Recent content by sshakhshir

Hammer/Assent has an excellent API that I have programmed for a number of strategies. It is well documented and is stable. contact Omar Divina [odivina@Dimensionsecurities.com] or Jonathan Kirkland [jonathan@assentsandiego.com]

I too have had numerous problems with this. I have reqested an audit but received no reply.

If you know how to program, I have seen an Application Programming Interface that allows you to get historical info (intra and inter-day) into another program such as Excel. I am working on this right now in a transition from AT Financial to eSignal.

I am working with the API that allows access to the historical data

I have been working with the API for about a month now. I am not a professional programmer but a decent one and I have a couple of working models now that get data, run it against a strategy, enter orders, manage risk and place exits. It is very powerful in all respects. Let me know if you...

http://www.allstocks.com/html/fair_value.html

The source that I use for short interest is the Nasdaq site. For example, even for listed stocks, they have historical info: http://www.nasdaq.com/asp/quotes_full.asp?kind=shortint&symbol=IBM&selected=IBM With regards to sectors, I too will focus on specific sectors where I use fundamental...

volatility and time-based trailing stops. the distance between the current price and the stop is positively correlated to the volatility and holding period.

I have never known this as a tool to measure frequency or tendency towards mean reversion but I too focus on exactly this issue! If you guys could provide any web links or book references, I'd greatly appreciate it. It is very weird, I have simply "thought" my way into my methods for pairs...

I calculate my own. Whereas I know some people grab a pre-calculated Beta from a website or alternative source. What do others do? For that matter, what are the range of opinions on using Beta to compute the fair value around which buy/sell limit prices are calculated?

got filled on 20 using all high volume stocks made 1.375 I think the key is paying more scrutiny on a small set of stocks and really reading the AM news to determine significance. I used to submit about 300 orders (150 long/150 short) but now am focusing on a list of only 50 big names.

I have used a variety of different sources but prefer ILX the best for real-time and historical data into Excel. I am currently using AT Financial because that is the default at my present firm but am having major stability problems and cannot recommend. I will probably cancel and go back...

There are many variables to the success of this strategy. These include: 1) the stocks (high or low volume, SPU correlation, beta/volatility, historical specialist behavior, etc.) 2) treatment of "news" (definition of news, include/exclude, wider envelopes in the event of news, etc.)...

I made about 85 cents today using the algorithm I cited yesterday: If no news, then envelope of .7 If news, then envelope * 1.5 20 fills managed with time and volatility based trailing stops thanks for the recommendation