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About 3 months, although its been tweaked a bit over that period.

I should add the following: The system was built using data from 7/2/2008 to 12/31/2012. Results for Jan 2007 to Jun 2008 and Jan 2013 onwards are out of sample. The PNL is net of commissions and exchange fees, calculated at $1.80 per contract. At these volumes it would not be hard to...

I have been developing this system for some time. It trades ES futures on 1 min bars in Tradestation (or Multicharts). The system uses machine learning algorithms to set entry and exit limit prices, which are calculated on the close of each bar. It will typically scalp a tick and hold for 1-2...

Here is an example, in using ActiveX with Vwap IB Algo. Dim m_ITagvaluelist As TWSLib.ITagValueList m_ITagvaluelist = Tws1.createTagValueList Dim m_ITagvalue1 As TWSLib.ITagValue m_ITagvalue1 = m_ITagvaluelist.Add("maxPctVol", ".01") Dim m_contract As TWSLib.IContract...

Has anyone figured out the formatting of the order string for a VWAP or ArrivalPx algo order? Zero help so far from IB on this one.