Recent content by slickpick

Out of curiosity, what exactly is your definition of high-frequency trading?

If you're not already familiar with linux based operating systems and/or can't think of a good reason to use one, not sure if it's a good idea. That being said, there are also specific use cases for a linux IMO. So with the fund I'm currently with our trading, research, and data...

TVIX = short-term vix futures index The short-term vix futures index is basically a 30 day constant maturity vix future. If you find out how to predict the curvature change the vix futures term structure let me know :)

You can't properly multithread with R and also IIRC with IBrokers you can't subscribe to multiple symbols at once. The only instance where I think R would be suitable for automated trading is if you're doing file drops to your broker or into an EMS (e.g. EMSX).

If you're set on using quantpian (personally I don't find it up to par), you could consider using zipline (quantopian api) and pandas. You'll be able to do the same type of vectorized backtesting using pandas alone. There's been a lot of recent progress in Python for data analysis (e.g...

Does anyone exactly what the issue here could be? I've checked the Yahoo data against my own broker data feeds along with CBOE and google, all of them contradict what Yahoo is showing. Here's an example. Yahoo: 35.00 NQ150117C00035000 1.32 0.00 1.20 1.80 2,000 4,243 CBOE: NQ1517A35-E 0.95...

VXST futures = T+9 VIX futures = T+30 not the same thing.

Wait it sounds like you're using barred data? Are you barring this from raw tick data? Or do you have snapshot data? Re: Bid/Ask - Starting point would be to reconstruct the order book, then simulate your own interaction with it.

I think that's true and false, depending on who you ask. My overall approach to research is to do data exploration and simple backtests in either R or Python. Once an idea seems to have good potential then build the strategy out in an event-driven system, which runs on the same codebase as...

2013 wasn't a great environment for a lot of alpha strategies plain and simple, basically beta dominated everything. High correlation and the issues with vol later in 2013 didn't treat a lot of the systematic quant guys well (myself included). Interestingly enough, I've been hearing that a...

How exactly are you defining slippage here? Are you already using bid/ask data to handle transaction costs or are you just using last traded? If the latter, if the spreads are relatively stable - typically I just check my equity curve by removing avg_spread, avg_spread*spread_sd1, and...

This forum isn't the right one to be pushing kdb, I suspect if the OP knows what it is and could afford it - he wouldn't be asking basic questions about R. That being said, OP you never mentioned if you wanted a vectorized backtest or an event-driven one. Vectorized you don't even need a...

Depends which venue, but could certainly be midpoint match orders going though.

Dude you're all over the place, one second you're talking about cash equities the next you're talking about options.