Recent content by rdk

I'd be rather cautious about the 9 out of 10 thing... Significant, maybe, but a lot of chances of missing your black swan with a sample of 10. The black swan, along with slippage, the spread, and commission are some real important things.

I'd think most competent software could build second bars from tick data. Also, I can't remember if you said how long you were going to hold these positions... but with a 2k account, watch out for the pattern daytrader rule.

i am not familiar with noble trader. The reason I say second bars it's that it's a lot less resource intensive to compress ticks to second bars, THEN do your logic, then to try to run the logic on every tick. Building second bars doesn't take too many lines of code. Every second you record...

http://www.nanex.net/NxCore/NxCore.htm Give that a look if you want a real high-perfomance datafeed. Now, how you're going to process your logic on 2000 symbol, tick by tick, that will be interesting. Maybe you can get away with 1 second bars? or 5 second? then maybe you can whip up a...