Now I am confused. I thought your system(CT) essentially marked a price level then sold high and bought low in a range around it??? What I am...
Re CAD, Yes I see you buy 1 initially, but then as price goes down I see the yellow circle which is you marking the price, but you don't buy...
Abattia, That's what I am trying to work out! And I want to see if anyone who has developed a fill-engine has had similar results once...
Tom, I think our posts have crossed! Yes - I can understand why you like "intrinsic time". But I was just looking for a rough number. From...
http://www.datatime.eu/public/gbot/Tue%2022%20Jun%202010_port4001_Cli1_2/GBotReport_2010-06-22_port4001_Cli1.htm Tom, In this CAD chart....
Ah I see. What would you call "medium frequency" in TPD? And are you sytems intra-day i.e. Do you flatten position each night? Moon
Tom, Excuse me - I should have been more specific. I am thinking about resting "limit" orders, anf quite High Frequency. Moon
Hi Tom, Thanks for quick response. By simulated I mean backtest. BUT in particular here I am talking about backtest of a strategy that uses...
Hi Tom, Have you found a close correspondance between your simulated fills and what you get in real life? Moon
Depends on the timescale of your strategy. You may only need more granular data if you intend to trade at a higher frequency.
Does anyone have experience of creating a fill-engine for simulating limit orders - and then has compared that to live trading results?
Is this the wrong forum for CME? Could someone point me to the right place please?
Hi, Has anyone successfully created a fill engine to backtest limit orders on CME? I could do with some advice. Moon
rosy2, Sorry - another thought. If you are picking up that market is "different" surely you are less likely to get out for 1 tick? Would...
rosy2, Being out by 1 tick in FX isn't guaranteed... I guess markets are different.
LngEnf2NoBetter, I do not know what you trade, but do you think the FX market is somehow different. And that maybe why vol-stops don't add...
rosy2, Do you not find the cost of "quit before you reach your loss limit" when spread tells you market is different, is prohibitive. The...
Hi, Can anyone tell me the best platforms available to private traders that would give closest match to EBS and Reuters?
Mizhael, Hi I am a bit late to this thread, but I am thinking about stops myself right now. 4% is noise. BUT does it limit your max hit on...
LngEnf2NoBetter, Now you've got my blood up! I spent the afternoon revisiting vol-based stops - I am not finding value. By value I mean -...
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