Recent content by jaan

heh, which they don't, btw. if you have made some fractional cent executions during the reporting period, chances are that the numbers won't add up. literally. i've pointed out this to the help desk, but their answer basically was "well, tough luck dude"... :) (my usual disclaimer: this is...

whoa.. sounds like somebody has finally made a move to close the gaping hole between IB and the second best broker out there.. 'twas about time i say! - jaan

yes, but stops are never 100% guaranteed. if a stock halts for news pending, then i'd be definitely more nervous with a short position than with long. - jaan

correct, but i assumed turok's multiplier (about 1.45, according to him), as your suggestion was targeted towards improving his system. anyhow, i don't want to get in the way here -- so please ignore my remark and continue discussing the "multiplier issue" directly with turok. oh, and thanks for...

that does not make any difference, because after 11 flips your loss is several orders of magnitude greater than your target profit. in other words, you are suggesting that after being hit with a $10000 loss, you should "just" aim for making that 10k back, and not worry about making the $300...

turok, interesting analysis! however, it seems to me that you have a mistake in your "Profit" calculation formula in cell K351: there you are summing *all* cells in the K column. however, the numbers in that column are *cumulative* profits, not *trade* profits. to get the grand total you...

yup, i'd use it for execution & account info only -- i use TAL/realtick for quotes. re FIX being not for quotes: that's quite surpising to me. my impression of FIX has been that it's a grand-all-encompassing kind of "financial" protocol... however, i've never researched FIX properly (other...

correct. the problem, however, arises when you need to differentiate between "trade @ new price but with same size than previous trade" and "trade @ new price and with new size" events. then you're basically SOL. for example, if your system monitors big trades going off on the ask, then the...

no, i don't think it has (i'm using separate quotes provider myself). you're right. the fact of life is that TWS API is rather poorly designed. another example of brain-deadness is that there is a method to query open positions, yet there is no way to query how *many* open positions there are...

*very* good point. i've seen quite a few traders (and not only traders!) to think there's a correlation between events X and Y, whereas the "correlation" between those events can easily be explained by pure coincidence. for example, let's take 2 sequences of 5 numbers: a) 7, 1, 2, 5, 10...

yeah, just kidding.. :) - jaan

working for a brokerage, eh? - jaan

yes, according to def: http://www.elitetrader.com/vb/showthread.php?s=&postid=401757#post401757 - jaan

you do? hmm.. the corresponding columns seem rather similar to me (after discounting the variance). of course, the proper way to analyse that would be to test the stat hypothesis that your real SP table is different from those of a random series of the same volatility (well, actually, my...

that's an interesting observation, but would you expect to see different numbers in your table if the underlying series followed a random walk? - jaan