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Iv been doing a bit of research into figuring out if one order type has a bit of added value over the other. The tests are being done on a liquid equity (SPY) which normally has a 0.01$ spread. Both orders guaranteed a fill, trading 100 SPY at market is 0.50$ more expensive in ECN fees than...

Didnt the 500% SEC fee hike already kill most high frequency trading?

I'm curious why deviation for backtested performance wasn't an obstacle you couldn't overcome. I've been dealing with the same thing nowadays. The deviation I see from backtested performance mainly comes from two sources, missed trades, where the market skims the price and the backtested...

do you still backtest the system to see if it projects profitability over a long period of time? even though you are developing it 'as it goes'?

http://en.wikipedia.org/wiki/Mutually_assured_destruction That is what would stop Russia or China from attacking a NATO country, not so much your troops. Justifying recent military operations / doctrine on the basis of deterrence seems like a somewhat confused opinion though.

There is an interesting documentary called "War made easy" which deals with this subject. Agreed that WWII would be one of the last 'legitimate' wars the US has fought. As seen by public opinion for it remaining high throughout the whole fight. As opposed to recent wars (vietnam, iraq etc) whos...

Can someone explain to my why this fee hike isn't going to nuke liquidity and volume? MMs and rebate traders already have to exist with razor thin profits per share. Granted this increase is only 1/100th of the size of the proposed trader tax, but id imagine it will have a similar effect on the...

Twins???? Really???? Yes similarities in the bald, white, male, blue blazer genetic traits can be spotted miles away.

I think the whole 'horendiously[sic] long' wait time / poorer quality service myths about the Canadian system have been created to make US citizens fearful of nationalized / universal health care, thus protecting the profits of the health care system there. I live in Canada and have had lower...

Hey guys. I'm trying to figure out a way to change how TS fills strategy limit orders on simulation. Right now I'm having issues with the long term performance summary far overestimating actual market performance. Because this divergence between TS performance and actual market performance...

solved the issue. turned out to be desync'd system vs server time. fixed it by going to the NIST atomic clock website and setting my windows clock to within 1 second of it.

ya sendcompid etc are just censored account information.

Im thinking that the problem is the logon message Im sending. Attempts to get a working message example from Genesis hasn't turned up anything. Iv tried removing and readding every optional field without any change. Could anyone here who uses FIX through Genesis post an example of the...

do you know what the standard reply should be after a logon request?

im getting no message back from genesis. there might be an issue with my connection to genesis resulting in them not getting the original logon msg. the quickfix log is showing this: 20081027-16:22:20 : Connecting to xxxxxxx on port xxxx 20081027-16:22:20 : Initiated logon request...

The main reason I want to implement FIX is so that it is easier to switch my application between brokerages in the future. And since I am not doing too high frequency trading the loss of speed over the API isint an issue. Does anyone here have any experience getting QuickFix working with...

Also should it be possible to log onto a FIX server with telnet be able to test everything by hand? Iv read some threads about people doing that to debug issues.

Hey. I was wondering if anyone here has managed to get QuickFix to work with Genesis Securities' FIX server? I'm having an issue where I can connect to the server without the connection being dropped. I try to send my logon message and I get nothing back from them until the logonTimeout gets...

So strategies created with tradestation which average less than 0.01 per volume most likely wont translate into a profitable system when live? I wonder how much false value is added solely from the 'always front of the queue' bias TS gives strategy orders. I was playing around with the idea...

Hey guys. Im having trouble creating and accurately backtesting strategies using trade station. I believe the main problem is that when putting strategy limit orders through TS, it assumes there is a fill if the price touches the limit price, basically assuming my order was first in line at the...