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IB really needs to consolidate its IDEALpro and IDEAL FX facilities so there is just one way of doing FX trades and currency conversions. Much more sensible to have a single currency trading facility with a commission structure tailored to the size traded.

This sort of thing is always going to be a problem with order size limits using execution via a limit order book. IB should really get rid of the deal-size restrictions on IDEALpro and just use a commission structure to deter small orders. i.e orders less than 25K just get charged at a...

SR is just above 2 but looking to improve this.

Robustness is the only property that a system needs to have to make it worth while to automate. Automation is mostly about getting better faster, executition. It also provides easier diversification by allowing a trader to trade more more markets than could be done by hand.

Interested why you are linking automation with sharpe ratio. Cannot really see the connection.

Have been for about 2 yrs now.

So how did you calculate the figures? Did you just work out the range between midnight and the open at 9.30?

Travis, Your investigation sounds quite interesting. Where are you getting the pre-open range and pre-open volume figures from?

Might be worth mentioning that this is a counter-trend system and not a break-out system. It relies on mean-reversion in the S&P futures. Systems of this type tend to have high% win and low win/loss and the results from this code are nothing out of the ordinary. As far as I can see it...

Without having the code to understand why it worked in the first place it is impossible to give an informed answer to the question. However, it is likely that the system exploited a tendency that was present at the time which has since changed. I have seen a lot of systems of this sort that...

I have a Xincom router and it fails over O.K. You can set up loose binding to the MAC address of your PC network card so that all taffic from that PC goes down your most reliable ISP but fails over to a backup ISP. However, you still get a gap whilst it is switching over and the software...

The first main statement in Marks book is based on a mistake in understanding of the behaviour of random walks and is incorrect. Market behaviour is much closer to random than most traders appreciate and is getting closer every year.

www.tickplusdata.com

Try fat chicks, They won't be so fussy about what you do.

This email just confirms it is not a viable option at the moment. Any automated trader must have a fast and absolutely reliable feed from a company that can be relied on. Your company/service is a work in progress. Anyone serious is going to take a feed from an established vendor, e.g...

To shed a little light on the CME data. The CME has two different feeds. ITC feed for level1 data RLC feed for level2 data. The RLC feed has greater transactional resolution than the ITC feed. Different vendors may use different feeds. For example, eSignal use the RLC feed and get top...

A better question to ask would be, "what is the system with the best consistency and longevity?" I have seen a lot of high return systems fail spectacularly and end up giving back a good portion of the profits that they made. A system that can grind out consistent profits year in year out...

www.tickplusdata.com www.olsendata.com

IB are reacting to the changes imposed by the CME. They need to do something and notifying people that are exceeding the limits seems reasonable. I would expect that if charged, they would split this penalty between all the people that were violating the limits. Perhaps someone from IB can...

Comstock for low latency http://www.comstock-interactivedata.com/index.shtml