Well, I never hold overnight.. but depending on what i put into the model, the timeframe is anywhere from a few minutes to a few hours (average...
No.. it really isnt continual re-optimization, go read up on filtering theory. When I say 'true' parameters, that means the 'true' parameters...
What you mentioned might very well work, but with all due respect I don't think you understand what I'm doing (part of that is by design). I...
You are absolutely right about speed of adjustment choice. There is a precise way to find the optimal "model re-estimation rate" using...
Frankly, I couldn't give a shit less what most of you think. (With the exception of a few) I've found people to correspond with outside of ET that...
Yah. it definately is.. I'm taking a few days off here and there but its "crunch time" for a huge project that is about to go live.. cant really...
No, my 'real job' is taking a shitload of time, and I decided to implement realtime model optimization rather than just doing it once a day.....
You are absolutely right... also, just because you calculate the mean and standard deviation of some series, that does not mean that it is the...
The paper definately isn't useful, exept as maybe mental masturbation. But, the definition of a "random variable" is such that it is not...
I meant a handle on the exact nature of the randomness in the markets. Wasn't commenting about their knowledge of tests, random statistics, etc....
Hmm, interesting, are there any more detailed results? I don't know if they are accounting for survivorship bias accurately.. also.. I don't know...
It depends on what you want to do with the data. The API just gives you every quote/trade at every level of the book for the sources you subscribe...
I'd say 20+ round trips.
I'll take a look at their paper. But are there filters causal or not? If not, then I'd say its useless.. if so then that would be great.
Digressing here, but they are also owned by the lime group, creators of the popular filesharing program LimeWire. Very diverse business ventures...
Yep, exactly what I do as well. I don't connect directly to the exchanges but I get a very raw feed thru limebrokerage's api which has some nice...
I record the data myself from my broker.. of course I have to know the symbols I want to record ahead of time. You can get historical files from...
Thanks for the thoughts, I wont going completely live yet, but live paper-trading, and after that goes well for a few weeks then live with real...
Right, of course the phones are always the best way to handle something like this. I was thinking as some sort of last resort. Say, the NAP in...
Hey Kevin, do you normally have some broker-side rules to close any positions when the client connection is broken? It seems that immediately...
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