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How, exactly, are you measuring slippage?

There are timer Add-ins that will give you an event where you can simulate prices updating. I found it easier to go the VSTO route and write the real/simulated order flow through a combination of VB.Net and C#.

REST FATIGUE 20 years ago, I would be days between jobs. Overlapping contract jobs was more the paradym. Get a few years of experience, 3 months and then 5 months between jobs. I worked every day that I was unemployed. Try to train, make connections, get my own business going. Moving...

Actually, I take exception to that. When I took a class in Numerical Optimization, the professor said on the first day of class something similar, that the number of dimensions in the parameter space should be one less than the number of constraints. Since this had been an objection from a...

As far as optimization: Yes, I built my own continuous optimizer that did a good job of operating within the curved constrained "subspaces." When this comes up, I am often asked why I bothered since MatLab/SciLab/R could have saved me much development time. The answer is encapsulation. When...

Gustaf, I was wrong. My quick Google search found search-engine-optimized garbage. A better search "modern portfolio theory option heteroskedastic garch convex" results in at least a few papers touching on the subject. Each academic paper that I found just eats at an edge of the problem...

I have worked on Modern Portfolio Theory for Futures and Equities, but not options. When the market is falling apart, it is will understood that short-term correlation rises. For this reason, exposure is monitored closely with frequently updated short-term GARCH estimates, and risk analysis...

I am not a big fan of Trade Link or Open Quant, but there is alot that can be learned/leveraged from them. I understand that the combination TradeLink x TDAmeritrade isn't working, and you are disappointed that neither side is interested in resolving this. TradeLink has support for many other...

I'm surprised that no one has mentioned SCILAB, the open source equivalent to MATLAB. It can even run .M files.

I am surprised that anyone would bother to analyze a debt default in terms of interest rate/exchange rate mechanics. It is like analyzing a car crash by noting that the resulting non-motion relieves the need to apply pressure to the brakes. Perhaps if the driver has flown through the...

The proposed chart-pattern on a one second chart with automated trading is quite feasible if the chart-pattern can be made fully objective. There are various platforms, some of which have been mentioned. Each platform connects with certain brokers and offers a subset of capabilities...

I have developed a platform similar to your design, but with C# and VB.Net and VSTO instead of DDE. Broker <-> Broker Liason <-> Excel Liason <-> Excel <-> VBA By pushing events from one end to the other, you can use Excel as an execution platform with good human-timescale responsiveness...

The world is a competitive place. The US is productive, not everyone personally, but as a whole. If it is not competitiveness, then it is entrenchment. If we really crashed the economy to save it, it would be like tripping in a marathon. There are plenty of other runners happy to step on us...

Last I knew, Yahoo only offers daily summary data on a historical basis. Historical intraday data is hard to come by for free. The bandwidth costs are too high. I built a little VSTO program/Excel spreadsheet that replays historical data as if it were a live DDE connection, but you still...

A number of academics have spent much time generating random charts with various characteristics such as tendency to have runs. They have gotten good enough at it that experienced traders can't tell the difference. But then what? No one is going to give up trading based on that...

Since we are discussing retail ATS rather than straight FIX, I've had problems with some platforms missing position messages on the last fill on the exit of a trade. I am curious myself as to handling missing fill confirmations. If enough time has elapsed, you can try to cancel the limit order...

Not enough information is right. With additional assumptions such as A winning and B losing = wash, there is still an important question as to how often each gives a signal. A simple Excel Monte Carlo analysis shows that the likelihood of getting a signal is a significant factor in...

I don't see what differentiates ProRealTime from everyone else. Am I missing the point?

Being long and short the same security is, however, shilling. I am not up on the law, but I think that is verboten.

Doing a meaningful job at Value-at-Risk depends critically on having meaningful correlation and volatility estimates. These are not easy to do well. I suggest getting a book by Carol Alexander. I have found, "Market Models: A Guide to Financial Data Analysis" to be invaluable, but she has...