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Thanks for the reply. Your response does answer my question, although it does inspire another question regarding memory footprint. When you say "every possible" price value you surely cant mean that literally. Do you use a fixed array size or dynamic memory?

Hello All, I am currently writing some software that monitors the CME futures orderbook (I am using DTN NxCore as my data provider and using their C++ API). Orderbook data is what is the driver of my automated trading strategy. As you may know, the NxCore orderbook is updated in chunks (I...

Lmgtfy.com

Its times like these where I wish the SEC "Pattern Day Trader" thing didnt exist.... lot of fish to fry out there...

Your use of Dynamic Programming has peaked my interest I use it quite a bit in my day job (aerospace control systems). Would you mind sharing some of the details?

This assumes that you are missing out on the 5 minute trends by looking at a 1 minute chart

I updated my previous post with a link to a thread here discussing it. There may not actually be a "paper"... I misspoke. With regards to timeframe.... If you were able to calculate the "optimal" trading strategy, i.e perfect entry and exit you would find that the maximum profit would occur with...

I believe Jack Hershey has a method saying how the optimal strategy is to trade ALL time frames simultaneously. You may be interested in giving it a read if you haven't. http://www.elitetrader.com/vb/showthread.php?s=&postid=411188

While the same trends may exist at all time scales, the number of opportunities increase with a decrease in timescale. That is my thought anyway...

Thanks for the info, I suspected it was a demo account issue

Hello, I am trying to access GLOBEX futures market depth data through the Interactive Brokers TWS API (Linux and C++) and when I call the reqMktDepth() EClientSocket Function, I dont get anything back in return through the updateMktDepth() or through the updateMktDepthL2() functions (I know I...

I can't see myself getting sued since I won't be doing anything with the public, but the fact that I can not capitalize data expenses as an individual is pushing me towards forming an LLC.

All, It sounds like just keeping my trading as an individual is the best way for me to go right now. This is a silly question, but my trading profit tax liabilty at the end of the year includes the cost of 100% of my data feeds and commissions right? Up until this year, my trading...

Its not a "fire and forget" automation, I will be there making sure nothing goes haywire, but the software is making the trading decisions

Near the bottom of the page: WHAT DOESN'T QUALIFY? There are three factors that automatically don’t qualify for trader tax status: 1. Automated trading without much involvement by the trader. 2. Engaging a money manager. 3. Trading retirement funds.

Well my plan is to be super active, I wouldn't be surprised if I am making round trip trades in the 10-30s time frame regularly. According to http://www.greencompany.com/EducationCenter/Trader-Tax-Center/Trader-Tax-Status.shtml , since my system is automated, filing as a LLC may get me the best...

Sigh, this is an incredibly complicated and incredibly boring subject. I guess this is why people hire accountants. TurboTax online may not cut it for me anymore.

Thanks Bob. Your links are quite helpful. Sorry for making a redundant post.

Hello, I am a relatively small retail trader (~$20k) who was been developing some automated algorithmic trading software over the last couple years that I am getting ready to take live in the coming months. My strategies are geared towards the Globex Futures market (I know that is relevant...

Correct me if I am missing something, but.... How do you turn $1500 into a million day trading penny stocks when you can't meet the $25k minimum SEC day trading margin requirement?? Does that law not apply to the OTC markets? I thought it applied to ALL equities and equity derivatives...