HowardCohodas Registered: Sep 2010 Posts: 726 10-26-10 03:30 PM Quote from silent_tunes: However, any new strategy or "aha" moment has to be tested for validity. Otherwise it is just an idea, nothing more. A serious trader cannot be expected to risk actual money on an untested idea, even if that testing is only with historical data. Excellent! To elaborate on requirements before putting a strategy into production. * Back testing, like any computer simulation of the real world (think engineering) has its limitations. * Tick data vs. EOD data and Slippage Even with tick data, you can't assume the trades you want to make will be executed in a timely fashion or at the price you want. * Multiple instruments applications If your system applies to more that one trading instrument, then it must be tested over several as well. * Out of sample testing With backtesting you must avoid a phenomena known as "curve fitting." This is done by dividing your sample into two sets. One set is to hone your system. The second set is to prove the results were not solely dependent on the the set you chose for development. Since markets change over time, just choosing an arbitrary date to divide the sets may end up disqualifying some systems that should be further evaluated. The multiple subset approach is my preference. * Paper Trading Once your computer simulation shows promise, you should go to paper trading. Paper trading, like an engineering prototype, is good for working out the bugs of interfacing with the real world. Even paper trading has it's compromises. Although you will be filled at the price you request if the market trades at that level, no consideration is given to availability. * Preproduction Your next step is to trade live (with money) but for small amounts. Consider this preproduction testing. * Full Production Live long and prosper.
* Paper Trading Once your computer simulation shows promise, you should go to paper trading. Paper trading, like an engineering prototype, is good for working out the bugs of interfacing with the real world. Even paper trading has it's compromises. Although you will be filled at the price you request if the market trades at that level, no consideration is given to availability. = BULLET IN THE HEAD, START ALL OVER. THERE IS NO SUCH THING AS PAPER TRADING FORGET IT.
Three Pervasive Myths in the Trading World By Brett N. Steenbarger, Ph.D. "My work as a trading psychologist has provided me with a fascinating window on the factors that separate successful from unsuccessful traders across a variety of settings, from proprietary firms to investment banks to hedge funds. Having met and worked personally with well over 100 professional traders in the past few years, the main conclusion Iâve come to is that most of the generalizations about trading success are simply not true. In this article, I thought Iâd summarize three of the more pervasive myths about trading success out there and offer my own, different perspectives. Myth #1: Emotions are at the root of trading problems. Yes, emotions can interfere with concentration and performance, but that doesnât mean that they are a primary cause. Indeed, emotional distress is as often the result of poor trading as the cause. When traders fail to manage risk properly, trading size that is too large for their accounts, they invite outsized emotional responses to their swings in P/L. Similarly, when traders trade untested patterns that possess no objective edge in the marketplace, they are going to lose money over time and experience an understandable degree of emotional frustration. I know many successful traders who are fiercely competitive and highly emotional. I also know many successful traders who are highly analytical and not at all emotional. Trading is a performance field, no less than athletics or the performing arts. Success is a function of talents (inborn abilities) and skills (acquired competencies). No amount of emotional self-control can turn a person into a successful musician, football player, or trader. Once individuals possess the requisite talents and skills for success, however, then psychological factors become important. Psychology dictates how consistent you are with the skills and talents you have; it cannot replace those skills and talents. Myth #2: Anyone, with dedicated effort, can get to the point of trading for a living. That is nonsense. How many people make their living from acting or musical performance? What proportion of people playing sports can actually make their livelihood from athletics? Many people play chess or poker, but how many can sustain a living from it? Quite simply, to make a living from any performance activity means that you are consistently good at what you do. Not everyone has the talent, skill, or drive to be that successfulâin any field. Across the many traders Iâve met in various settings, from home-based, independent traders to professional ones in firms, the best predictors of trading success have been the size of the traderâs accounts and the resources available to the trader. If a person were to make 25% per year on their accounts year after year, they would be among the worldâs most successful money managers. Most money managers of mutual funds, hedge funds, and pension funds cannot sustain such performance. If, however, a trader begins with $50,000 of capital, he or she may not be content with $12,500 of profit. This leads the trader to accept huge leverage and court a risk of ruin when an inevitable string of losing trades occurs. Indeed, such excess leverage is a main cause of emotional distress in trading. Take a look at how the Turtles made their money: they learned a trading method, learned to be consistent with that method, and were given enough money by Richard Dennis that they could trade multiple markets with enough size to scale into positions in each. Even with those resources, not all of the Turtle students could succeed. Talent, skill, and opportunity are the ingredients of success, and these are relatively normally distributed in the trading population, just as they are relatively normally distributed in the population at large. Myth #3: The main cause of trading failure is a loss of discipline. This is a myth perpetuated by âtrading coachâ and âguruâ types that: a) donât trade themselves and b) have a vested interest in your belief that their services are all that stand between you and success. The main cause of trading failure is a lack of an objective edge in the marketplace, trading random patterns that have never been tested out for success. We would never consider buying a car simply by looking at it. Weâd want to research it, test-drive it, and peer under the hood. Amazingly, however, many traders will risk far more money trading patterns that they never research or test-drive. Many times, the reason they stray from those methods is that, intuitively, they realize that those methods are not working. In any performance field, we find a hard-and-fast truth: the great performers spend more time practicing their performances than actually performing. That is just as true for the Broadway actress as for the Olympic athlete. Many traders, however, think that on-the-job training will be enough. Unfortunately, their accounts often donât survive their learning curves. A well-placed executive within a trading firm confided to me last year that the average time it takes the average trader to blow through their entire account is seven months. That is why brokerage firms are always on the hunt for new customers. Itâs not that these traders are all deficient in discipline: they simply havenât engaged in sufficient practice to figure out the right markets and trading styles for them and to hone their skills. In every other performance field, you can find relatively easy levels of competition: you can join a community theater, play rounds of golf at the par-3 course, or set the challenge level on your chess computer. There is no easy level of competition in trading, however. When you place a trade on a major exchange, you are up against the pros from day one. No wonder it is so difficult to succeed! Discipline is necessary for trading success, but there is much more to success than discipline. It takes concerted practice and the cultivation of skills at reading and acting upon market patterns. In an ideal world, I wouldnât have to challenge these myths. Youâd be able to obtain very realistic messages about trading success from brokerage firms, vendors, trading gurus, books, and magazines. The reality, however, is that most of these commercial entities have a vested interest in perpetuating a dream that is, in reality, a cruel fantasy: that, without real, sustained effort, anyone can make it big as a trader. Does that make me a Scrooge during this holiday season, saying âBah, humbug!â to the aspirations of thousands of traders? I think not. The reason I wrote my most recent book, Enhancing Trader Performance, was to show that there is a common process beneath the development of elite performance in any field. That process involves several components: * Finding a Niche â Identifying a performance field that takes maximum advantage of your skills, talents, and interests; * Deliberative Practice â Rehearsing skills in increasingly realistic settings to prepare for the challenges of actual performance; * Constant Feedback â Intensive review of performance to identify strengths and weaknesses, so that you can capitalize on the former and address the latter. The successful traders Iâve known have found a market (or set of markets) and a trading style that capitalizes on their abilities. They have been relentless in working on their skills, using videotaping to review markets and performance and using simulators to rehearse under different market conditions. To sustain such effort requires a love of the markets themselves, something not all traders have. Some traders love the action, some love the dream of making money, some love the opportunity to work for themselvesâbut many donât love the work itself: the effort of mastering patterns in demand and supply. Success is possible in trading as it is in any performance field. If anyone tells you, however, that the path to trading success is different than it is for the surgeon or Olympian, you know that youâre hearing a myth. If you choose the path of the elite performer, trading can be wonderfully challenging and rewarding. If trading is not your ideal path for self-development, however, you are far better off finding your passion elsewhere and managing your money prudently. The goal is to develop the best within you, whether that is as a trader or as something else. Your life deserves nothing less."
Colo at your broker or at financial.equinix.com can reduce net latency to 3ms. Typical Network Latency Continental US: 40 - 60ms Europe: 120 - 170ms Asia: 220ms - 300ms CME group averages 9ms to order match and report trades down from 16ms in 2008. CME FX averages 3ms. Rithmic Order release triggers are meaningless. Even Excel can trigger orders via DDE in 100us or less. You need to measure the full order process. Corvil.com is used by CME and other exchanges for latency monitoring. 25ms is about the best you can achieve for complete order process at Broker colo. ie. trigger order - credit release - execute - clear. 3rd party clearing may introduce further delays. Remote estimate add your r/t net latency... 65ms - 75ms US. Just processing quote feeds would be your net latency + processing time. Last trade prints processed at colo are 9 - 12ms old. Remote 25ms - 50ms. OEC/Optionexpress is on Level3 backbone. Check your ISP's peering arrangements or do a tracert. they are a bit of a hybrid as orders are staged and held on their server for near colo type order process cycles. Your quotes are still subject to net latency. RCG does the clearing so there may be a slight delay. IB smartrouting introduces additional delays and their feed is throttled at 6 updates per second.
05-17-11 03:28 PM You want negative...ok here it is... Even the popular gamblers can lose...DayTrading Forex is more of a slow-bleed long death. Liver cancer....painful stomach cancer...you know like that... If you are to make it in Forex you gotta be senile and forgetful. If you remember the pain that you have endured then nothing in your trading career can equal it out when you become successful. Life is pain. In Forex nothing works for a long time if you have an edge. You always must be on the hunt. Then you have the global players that get very greedy and without regulation they just close their dealership and disappear when they get enough money from their clients. Heck they were just a post box in the islands somewhere anyways... Here in the USA the regulated brokers are thieves too...when they can get away with it...they are just as bad as the global players, instead they steal under the guise of regulation. Yep...It's all a con job and even in today's depression the playing field has not dried up. By the way... I am a loser, but just now I am profitable and trying to take what I can as fast as I can. But again, nothing will ever, ever repay me for the pain. so if you wanna' be a DayTrader...just forget it newbie....and for the others...well Good Trading to you and may your life be fruitful after your trading session is over. ElectricDon'tGiveItAllBackSavant Quote from oilfxpro: There are so many threads negative about day trading , it was time to ask why is there no successful day trader in the popularity of George Sorros , Jim Symons etc. Trading is a zero sum game and day trading is a negative sum game.The only people making money out of it is brokers. If it was profitable to day trade , brokers would hire people to trade with broker's capital. A few internet marketeers are selling motoring , under the guise of successful day trading , but these are just scams. http://www.elitetrader.com/vb/showt...threadid=220707 http://www.elitetrader.com/vb/showt...threadid=220676 http://www.elitetrader.com/vb/showt...threadid=218977 http://www.elitetrader.com/vb/showt...threadid=220513 http://www.elitetrader.com/vb/showt...threadid=218160
Personally, ten years ago I used to trade 400K Liffe and Eurex RTs per month. Not so any more. These days I find myself stepping away from the turbulence and taking trades more along the lines of a 'swing' - ultimately, the holding timeframes are dictated by the volatility of the traded instrument but I must agree with the premise that the frequency of the trading does not necessarily correlate to the profitability of the trader (especially when slippage is considered).
kanonka Registered: Sep 2007 Posts: 51 04-23-09 05:29 PM I've already posted here some rant about data providers from the black box developer point of view. Today I have some free time, so this time I will complain about brokers. The black box trading differ from human trading by one very important aspect: error handling. It means, that in case of ANY problem program should either know how to solve it, or if it can't, then get to human and ask him for fix The approach I took with my black box was this: I don't want to babysit it. Basically, I want this program to be automated as much as possible - to the point of automated money farming (or printing ) machine. I mean, I should be able to leave it running for months without me even checking "how are you doing?". I know that this will never happen, but it is a goal. So, the best way here would be to not react to errors, but prevent them from happening. I've already coded for all sort of errors that I can think of - connection failure, harware failure, etc. Now we are at a point of prevening broker errors. And here comes unpleasant discovery: there are NO brokers properly suited for black box trading. Well, at least in my price range. First of all, let's start with an API. The sort-of-standard right now is FIX gateway. From reliability point of view, this is probably the best API at this moment. The reason is - each message has a number, and both sides are very careful to process them in order; and if any number is missing, they will re-request for it as long as needed. If it never received, and other party does not provide an excuse, then no further input is taken, preventing from errors. This was good part. Now to the bad part. This protocol is not mature enough. For example, you can request list of all open/filled orders for today (this is done via requesting list of executions), but - surprise - this list doesn't have "end" mark. It means, that you never know if you received list of ALL orders, or you should wait for more. There are ways to overcame this issue (namely - you have to keep ALL messages for the day, but if you lost them - you doomed), and I coded for that, but let me tell you guys - it's pain in the #ss. Let me be somewhat technical here. Some brokers provide their own API, so you can link their lib to your program and use their DLL. Here comes "small" issue - so far ALL APIs that I've seen are designed to be used in Windows (that's OK for me), and require you to have Windows message loop running in your program (that's their way of synchronizing/sending messages). Basically, it means that it's pain in the #ss to use their API in a windowless program (like service, for example). I understand why it is done this way - 99% of API users create programs with user interface, so they will have that loop anyway, and who cares about the rest - black box developers?! It has nothing to do with the error handling, just some rant - I have to spend precious time to solve these issues, that could have been totally avoided if programmers in broker's companies would have been a little more intelligent. Anyway, let's move along. Now we have some API to use, and we want to apply our logic. Here is the scenario how human works: 1. (Open a position). Send an order (order A) to buy X shares of Y stock at market (or limit) price. 2. Get filling confirmation. 3. (Protect position). Send a stop order (order B) to sell X shares of Y stock if it fails below Z price. 4. (Close position). When decision is made to close a position, send an update request - to update order B to market. Once it gets updated, it gets executed and position closes. The pitfall is obvious: if something goes wrong between steps 2 and 3 (for example, workstation goes down, Internet conection goes down etc) and stock at the same time plunges 50% down - account gets hit of 50%, because protection order (order B) is not in place. Possible solution for human is to pick up a phone and try to place order by phone. Now, how it should work for blackbox (or carebear human): 1. (Open a position). Send conditional order (order A) to buy X shares of Y stock at market price; once filled, server creates a corresponding stop order (order B) to sell X shares of Y stock if it fails below Z price. Quantity for the second (conditional) order is always equal to the quantity of the first order, so it is not specified in the request. 2. Get filling confirmation for the first order. 3. Get creating confirmation for the second order. 4. (Close position). When decision is made to close a position, send an update request - to update order B to market. Once it gets updated, it gets executed and position closes. As you can see, because creation of the order B takes place at the server (not a client!), position is always protected (unless server itself gets down, but chances are way less). Even if client goes down right after opening a position and never gets any conrifmation, position is still protected, as protection order was created on a server once opening order got filled. Scenario sounds reasonable, right? Wrong! At first, I found this company: MBtrading.com. They provide FIX gateway (good!), they provide complex orders for the step 1 (some limitations apply, though: you can place order A limit + order B stop, but you cannot place order A market + order B stop). But - they cannot provide step 4. Literally: you cannot update order B from stop market to market. You can only update stop market to stop limit (very useful, right?). Then, I found Ameritrade. They provide their own API (some issues exist, but nothing major), they provide complex orders for the step 1 (no limitations, by the way). But again - they cannot provide step 4! To be exact - part of complex order cannot be modified at all. It can be only cancelled. After that, I reverted to the human logic, i.e. no complex orders to start trade, and take a risk between steps 2 and 3. Well, MBTrading still cannot provide step 4. Ameritrade can, but does it very strange way - they cancel order (on a server side) and issue new one (also on a server side) instead of just updating the order. This created some minor technical issue (I've already fixed it), but at least it works. Now, once I don't need complex orders, I started to look for other brokers - may be they got something better - may be better price, or API, or stability. To my surprise: - Genesis: cannot modify order at all - only cancel. - TradeWallStreet (also know as ECNDirect and other names): can modify only number of shares in order, not it's type. I did not check others, but have a feeling, that situation is not better there either. By the way, speaking about error handling. How do you like error message from Ameritrade API: "Your order MIGHT have been sent". Nice, right? While it's not an issue for human, how my program should react to this?! So, my conclusion is this: if you have a blackbox for trading - you have no broker suited for you. All-in-all, I'm still with Ameritrade. They are not ideal, but still no one else is there for me who would be better . And I don't like this situation - there should be at least SOME competition!
GoldStandard Registered: Sep 2009 Posts: 48 New Post 05-28-11 08:16 PM Most mt4 brokers are bucket shops, meaning they can trade against you and their interests are not aligned with yours. The MT4 platform has many broker-side 'features' specifically designed to allow brokers to take advantage of users by manipulating the spread, delaying orders, interfering with EAs, or even freezing the platform. If you must use mt4, I would consider MBtrading (charges commission and is an ECN) or Oanda (a bucket shop but it is big, has good customer service, and doesn't have as much of a reputation for shadiness as most mt4 brokers. I use them for exchanging funds for business purposes and for a few long term positions and I haven't had any problems). You might want to consider trading futures on an exchange with a 'real' platform like ninjatrader, multicharts, R-trader, X-trader, or cqg. You have to pay for the platform (except multicharts has a free version) either through commissions or a monthly payment, but at least then you know the platform is working for you and not against you, and you're trading on a transparent, regulated exchange where the broker cannot manipulate the price you see at will. Also when trading futures you can see bid/ask and order book information which is useful and not available for forex.
04-10-11 03:38 AM Could you trade forex through them? Do they provide leverage? What is their leverage if present? I have an algo that could trade huge number " 10000-20000" of trades per day so what is the minimum trade size for them?. We do not presently offer forex trading. Leverage, algo (and other forms of high-speed/low-latency) trading, and minimum trade sizes are all things that we negotiate with customers as part of account set-up. The best way to get your questions answered is to send a mail to the trade desk (td@limebrokerage.com). Our service offerings are constantly evolving and sometimes I see people giving answers based on things that were true years ago but have changed since. The desk always can give you the most up-to-date information. As always, I work at Lime Brokerage but I am not authorized to set up accounts nor give trading advice. The TD are the best route, and if you have any trouble reaching them you can feel free to email me as well at awexelblat@limebrokerage.com and I'll help you get connected to the right people.