Recent content by GreedAndFear.eu

What I do instead is encrypt (with gnu pgp) client side and backup those ' buckets' to the hoster. I'm using Google Drive and linux tool duplicity. Make sure you have that private key stored somewhere else than on your pc. If the private key is lost, the backup can not be decrypted.

Below, I read something about timer based vs event driven based algo trading. In my opinion, the event driven algo is the way to go. Simply put, if nothing changes that may influence the algo, then why bother to re-evaluate what action to take? Of course, the algo should watch price changes but...

Ok, so what you're saying is that the ib api client does indeed see every single trade and dom change, but not exactly as it happens but instead at bursts interval? If that's the case, then this would be a lot better than what I was assuming. Extreme low latency trading is not something I'm...

Indeed, failing to suppress emotions is not the problem (it may even be impossible), but letting those emotions have an effect on trading *is*. After a losing trade, I always look at the long term p&l where the losing trade is only a minor down-tick. That way, it's much easier to accept and let...

Also, from the IB api mailinglist, I've learned that IB is sort of aggregating data over a 'several' (100+?) milliseconds and sends that out. So multiple trades are packed together and returned as one trade. That's really ok, but if in between those separate trades a change in the dom happened...

Indeed same here, I've seen that happen and sometimes it would even disconnect from tws. So everything is catched ;-)

My system also uses market orders because if the algo decides to act now, it really must be *now*. So with enough volume in the DOM, a buy will most often be executed at ask and sell at bid. But with bigger orders or some other weird coincidence, the average fill price may be different from...

But don't you think that comparing two results with different kind of risks is fair? Making 3% in fixed income or 3% with trading futures in my opinion is not the same. Also, another reason I'm comparing with a benchmark like the S&P500 is to see if it would be better to simply trade an...

The way i back test is using the S&P 500 as a benchmark and try to outperform that in index points, not in USD. Backtesting and simulating in USD is not completely 'fair' in my opinion if the trading tool is some sort leveraged product (futures, options etc). In other words, benchmark and...

I did on a paper trading account, it all seems to work just fine. I may need to make it more fool-proof in case something goes wrong (lost connection, no accurate order execution reporting etc).

The ideal would be to be profitable in every simulated session (=recorded market data) or at least be 'significantly' profitable overall. Also, there should be enough different kinds of market sessions in the DB to assume/proof that it will be successful in all those situations. I have...

Just discovered this thread and had to contribute. I’ve have been working on building an ATS for some while now working with Java+Oracle against the IB API. So far, I did not have the nerve to let it run on its own as I’m still seeing possibilities for improvement. I’m storing each and...

Not sure if I get your question right, but just use the commandline tool ping. I'm on Linux, but it's the same on many platforms.

Agreed, and what I too consider to be a great advantage is: being a small trader. I am no more than the well known little speck on a fly's leg on an elephant's ass. That's a huge advantage. No one is watching my orders and I can get in and out of a position any time. So I'm just trying to swim...

I've got the same rule. Since I don't trade individual stocks, I'm not so much concerned with earnings, but the same applies to Fed announcements (FOMC). Too often have I seen the volatility hit my stop and then run the anticipated way. So, I have this rule in place to close all short term...