I am currently building a fully automated futures algo trading system from the ground up and would appreciate the input of any others that have...
If trading the overnight session (especially anytime on a Sunday) then all bets are off as to where market orders will get executed (although 135...
Doubt it would have helped. Would have probably just sat in the book as the price sailed merrily south. Was a high risk entry. The OP did the...
I'm looking at my archived transaction and order book data. Can't really dump it into a screen. The price might have rebounded hard if the pros...
OK, just had a look at the data for that time. Looking at the timestamps of the trade prints it looks like you got hammered by a cascade of sell...
Comex is owned by the CME Group and the electronic GC contract trades on the Globex platform....
The GC trades on Globex. Your stop market order will have been executed according to the Globex matching engine's rules. If you haven't already...
Certainly looks good. Appreciate the heads up. Thanks.
Looks interesting. Does it handle replaying L2 order book data as well as L1? 250k events/sec is a good speed. Ninja is hopeless when you...
Hi everyone, Does anyone out there have any recommendations for a quality backtesting software package? I don't need any fancy charts etc. It...
Thought I'd update this thread just in case anybody stumbles across it in the future. The problem with the L1 and L2 datastreams getting out of...
www.tickdata.com
Thanks everyone for your thoughts. Have done some additional calculations and, as has been pointed out by quite a few people, putting on the...
I have been nothing but polite to you TraderZones, despite your propensity for juvenile melodramatics and large bold type. I intentionally...
TraderZones, Firstly, let me say that I am grateful to everyone who replies to my threads. I didn't mean to be rude. However, your answers...
I didn't say I'd exit the futures position. If the slippage is so extreme that my marketable limit order to exit the futures position didn't get...
Please read my original post...
Thanks for your reply dmo. I trade all the reasonably liquid futures contracts but for reasons I won't go into here I have a particular love of...
Firstly let me say I'm a futures trader so my knowledge of options is fairly basic. Hence, I have come to you wise people for your opinions. As...
Worked on a project where we had to use Rational Rose a couple of years ago. You're not wrong. Dreadful piece of software. There's an old saying...
Separate names with a comma.