Recent content by schan

I have this monitor and works great for trading. Text is sharp and Samsungs rarely have dead pixels. I paid $399 Canadian several months ago, so you should get it even cheaper now. However, being a TN panel, colors appear slightly different from from top to bottom due to view angles. And...

Thanks kt and rosy for mentioning hdf5 and pytable because it is just awesome. On a laptop and slow hard drive, using python, I'm writing 1 million tick messages (date,time,price,size,total,bid,ask) in 4 seconds, with a compressed size of 3.6 Megs (<4bytes per row!). Retrieval time is a...

Lame day. Struggled early and didn't take signals. $60 measly bucks on 1800 shares.

Lots of chop. Got brain freeze on one trade, otherwise okay. $278 net on 4500 shares, 23 trades.

Good setups in the morning. But hesitant to increase size. Little more profit on fewer shares. Finished for the day. $226 net on 2500 shares, 10 trades.

System seems best in the morning. Looks like a choppy/flat/unpredictable afternoon ahead of the elections. Calling it a day. $196 net on 3000 shares, 13 trades.

Pairs trending today. Tried something new - scalping for pennies on small lots. $170 net on 4000 shares, 17 trades.

Slow getting fills. Calling it a day. $207 net on 2700 shares.

My first PnL. $251 net on 1900 shares, 4 pairs and one SPY short.

The VIX is computed from the SPX options, using option chain for the two nearest months, then computing the volatility adjusted to 30days. VIX in a sense measures the fear. If the market is tanking, the fear drives up the premiums for put options... and hence rise in VIX. Right now...

I think it does. The CPU load seems to distribute across the two cores. Dual core really makes a big difference. Java is a real pig and when you run TWS, datafeed, charts, browsers, then really bog down. The AMD x2 3800 is the faster and cooler than the D820. Take the $40 you save and...

haOpen is the open of the previous bar. If you are on the first bar of the data series, just use the open. Same goes for the haClose.

I'm in Vancouver as well. I pair trade equities mostly, straddles/strangles (when implied volatility is way out of whack) and swing trade futures occasionally. I'm semi-automated with the pairs, but place trades manually, so I do other work during the day. The last traders meeting...

The late day move was almost too predictable so it was a matter of loading up at the bottom of daily ATR and dumping into the close. There are unfilled gaps on both sides, so I see some tightening before the blowout and higher volatility. CFTC, hedgies added to Oil and the commercials...

Hi Macro, Interesting. I saw that slapdown yesterday...especially on ER around noon. I'd imagine it is easier to whack the small cap at 30% of market value versus the 70% for SP500s. The late day a** jamming has gone on for the past 5 days. But I am interested to know why you think it...