Recent content by fielman

From what I've heard Lime is quite good, but minimum monthly trade is quite high. www.limebrokerage.com

I would typically take snapshot data every 5 secs for a maximum of 20 symbols. I agree with LeeD, I don't think the bandwidth (costs) will be a problem. Your costs will mostly depend on the size of the instance and the total time that you are running the sytem on EC2. I roughly calculated...

Thanks brocklanders and Leed! Valuable advice indeed. Would you say that installing Ubuntu Desktop on Amazon EC2 is less efficient (resource hungry) than installing xWindow on the server edition? Is there abig difference between the two paths?

I am considering moving my automated trading system (using IB Java API) to Amazon EC2 to lower my latency and / or improve connectivity (I live in South Africa) and to be able to travel light when I feel the need. I am a newbie with Amazon EC2 and Linux. Why Linux then? Mostly costs, and...

For me it is when ABS(Close - Open) / (High - Low) > 0.65 Lot's of formulas to use to classify a day as a "Trend day" i.e. you can use number of 15m up / down ticks divided by total number of ticks Whatever suits you

I have been trading this fading strategy for just over one year. Profits are very volatile since I don't use stop losses. The strategy basically sells strength, buys weakness and waits for the opposite to happen or a time-frame to finish. Only trade at end of day with +- 50 reversals in...

Thanks a lot. That gives me a great idea. Is there any (free) useful website quoting implied vols, volume etc. ?

Thanks for the advice guys. I will trade the 1 - 3 month options and close to the money options. Nazzdack, you are confusing position sizing with more opportunities in a wider universe (1000 vs. 30 stocks). It is more an investment model than a trading model. What I mean by that is that I...

I have a profitable strategy on the DOW 30 stocks which is enhanced with the use of options. I believe that this strategy will be even more profitable when I extend the universe to say the largest 500 stocks. Can anybody give me an approximate idea where i can expect the liquidity do dry...

Very handy tool! Do you perhaps know how to get the data and more specifically the Adj. Close field into Excel? Thanks

No, sorry it can't handle it if you do multiple trades during the day. You will have to program the API to do that. A simple strategy with either a BUY or SELL during the day (or no trade at all) can use the method i described. Otherwise the AMRKET ORDERS will sell and buy from each other...

Even easier - If you have a LMT BUY order say at 1470 and you want to get out by 15:00 then put in a MARKET SELL order with the GAT field set to 15:00 and conditional on the ES <= 1470. That way the MARKET SELL (at CLOSE) order will only be submitted once your initial BUY order has been...