Okay let's say that I have a reasonably good automated strategy that I am ready to go live with. However, I have several other strategies, and...
Is there some kind of facility at IB that will always guarantee closing out positions at the end of day? I am thinking about cases when my ATS...
Anyone trading TSE stocks through interactive brokers from the US? I'm wondering how bad the latency is. Thanks.
My algo sent in several limit orders on a number of stocks and it is hanging there so far for 10 minutes unacknowledged. When I go into TWS, those...
I was wondering if anyone knew whether the quoted prices at IB for bonds are dirty or clean quotes. I am assuming clean which means that at...
found this published in 2010 http://mitsloan.mit.edu/neudc/papers/paper_383.pdf talks about how large institutions exploit inefficiencies...
I though I would post results from this simple experiment: pick 15 uniformly distributed random entry times between 9:30 and 3:45 PM. If the entry...
If index futures are tracking market indices and if the indices are tracking baskets of stocks, then how in the world would HFT make any...
anybody out there chasing icebergs or is that game over?
Do you use volume information in your strategy? 1. yes, volume tells me something about liquidity, price discovery, and the state of the...
I saw another thread on PF charting and started thinking about implementing automated trading using PF charts, i.e., discretizing prices based on...
Why do you think you have an edge over your competition? Since the poll mechanism doesn't allow one to choose multiple items and I am sure people...
Which is your most profitable or favorite strategy.
Seems to me, there was another turning point in the markets since the start of the year. This seems to mark another big shift since last August....
Just came across this 2009 paper on sharpe ratios of traders: it seems to prove that it is possible to beat the market and that trading experience...
I have spent a year building strategies, and I have come a long way since the beginning. I have built a complete ATS from scratch for TWS, and a...
Just curious what people think. It is kind of obvious what the pros and cons are but...
You often hear that obvious "edges" in systems or setups disappear quickly because everyone exploits it. This is a corollary of the efficient...
What is your favorite way to detect local minima / maxima on noisy timeseries? For example, if you looked at every single bar that is above it's...
hi All, I have been working together with a friend of mine to build strategies, although over the last year, it's been mostly a one way street,...
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