign of a market top. Once again, I agree with HoundDogOne's points. Did anyone...
caching recent ticks in memory is a good approach. maybe try compressing historical data and store it on the file system. SQL isn't optimal for...
dropped a few names, now tell us something we don't know...
Order/Broker adapter... Currently JSystemTrader is hardcoded to IB's API. There should be some extensibility to other brokers, possibly FIX, with...
Separate names with a comma.