Not sure. The best I could do was to assume that I can get a % of all shares that trade at my price or better. It is not ok to assume that you...
If you are using a market order, why not use other side of the bid/ask. Be sure to account for your order latency. Limit orders are harder....
Got one, love it, long AAPL
I noticed the same problem with short trades. The best shorts are not on the easy to borrow list. That would be ok if I could find a good...
That's exactly the problem I have. I have to keep the positions small or I will only get partial fills on too many of the wining trades and I...
How do you model limit orders for Equities? The best that I have been able to do is to assume that I will get fills on x% of the shares traded...
I thought it was the other way around. The top of the book is protected, but once a order is routed, it will "walk the book" until filled even...
Interesting. The TS graphs and trade monitoring are nice, but as you say EL is not the best for execution development. But the execution costs...
I auto trade and use a iPad to monitor via the log me in app. Works ok. Better than truing to find a hot spot and boot up a laptop. A laptop...
In code reviews, it is important to depersonalize problems in code. It is NOT ok to say YOUR code sucks! It IS ok to say THIS code sucks!
A view years ago, I used rapid miner on a test set of normalized eod data to look at the simple problem of when a stock should be held overnight....
I had the same problem with other automated data mining approaches.
Why not? I thought only the top of the book is protected by the NBO.
The way I see it, curve fitting is good. OVER fitting is bad. The problem is that there is no fine line between them, but a big, wide,...
Consider using AmiBroker for system design. (Not execution) Good backtester and built in search/optimization/walkforward functions....
On modern CPU's, as long as you arnt doing anything with loops, you can approximate the per tick processing time as zero, at least as compared to...
I trade on both IB and TS. TS is rock solid and not slow at all. I autotrade > 800 symbols in Radar Screen (no charts). My complaints...
I am trying to move off TradeStation, so I am in the same boat. The two main vendors I have found are eSignal and IQFeed. They both seem...
Agreed. Why not model order latency in your backtest? Estimate your round trip order latency from market data to order fill, then in the...
Engine: Good point and useful data. I use TradeStation for execution and notice that the fills also depend on the route. The worse routes are...
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