Recent content by vikana

I'm still reading and participating a bit. I'd forgotten about Hitman and that whole debacle. I've met just about all my trader friends here. My favorite moments include the very big days in 2008/2009 put up by some of the members.

musicman, thank you for figuring this out. I definitely have a .txf import problem where the wash-sales are double-counted. I'll check the W flag, which I know is in the import file.

In the end, all I can trade off are the prices I get when I get them. To estimate latency, you have to get the official tick-stream and compare to when you receive quotes in realtime. Just pick a good symbol, such as SPY or ES, and log incoming ticks for a few minutes. Secondly, you need to...

I've been looking at using R for some analysis, so I'd like to figure this out as well.

Baron - thank you for a great site. I've met the majority of my trading friends here on ET between 2001/2002 and 2008. It was a huge help to me during my formative years as an active day trader. It's fun to see how the site has evolved and I've certainly learned much over the years (and...

I would make the blue text a bit darker; at least on the /vb overview forum page.

Assuming you mean the "true" papertrading account as opposed to the demo account, I can only think of one thing for OPG fills: It's my experience that NASDAQ OPG orders need to be in at 9:28, and can't be cancelled after that. Placing an OPG at 9:30:02 is too late. If you mean a plain LMT...

FWIW - I have seen a large Java/Swing program run flawlessly on 1.7.25 and stutter on 1.7.40. There is definitely something in 1.7.40 that affects Swing and network communications (sockets in particular).

That's great advice. In my early days I used track my pulse and only "allow" myself to trade if my pulse was under 65. That helped getting the nervousness under control and naturally reduced the number of stupid errors. Ultimately, automation was key for me, but that's probably a personality...

Both Hamilton and Tsay are excellent books. I'm just not sure they contains much directly applicable information relevant for trading. They are all about the mechanics of time series under various assumptions. Good stuff, but there's quite a jump from those books to working trading systems.

in addition the post by drcha above I like to look at it as follows: Statistical measures (calculated) of data, say prices or profits, allows me to make statements with a certain level of confidence. If I want higher degree of confidence, I generally need more data. The tricky thing is that...

I will override my system when the underlying assumptions no longer hold. For instance, if I detect unusually large network latency, when NASDAQ went off the air the other day, or if I detect missing data, I go "exit only". I test my systems on "big news days" such as the Lehman/Bear...

Just in case you haven't done so, I recommend that you actually give TWS more memory that it allocates by default. Here is my command line [right-click on icon -> Properties]: C:\WINDOWS\system32\javaw.exe -cp...

Let me give an example: The system has no assumptions built in regarding latency, it trades straight off 1 min bars. If I look at the tick data after the close, it looks like the limit order was traded through at e.g. 10:05:05, but in realtime the order did not fill. My concern is that the...

A friend of mine uses TradeStation for his futures trading. I was wondering about data latency, i.e. how much of a delay there is between a trades actual time-stamp and when it arrives "in a bar" on TradeStation. Some of his strategies are not tracking well, when you compare actual trades to...