Maybe I am being too nit picky but my simulator looks and the bid and the ask when simulating trades. If I am simulating a buy order then I wait...
Wayne can correct me if I'm wrong but I think TickZoom will only be supporting real-time data, never historical data. If understand his...
Interactive Brokers is "Linux friendly" in that it depends on Java and the API does support .NET. I don't have direct experience with .NET since...
Good answer! Maybe I was setting you up to be flammed there, sorry :D
Meaning what? You understand the reality outside the cave and we are interpreting the shadows or visa-versa? Just curious.
There is an additional point greaterreturn didn't mention if I may chime in. I have a system similar to what he is building and he is right on...
I don't know about the days when Wang Labs ruled the roost but these days programmers actually prefer to be called "Software Engineers". I have...
Just curious, have you been trading your falling knife strategy in the past 4 months? Ether you are very clever about knowing when to step aside...
Hmmm... When the answers just create more questions best to just stop. Sorry to the OP for getting a bit off topic. I must dash off now to...
The OP's discussion of idiosyncratic high-frequency noise is happening in the context of an automated system using a computer to make the...
So if your historic bars matched your real time bars then backtesting would be valid for you? That is a pretty easy problem to solve.
Time based bar charts typically have volume bars displayed on the bottom. Now lets take constant volume bar charts. What if you could display...
You mean tickzoom.org I assume, tickzoom.com takes you to another site.
I suspect this is a system you have backtested and it performs very well. If so, be forwarned that any backtesting software must make very...
And the academics who DID figure it out are quite content to keep their mouth shut and let people think that while making untold fortunes. What's...
Nice spreadsheet but you didn't total the profit column. It appears to be a $913 loss. Seems kind of important.
This is probably not the reply you were hoping for but I've found that successful mechanical strategies often have an edge because of some aspect...
The trick with IB is to not use SMART for the exchange when requesting market data, for the Nasdaq use ISLAND (or any high volume ECN). SMART has...
Well, in my case I my system would have these great (simulated) profitable streaks where it would buy or sell based on a price that was actually...
I should add that above I was talking about the simulator account you are allowed to open when you have a real IB account. The market data on the...
Separate names with a comma.