You must be thinking what I am thinking, that is, event arbitrage? After the sharp drop from last Thursday night announcement, it is no wonder...
One month of tick data is 200+ megabyte. 2 Years data is 4.8 Gb of data. I don't think you can copy a file that size in less than 10 seconds,...
I use PHP for backtesting. PHP isn't the most logical choice. I use it because I've gotten pretty good at it from web development days. The...
Hi! Does intraday gap means fading opening gap?
Hi What is your average holding period and what roughly is your win rate? Do you have preferred instruments or strategies?
That certainly happened to me. I backtest using PHP so everything has to be written from scratch. When I made a mistake in my code, sometimes I...
Slippage doesn't have to be symmetric. It' probably a short term momentum system, which chases the market immediately after sizable price...
Also depends on what kind of trades. If you are buying on an momentum strategy, then I suggest market order or limit price at ask. If you are...
The idea was so tempting that I went ahead to test that into my program with C# and IB. The first thing my computer said to me was "transaction...
That's creative really, a talking program. All my automated trading just output plain text. How cool would it be if it can talk with real voice,...
I use C# for IB. Order submission code is included in the sample application.
I use Dataram's RAM Disk because it is blazing fast. The current prices and some trading signals are stored in RAM Disk, allowing different...
Well, you can just run it in the wild for 1 hour, 2 hours, 4 hours, or even a day, and then compare your real results with your SIM results. If...
I have been playing with automated market-making strategies in sim for some time and I am also looking to brainstorm for fresh ideas. Here is...
Is that some kind of swarm algorithm? If they all go crazy, then maybe it's not so crazy? Or does it look for meaningful divergence?
Hi I am an PHP developer. I've been trading for a couple years with my backtest done in PHP. The actual trading is done with C# API. My only...
Give the man the respect he deserve. During his time, he was generating 26% per year regardless of whether the market went up or down. That's...
Let's say you successfully develop this market making system with SAR (stop and reverse), if I can summarize it as such. But how are you going...
I've done a similar timed sleeper agent, except I implemented in C#. My instinct tells me if you want to do something so complicated, including...
I've written a program like that with IB for the CME. It went live before without any problem though the strategy wasn't profitable for me. So...
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