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I've been thinking about it, but have concern that it will reveal how I enter and exit the market. The main purpose of this thread is to demonstrate the profitability of a simple strategy as it is automated by an ATS platform. rt

Wednesday, 03/25/2009 Security: ESM9 Session PNL: $562.50 USD To-Date PNL: $2,900.00 USD

Tuesday, 03/24/2009 Security: ESM9 Session PNL: $825.00 USD To-Date PNL: $2,337.50 USD

I will start the log by recording this week's action to date. Monday, 03/23/2009 Security: ESM9 Session PNL: $1,512.50 USD To-Date PNL: $1,512.50 USD

My priority in trend trading is to catch the bias of the market with as few rules as humanly possible. At this point in my trading, I use a strategy that employs only 2 parameters. These parameters are optimized on a weekly basis, after the close of trade on Friday. This periodic...

Let's talk about method in a very general sense. Some of you might remember that I started a journal some time ago attempting to mechanize the Jack Hershey Method. For obvious reasons, I don't want to start a discussion about him nor his method. What I can say for sure is that after a...

Hello, I've decided to start a journal to record the daily results of my e-mini trading. My trading method is strictly mechanical, and automated by ATS platform. My motivation is two-fold: to force myself to improve my general record-keeping and accounting, and to hopefully encourage...

I'm not sure why it's important... Taking my approach a little further in explanation, every time a position has been closed, I set the order ID to "". This ensures that if the string variable, orderID, is not "", then the string content of the variable is the ID of the order for the...

In general, I find the best way to deal with an issue like this is to use a date and time stamp as part of the ID. To provide unique IDs to my ATS, I will always go with: position_security_account_date_time for example, for a long entry in ES, at 11:05 a.m. on 3/24/2009, in account...

ok, it looks like the void tickPrice() method is used to obtain prices. IB's API documentation is really confusing though... It says: "This function is called when the market data changes. Prices are updated immediately with no delay." What I don't understand is, is this method called once...

I consider myself a pretty technical guy, but this is way over my head.... But thanks for the input! rt

I also forgot to ask, is there a built-in API method to receive these tick events? rt

The 5-second bar method is a newer method in the API, as far as I'm aware... The question is, do the update times of each bar remain synchronized with exchange / server time? i.e. for NYSE sessions, does the first bar start a 09:30:00 and the last bar end at 16:14:59? If you have any...

I've been browsing through max's method of connecting to TWS via ActiveX. Seems to be much cleaner than using a java or C++ socket. I think the first challenge is creating OHLC bars from raw data. For the case of time-based bars bars: What has to happen is the reqCurrenttime has to be...

That sounds good, count me in

err, sorry, the comments about activex are directed to max. rt

I've used matlab for about 12 years, mostly in engineering. It's definitely a really great prototyping tool, just slow. But the built-in plotting functions are very difficult to reproduce in standalone apps built in C++. I think matlab is fine for this effort, but it's just sluggish with...

why matlab in particular? Among interpreted languages, matlab is known to be one of the most sluggish and resource-hogging. What can be done in matlab, can easily be done in C++ with ease, using STL containers and/or boost libraries. rt

adaptive filters are used primarily as equalizers (matched filters) to provide the detector with optimal signal to noise ratio. The tap weights of the filter adapt in real time to provide the "inverse" of the band-limited channel to the extent the length of the filter allows. It's usually an...

Estimation and signal detection in the presence of noise works well with the underlying assumption that the channel is STATIONARY. That is, the stochastic processes do not migrate over time. Optimal channel equalization (matched filtering), maximum likelihood detection, and sophisticated...