According to this: http://en.wikipedia.org/wiki/New_Yo...antile_Exchange The server is physically located in NYC, for trading WTI CL the...
According to this: http://en.wikipedia.org/wiki/New_York_Mercantile_Exchange The server is physically located in NYC, right? So if I am...
VWAP during [14:28:00, 14:30:00] NY EST time everyday? Electronic session, pit session or combined session? Thanks a lot!
Hi all, I am looking for the exchanges where the WTI CL is traded... Thank you!
HI all, Lets say I have a diversified multi-markets system. When I backtested it on 15 years historical data with no stops, it has a Sharpe...
Comparing historical data for commodity futures, LIM data vs. Bloomberg data, lots of differences... How do I figure out which one is...
Elitetrader is an excellent place... and I like it... However this futures trading subforum is not active all, Any pointers to more active...
Today's Coffee Sept contract, why the settle is at that price? I just don't get it... Anybody help me? Thank you!
Thoughts on constructing continuous futures contracts? Hi all, How do you construct continuous futures contracts for backtest futures...
Given any 2 minutes time window, lets say open, lets say close, or noon, etc., is it easy to design an algorithm to beat the VWAP in those 2...
Most books target at equities markets; but I am looking for readings on market micro-structure of futures markets. The goal is at the micro...
Anybody knows?
I used volatility which is based on standard deviation and based on normality assumption. Any pointers to better risk measure taking into...
Hi all, I am looking for reading materials for order execution and market micro-structure in commodity futures area. For example, are there...
__________________________________SharpeR CalmarR SortinoR Optimized Strategy Maximizing Sharpe Ratio 1.82 0.48 2.3 Optimized Strategy...
I only have the settle time, but would like to know the settle window time, i.e. the time interval based upon which the settle price is...
Thanks a lot! NY EST time? Are they 1-min settle ?
I have been crazily testing out trading strategies, ... and soon I realize that there are so many concepts and ideas out there, ... and I...
Hi all, Could anybody please point me to some good study resources for algo trading with focus on practical side and implementation? Facing...
I just wanted to verify that my way is the industry standard way... Any clear detailed algorithm recipes? Thanks!
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