Not trade volume but tick volume, which measures the number of tick changes in a given timeframe. Price movement is correlated to trade volume so...
From their site, "MB Trading FX receives quotes from multiple banks, partners, and pools of liquidity". That being said, volume in Forex is not a...
I do use tick volume in FOREX. You will definitely not be seeing the whole market but I find it useful nonetheless to work out patterns of...
@377Ohms: Thank you for your words of encouragement. I can review myself in everything you said. I'd also like to take the time to thank...
Progress report: Still trying to weed out some bugs in the simulator. I actually found a nasty one on the way the stop-loss and drawdown were...
Progress report: It's been nearly 2 weeks since I started this project and I'm happy with the progress so far. I'm finishing some sanity checks on...
Yes, it IS academic. I invite you to read the first post of the thread. I do not - nor intend - to make this my primary income. I want to try and...
+1 Being the Original Poster, I'd like to remind that the subject of the thread is "Building an ATS". Even though at the moment my strategies...
A side note. I found this book on amazon (only available for kindle), that may interest some of the readers on this thread: Zen and the Art of...
Threading IS expensive. But I'm not even attempting to compete in the HFT league so I'm not overly concerned with timing issues at the moment. I...
Thanks. Checking it out now and will try it as my previous experiences with threading (mostly with C) have not been happy because of locking and...
No, not yet. Both quote event handlers and the ghosts run on different classes so the change to go multithreaded should be minimal. By now my main...
Only trading spot FX. Thanks for the input. I was not accounting for rollover interest rates. :eek:
Progress report: The simulator engine is fundamentally done. It has been taking somewhat more than expected to finish because of a lot of details...
@CT10Gov: Yes, I mean in-sample, out-of-sample data. Regarding the correlation and Sharpe ratio I didn't expect a definitive number to begin with....
@themickey: thank you for you contribution. I'm glad it turned out ok for you and hope the system meets your expectations on live trading. I must...
I was afraid this would easily go unnoticed on the previous post since the discussion seems to be orbiting around developing an oms from scratch...
Speaking only for myself, it all comes down to control. If I'm allowing an automated system to do things for me, I better know it will do exactly...
It's nice to see this thread has sparked some discussion. My take on the subject of time investment on the SHELL (oms) vs GHOST (algo) is that...
Sorry, I'm afraid its not open source for the time being. I haven't even considered that option until you mentioned so I may give it more thought...
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