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  1. YM, Dow spread

    http://www.programtrading.com/fvalue.htm
    Post by: squeeze, Jun 22, 2005 in forum: Index Futures

  2. Sharpe Ratio

    Wouldn't worry too much about the sharp ratio of the individual systems. When you combine them all together you should end up with a sharp...
    Post by: squeeze, Jun 19, 2005 in forum: Strategy Building

  3. EurexUS, will it work?

    I would quite like to see it succeed as an exchange but with the business strategy they appear to adopting it doesn't look too likely. They...
    Post by: squeeze, Jun 13, 2005 in forum: Index Futures

  4. EurexUS, will it work?

    I think it must be some sort of German business logic; attack the strongest competitors head on at their strongest point.
    Post by: squeeze, Jun 10, 2005 in forum: Index Futures

  5. EurexUS, will it work?

    I don't understand why they are battling out with another electronic exchange with established product lines. They are just not offering enough to...
    Post by: squeeze, Jun 10, 2005 in forum: Index Futures

  6. IB and new CME Cancel/Modify

    The new CME rules will not have much impact on this sort of algorithmic trading. The message ratios are high enough that the majority of tranching...
    Post by: squeeze, Jun 1, 2005 in forum: Interactive Brokers

  7. IB and new CME Cancel/Modify

    O.K but could you make your ratio vary for each product to reflect this difference? e.g 5 for ED, 8 for ES e.t.c Would it be possible to have...
    Post by: squeeze, May 30, 2005 in forum: Interactive Brokers

  8. IB and new CME Cancel/Modify

    So what are the other broker alternatives? The ones that offer CME trading via API that I know of are MB Trading and eflooftrade. Will need...
    Post by: squeeze, May 30, 2005 in forum: Interactive Brokers

  9. IB and new CME Cancel/Modify

    In this case, I don't think the CME has stacked the deck against the little guy at all. The new rules implemented by the CME are more likely to...
    Post by: squeeze, May 30, 2005 in forum: Interactive Brokers

  10. IB and new CME Cancel/Modify

    LIFFE has done something similar. A lot of arcade traders using auto-spreaders were hit with big bills because they did not register and were...
    Post by: squeeze, May 29, 2005 in forum: Interactive Brokers

  11. IB and new CME Cancel/Modify

    It's the days you don't get filled that are going to be the most annoying. All you have to do is put in an order move it a couple of times and...
    Post by: squeeze, May 28, 2005 in forum: Interactive Brokers

  12. IB and new CME Cancel/Modify

    O.K but why not just pass on the message limit to traders? This seems the fairest thing to do otherwise traders using IB will be at a...
    Post by: squeeze, May 28, 2005 in forum: Interactive Brokers

  13. IB and new CME Cancel/Modify

    According to the CME the limit they are imposing is 25 messages for each execution which seems reasonable. So if anyone from IB is reading this...
    Post by: squeeze, May 28, 2005 in forum: Interactive Brokers

  14. Article/Paper - "Filtering in Finance"

    The unscented kalman filter smells a bit fishy to me.
    Post by: squeeze, May 16, 2005 in forum: Technical Analysis

  15. Need Historic Data

    dChang0 www.tickplusdata.com has level 1 quote + qsize + transaction data for these contracts. If you are looking for level2 order book...
    Post by: squeeze, Feb 7, 2005 in forum: Data Sets and Feeds

  16. Need Historic Data

    try www.tickplusdata.com
    Post by: squeeze, Feb 3, 2005 in forum: Data Sets and Feeds
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