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Programmers do not introduce/discover ideas. They implement code according to Business Analytic specifications. And they can not "hide profitability". Also starting such a profitable system may require huge costs individual can not provide. Say market arbitrage system, you need high...

regarding Neural Networks there is a good FAQ ftp://ftp.sas.com/pub/neural/FAQ.html as for normalizing inputs you can normalize them in your existing data set by multiplying them on some value. Obviously there is no way to calculate that multiplier for unseen data.

There is no direct answer on what is the best platform. For one person TT_Trader is enough, other likes another technology. So it depends upon you. Choosing broker is hard task, it may be even more complex if you have an experience with trading. You should consider commissions, technical...

Hi, I am a professional C++ programmer with 10 years of experience. Last 3 years I am specializing in development of automatic trading systems and various plugins for trading platforms. I have an experience with following technologies: <li>InteractiveBrokers TWS</li> <li>FIX API for...

I heard something about RedSky, now ITG search the board for this name http://www.elitetrader.com/vb/showthread.php?s=&threadid=115844&highlight=redsky http://www.elitetrader.com/vb/showthread.php?s=&threadid=96645&highlight=redsky they have API good commissions but they work...

It is invalid to measure programming skills in money involved. That is a separate market of programmers. You can find very cheap labor at rentacoder, they work for $3-$5/hour - that is the result of competition. But they do not have experience with markets or ATS development.

I suppose that FIX protocol allows you to transfer 500 messages per second. There are brokerages who support FIX, for example VelocityFutures (only futures) and InteractiveBrokers - to name a few.

Hi, I have about 10 years of C++ programming experience. I developed several ATS for my clients. I have an experience with following technologies: -InteractiveBrokers TWS -StrategyRunner -FIX protocol for VelocityFutures -NinjaTrader -OpenQuant -Collective2 API Also I am ready to...

I suppose that there are too many parameters. In fact it depends upon the number of deals. If you have many many historical deals, then it does not matter. I suggest the following: You take data from 2003 till the April of 2007 as in-sample data. You optimize your strategy parameters using...

Frosty, You did not answer, how many parameters do you have in your strategy? It can be overfitted. Is this chart "in sample"? Did you test your strategy using "out of sample data"? If you adjust parameters for the 4 years period, you should leave at least 1 year of data for out-of-sample...

Hi Frosty, During 2003 year S&P market was at about 800 level. At 2007 it was trading at ~1400 level. Strategy performance depends upon the level of the market. It is possible that during 2003 all your profits were taken as commissions. Later it started to gain extra money, exceeding...

FIX protocol is a standard. There can be different additional tags in implementation, but basic tags are the same. By "black job" I meant that you can hire a programmer who will implement a wrapper for QuickFix, which will give you high level "messages", "events" so on. I am glad that...

FIX protocol is quite complex. I do not suggest automation if you do not have your own programming experience. But you can hire a programmer, who can do black job for you. Also OpenQuant has support for VelocityFutures, it is the same FIX. So you can continue using OpenQuant but with another...

Could you please suggest literature/links? I know basics of NN. I use them in my strategy. But my results are far away from my expectations. Results of NN prediction are very similar to usual regression models. The main question is what should be enters for NN???

I need demo FIX account to debug functionality of my application. I asked VelocityFutures 3 times. They promised to help but I did not receive an answer. My application works with TT SIM server. But I did not debug disconnect from the server and I had to test this with real money :(.

Below is only my understanding, I am not an expert in FIX. There are two types of connection, one is persistent, other is non-persistent. That is the settings of the server (AFAIK). With persistent connection all messages are stored on hard drive and when session is reconnected, server...

I do not know about brokerages with FIX demo account :(. Velocity did not give me demo although I asked them. You can register at http://devnet.tradingtechnologies.com/ it is free then you will be able to download documents regarding TT FIX and TT SIM, which is exchange simulator. You...

I suggest you to program using TWS API. It is simplier then developing for FIX engine. I had an experience of programming for TWS API. Then after I experienced serious bugs while upgrading API version I decided to left IB. And I joined VelocityFutures. VelocityFutures supports TT FIX and I...

MacroEvent, I can't understand, why do you need two separate accounts. Let us suppose we have 1 account for longs, 1 account for shorts. Then we combine them into one account, profit results will be the same. Could you please explain?

Thank you for reply. The only problem I trade with Automated trading strategy :). And I need to optimize its parameters based on historical data, thats why I need to somehow scale data from previous years. One possibility I will get two most recent years without any scaling. Enormous...