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I do not try to start a debate on which one is better Technical Analysis (TA) or Quantitative Analysis (QA), QA also referred as Quantitative Finance/Mathematics Finance or Machine Learning (ML). I am more interested in how can I utilise TA/QA/ML to predict the price in near future. In addition...

Thank you. I can start my forward test with 1 contract next week :)

Just to confirm, that I can trade Emini s&p 500 on interactive brokers as many as I want, no pattern day trader applied. Is this correct? Thank you

This is for order execution module, applying the algo to a rolling window of data. For algo discovery, I will use python or R. Thanks, I will need this when my data size more than my RAM size. I am using Linux ubuntu, I believe it can manage 16.8 million Terabytes, I will use a simple array...

I am working on 1 minute strategy too, still back testing.... What do you trade with your two 1 minute strategies? (e.g. stock/forex/future?) Thank you for sharing this insight.

Wow, multiply by 6 in a year. That is really impressive! I am keen to see what would be the true alpha. Please let us know.... By the way, I am building my own automated trading system where I can invest my own money. I am back tested using IB historical data, then forward test on IB...

I am collecting historical data, market data and order book from Interactive Broker (IB), currently just focus on E mini S&P 500. Planning to collect all shares and commodities, also will probably get another data feed, potentially DTN.IQfeed. My current implementation stores all data in...

Apologise for my ignorance... Just would like to confirm my understanding. Vectorized backtesting can deal with a single sequence of related events, so it works for a single path strategy only. For example, trigger order 1, wait for order1 status, after 1 minutes if order 1 not is filled...

A very interesting thread, lol. I learnt a lot from this thread.

I re-read @Ghost_of_Blotto's post, especially on "the information is not in the data" Thanks for sharing the setup. I am looking into RabbitMQ, Redis and Monitis. By the way how much does Monitis cost you per month for your setup? Would you let us know which company is your FCM? By the...

I checked the CME membership website. It seems we can apply for membership, by filling form and submitting passport copy, $2000 application fee. However, I also saw membership for sale at about $500K. I am curious, why people willing to buy membership for $500K, while you can apply with...

Hi, There are a few order types that I am interested in, for example 'all or none', 'minimum quantity', 'hidden', would it be possible to submit these sort of orders using API? If it is possible, what are the parameters to be passed? The complete list of advanced orders is here...

One tick in ES is 0.25 cents which represents $12.5, one point in ES is 4 ticks. Is this correct? What is one handle?

You will need to apply for margin account, I am with Interactive Broker. When you said, you are extremely successful scalping future, is it on simulated trading? Is it backtested or forward tested, or both? Just curious how is your setup? My setup, execution on Java with IB API. Research...

Thanks for the links, I am going to use Amibroker for to test an idea quickly, then implement in c++ or Java

Johanmul, Thank you for your advice. Here my honest self-assessment of my skill set: Machine Learning: intermediate to expert Algorithm: expert Programming: intermediate to expert Data Processing: expert Trading/markets: basic, I believe I need to learn a lot in trading/markets, there is no way...

I will have to try this automated trading things for a year, either success or fail, it is ok, I still have my day job. If success, I will quit my day job, if fail I will stop trading.

Thanks for the info, at least, now we know it is possible. The information is not obvious in the data. It is hidden. Understanding the data, in this context, the ES data, the behavior of the order book, the latency of the setup is very important. In short understanding the domain is...

Oh, I see, thanks, I will get IQfeed when I complete my work on Emini S&P.

Could you please confirm, 50 cents profit per contract and 50 thousand to 100 thousands contracts per day? So the profit for this ES trader would be 25 thousands to 50 thousands per day? Whoa, this is hardcore, I don't think I can do this on IB My current platform is IB. I will optimise...