IB really needs to consolidate its IDEALpro and IDEAL FX facilities so there is just one way of doing FX trades and currency conversions. Much...
This sort of thing is always going to be a problem with order size limits using execution via a limit order book. IB should really get rid of...
SR is just above 2 but looking to improve this.
Robustness is the only property that a system needs to have to make it worth while to automate. Automation is mostly about getting better...
Interested why you are linking automation with sharpe ratio. Cannot really see the connection.
Have been for about 2 yrs now.
So how did you calculate the figures? Did you just work out the range between midnight and the open at 9.30?
Travis, Your investigation sounds quite interesting. Where are you getting the pre-open range and pre-open volume figures from?
Might be worth mentioning that this is a counter-trend system and not a break-out system. It relies on mean-reversion in the S&P futures....
Without having the code to understand why it worked in the first place it is impossible to give an informed answer to the question. However, it...
I have a Xincom router and it fails over O.K. You can set up loose binding to the MAC address of your PC network card so that all taffic from...
The first main statement in Marks book is based on a mistake in understanding of the behaviour of random walks and is incorrect. Market...
www.tickplusdata.com
Try fat chicks, They won't be so fussy about what you do.
This email just confirms it is not a viable option at the moment. Any automated trader must have a fast and absolutely reliable feed from a...
To shed a little light on the CME data. The CME has two different feeds. ITC feed for level1 data RLC feed for level2 data. The RLC feed...
A better question to ask would be, "what is the system with the best consistency and longevity?" I have seen a lot of high return systems fail...
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IB are reacting to the changes imposed by the CME. They need to do something and notifying people that are exceeding the limits seems...
Comstock for low latency http://www.comstock-interactivedata.com/index.shtml
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