Let's say I have a set on n strategies and an account of size x, has anybody come up with an optimal way of allocating capital based on the...
This is something I've been thinking about for a while but I can't reach a clear conclusion. When we calculate, for example, the profit factor for...
What happened at 12:30?
IB details the various calculations they do here... http://www.interactivebrokers.com/en/p.php?f=margin&p=overview1 All the values in the...
http://jspauld.com/post/35126549635/how-i-made-500k-with-machine-learning-and-hft
I've seen this used on this site a couple of times to quantify profitability, why do people use this measure as opposed to other well known...
If I have a zoo based time-series in R, is there a simple one-liner way of turning it into a percentage from the first observation? e.g....
It seems the only place to get the execution commission for an API order is in the 'order state' structure, the problem is, how do you know when...
I see this term used quite a bit, what makes one market less efficient than another and how does one recognize this property?
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I've recently switched to IB's 'Cost Plus' commissions and I'm trying to link up IB's commissions which come though in the 'Order State' messages...
Does anybody have any rules of thumb about how much size they will push into a given contract based on volume? If so, what is your reasoning?
Is anybody out there using any of IQFeeds news streams? If so I'd like to ask a couple of questions. 1. There seems to be multiple options to...
Any tips/ideas?
Does the 'pattern daytrading rule' apply to the ASX?
Attached is a histogram of the time taken to close my winning trades vs. the time to close losing trades (the bottom axis is in seconds), it is...
Ok, I have opened a paper trading account to familiarize myself with TWS, supposedly I have $1000000 fake dollars in this account. I place a...
Does anybody have any positive experiences with Futures/Forex brokers (not IB or MB) offering FIX? I'm currently using one of the two mentioned...
How much interval do you leave to close trades before the end of a session? (10min, 15min etc), and is there any strong reason you picked that...
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