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drag0nsheath, my primary algo uses nothing more than BEDMAS. I had a theory based on human emotion, found a pattern, run that pattern over and over, and in the end, it wins more than it loses. The most advanced technical analysis tool that I use is an SMA. I have a data mining prototype put...

I figure it's time for another update after running live for two months. Progress has been slow now that we're back into golf season but I'm still moving forward. May was a good month with a win rate of 70% but I'm still getting trade irregularities when compared with back testing results...

Thug, the discrepancy was due to a bug in the software. I was using the wrong variable when calculating the price at which a MKT order would have filled. Interestingly enough, a rough calculation of of 0.1% slippage has kept my backtesting results within about 5% of live trading. I could...

EliteTraderNYC, yeah, I agree. I'm well aware of IB's data shortcomings and I will definitely be transitioning to another provider when the software is ready. For the time being, my strategy is so simple that data accuracy isn't as critical as one might imagine but I've got a few ideas that will...

Craig & winnertakesall, you're right about the orderState messages and I should clarify. When I submit an order, I do get the orderState and orderStatus messages and those work but the problem I'm having is when I *update* an order. The way my algo works is as follows: 1) It looks for specific...

GreedAndFear, do you have a way to quantify when it will be "good enough" to go live?

I've wanted to do an update for a couple of weeks now but life has been busy. I don't know how I had time to trade before the ATS :) So, there has been good news and bad news. Firstly, although the strategy was batting 0.8 for the first two weeks of last month, the last two weeks took back...

winnertakesall, congrats on launching your ATS! Can't say that I've encountered the problem you've described but how is your Internet connection (using wifi?), are you requesting the data feed more than once, and are you using the live feed or 5 second candles? My primary strategy trades 0.3...

wfeagin, my main strategy's average hold time is 2 hours and 10 minutes with approx 0.3 trades/day per equity. Another number you might be interested in is commissions/profit which is about 4.5%. I've always struggled with strategies that had low hold times. I could make them work in...

Haha, I appreciate the input. If you can believe, the last thing I did before going live was put together a unified logging system rather than just outputting everything to System.out like a dummy. And yeah, I have to work on everything you mentioned except backups. Backups up the wazoo! :)

I agree completely, I honestly have no excuse. In fact, I already have the table and code done from an earlier test project but never did integrate it into the system. It just got moved up on the priority list!

My slippage model is incredibly simple and I can tell you it is most certainly not feature complete. If anything, it gives me an almost worst case scenario especially as the price of the stock gets lower. If I'm placing a MKT order, I get myPrice*1.001 and if I'm selling at MKT, I get...

Here's an update for last week's trading. It was a good week but system made one additional trade that wasn't made in backtesting. I can only attribute the problem to either the IB "live feed" differing from the 5 sec candles or clock slippage. Unfortunately, I have not been storing the live...

Thanks Bob, you've given me some things to think about. I knew when I went live that there were bound to be holes in the system but there comes a time when a guy has to draw the line and say, "good enough." You're right though, if I don't double check the data, I could suffer some pain.

braman, I agree with Bob. This is all that I use at the moment but I can tell that only a week into live trading, it has it's downsides. As for subscribing to data feeds using the IB API, you have two options (Java): reqMktData() will give you a live consolidated feed (read: not tick...