Not sure what I've built.......

Discussion in 'App Development' started by dreturns, Nov 29, 2012.

  1. dreturns

    dreturns

    Cool. I had hoped others were working on similar projects. I hate to ask cause its a tough audience, but can you define slippage?

    Also curious what others are using for a data feeds. Are you storing intra-day price & volume data? I'm sniffing packets of a data stream and then inserting to a DB.
     
    #11     Dec 5, 2012
  2. boskop

    boskop

    By slippage I mean the difference between the expected price of a trade, and the price the trade actually executes at.

    The historical data is a topic I have not yet spent much time on. I use the tickdata available at http://ratedata.gaincapital.com/. Only EURUSD bid/ask for now. After correcting a few errors it seems useful enough. If I ever find a good model, I assume it has to work well on any source of historical data. For the model generation I use various filters that should be able to cope with strange input data (including news events). I wish I had data from a real feed though...
     
    #12     Dec 5, 2012
  3. dRetrend;


    Well nice work during a good market,MSFT....ORCL.
    30% isnt enough to get a gold house, sell it,, but its enough to trade yourself:cool: Wisdom is profitable to direct.

    Dont worry [generally speaking LOL]on slippage on those liquid stocks, they bounce around enough to limit in order nicely,usually:cool:
     
    #13     Dec 5, 2012
  4. What is so hard in opening a small account and trading it with real money? Worse case you lose some money.
     
    #14     Dec 5, 2012
  5. dreturns

    dreturns

    For my purpose, its just a recommendation. I don’t worry if there is slippage. What I find however is the price typically goes lower than the models recommended buy price. I attempt to cover that with stats on time to reach the min price after the buy rec and before the sell rec.

    The historical data density matters a lot I would think. If you use any second derivatives (calculus rate of change not financial) and or slopes. The number of data points will affect those values greatly. You would have to invent constants of some kind to compensate.

    Many here and in messages say put up some money. I have. It seems to work. But, like everyone else with a wife, house, kids, and a basement full of servers the trading budget is for lack of a better term, limited.
     
    #15     Dec 5, 2012
  6. Gizzz

    Gizzz

    This has been your hobby for years, your basement is full of severs, right?
    Just decide how much your project is worth, and pull the plug when you have lost that amount of cash.
     
    #16     Dec 5, 2012
  7. Have you considered signing up with a prop firm?

    I started developing a simulation framework recently, in R and C++ and using historical data from WRDS plus live feeds from IB. It's taking a while due to work and school and family commitments. I don't have a basement full of servers yet; in fact I'm considering deploying my strategies on the cloud eg AWS when I'm ready to scale up. But once my systems are self-sustaining, my plan is to get an account at one of the prop firms out there, then build up a decent track record, then eventually pitch to one of the quant funds out there which are open to new strategies. It seems that a prop firm would be the logical next step for you too, given your circumstances.
     
    #17     Dec 5, 2012
  8. dreturns

    dreturns

    Yes as far as prop firms. I did try it for like 6 months. The issue there was making my models fit the same day buy sell. I tried but could not rope my models to same day buy sells. Overnight @ 4 to 1 wasn’t helping much. Then came the series 56 test.

    As for servers in the basement. System, network, and database administration. Not to mention the feed source. Code the logic for the models. Then holy crap you need an interface. Then you need to tune it so it can scale. If you are technical enough, F the cloud, its not that great of a savings and there is no control. Servers on ebay are cheap.
     
    #18     Dec 5, 2012
  9. Aren't those guys futures only? And they're for manual traders, I thought.
     
    #19     Dec 7, 2012
  10. danielc1

    danielc1

    It is not what you do not know, that will hurt you. It's what you do know and isn't so, that will hurt you. I would educate myself real good about trading in real life before 'believing' any computer model developed by a non trader person...
     
    #20     Dec 7, 2012