i use python and matplotlib for all my visualizations and am quite happy with it .
Matt, one more question for you. There has been a lot of talk about stat-arb funds underperforming during the rally that started in early...
You could look into python. I am switching over to python/numpy/matplotlib from matlab and am quite happy. Visualization using matplotlib is as...
Hi Matt, I am wondering if you can share anything about your experience with intraday stat-arb. A lot of people claim that the mean reversion...
Interesting comment. My intuition tells me that a time-based exit should actually lead to _less_ curve fitting. Think of it this way: when you are...
knocks, what about trying your strategy on YM or something that has mostly similar behavior to ES but where the tick size is smaller, so that the...
great thread guys. I will incorporate some of the volatility compression in my research. tums you have been around here for a while and I haven't...
I am wondering what people do in order to clean their intraday data. In particular, I use a lot of intraday (1-minute) data from IB, which is full...
Regarding time synchronization, I believe your bars should be able to tolerate some slight discrepancies, so you can just subscribe to both time...
In order to create OHLC bars in realtime, you need to use reqMktData to subscribe to each contract's data, so that won't be iterative, but you...
The main person behind this proposal is Defazio of Oregon, who has been fighting speculators, etc. for many many years. Currently, this is a...
I'm loving the last couple of months. Hope this market behavior continues.
I already use ib and do my strategy development using my own software,so all I am really lookin for is a data feed provider that offers historical...
Is there a data-feed provider that supplies historical data for equities at a 1-minute (or lower) resolution for the past SEVERAL years. IB only...
That's right. Be very careful to ONLY use training data to derive the normalization parameters (usually mean,std).. otherwise you are obviously...
were you fully automated or manually trading a strategy? just curious.
nugundam, what were you trading when you blew up. IMO the scalping strategy described here, is not necessarily a recipe for disaster if...
I played around at one point in the past with using the risk-neutral distribution for the underlying price implied by the current options...
first thing : Matlab NOT MatLab . The way I use matlab for trading is to just write my own code for everything.
I am aware of OpenTicks limitations. All I want to use it for is for some historical data (last few months) for some stocks.
Separate names with a comma.