Recent content by robbob

I’m a few weeks behind on updating the results of the strategy as I prepared a presentation for the JavaOne conference which took place this past week. In the meantime, the AUD/NZD version of the strategy has taken a serious beating, erasing almost all the gains since the system started...

Once again, I’m running a week behind on publishing the results of last week’s trading.. Both strategies had a down week, with AUD/NZD continuing its losing streak with a 10 tick loss, and EUR/DKK snapping its winning streak with an 18 tick loss for the week. As a result of the AUD/NZD...

The problem is that your parent order is getting executed before the child order makes it to TWS. To get around this set the "transmit" flag on the parent order to false. Also set this flag to false for your child orders, except for your last child order, which should be set to true. So for...

I’m running a little behind on publishing the results of last week’s trading once again. AUD/NZD had another another losing week dropping about 20 ticks while EUR/DKK had another strong week adding 23 ticks. This week’s number are below. All results include commission. Week of 9/2/12...

Heh, no. But what I'm saying is that it is an additional risk on top of the risk that the broker could still screw up executing an order submitted by the algo.

Its a double edge sword I guess. If running your own algo, you introduce the risk that any downtime on the machine your algo runs on means that the exit orders may not be placed in the event one of your price targets are hit.

My software for the AUD/NZD strategy has been trading along without any issues and an event with Interactive Brokers left me with a large position without a stop loss order as a fallback. My strategy will enter the market with a limit order, which at the time the order is submitted the...

I’m running a little behind on publishing the results of last week’s trading. AUD/NZD had another rough week this week with a loss of nearly 95 ticks. USD/SGD and HKD/JPY both had small losses for the week and will be dropped from trading beginning this week. EUR/DKK had another great...

As mentioned in a previous post, issues with the IB Gateway this week caused the system to miss about 3 trading opportunities that would have proved to be profitable early Thursday morning. Regardless however both the EUR/DKK and AUD/NZD strategies had a great week, tallying up 30.5 and 59.2...

Another issue occurred this week with the Interactive Brokers Gateway application which is not leaving me with warm fuzzy feelings. I awoke on Thursday morning to find the Gateway in the following state. Apparently the Gateway disconnected from the Interactive Brokers server sometime...

This past week was mixed with the AUD/NZD strategy taking the biggest hit with a loss of -60 ticks. HKD/JPY and USD/SGD edge out a few ticks of profit and the EUR/DKK pair had a solid week with a gain of more than 14 ticks. This week’s number are below. All results include commission...

Commission is 0.2 ticks, with discounts if you do A LOT of trading ($1B+ in volume). I've heard brokerages such as Dukascopy have better/cheaper commission structures, but I'm not sure they can beat IB on the spreads, so maybe it ends up being a wash.

With a spot transaction you are actually taking delivery of the currency, whereas a futures contract is for delivery at a later date. The futures contracts have fixed amounts, such as 125k for EUR, whereas with currencies IB will allow you to trade any amount above a certain minimum on their...

IdealPro at IB actually does operate as an ECN with banks acting as the liquidity providers. So you can place a bid and/or offer and see it show up in the IdeaPro order book and the order can get lifted potentially getting filled at a better price than the bid/ask. Their spreads on the majors...

Thanks. The strategy is a short term mean reversion strategy which AUD/NZD and EUR/DKK backtested well on. I didn't have any historical data for HKD/JPY, but the spread at IB on that pair is 1/2 pip and it *looked* like it may exhibit price behavior that would be conductive to a mean reversion...