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I was indeed refering to Chan book. I dont have any insight and I doubt the guys have them are around here. Try Wilmott or nuclearphynance? You can have a look at Burgess famous paper on pairs trading and cointegration and maybe you can find some insights. I dont think a roling window is...

Have you tried a rolling window? I explain, instead of taking the cointegration ratio on all the data in sample and then using it out of sample, recalculate the value every day always looking xx days behind. This should/could help to adapt to the changing behaviour of the spread. This is how it...

As long as I know a block trade can be stocks, futures or options. The 100k contracts are 100k contracts. What the OP was talking about was not 100k contracts but one 100k block trade.

Would help to know how you judge that it is not working out of sample. Do you do another cointegration test or do you have a strategy that was profitable in sample and failed out of sample?

There is stat arb going on. Pairs trading is the numero uno strategy that launched stat arb. And this is what the OP is trying to do, using a cointegration vector to find some mean reverting pairs of stocks. Read Statistical Arbitrage: Algorithmic Trading Insights and Techniques.

Use the Excel DDE. It's all in the user doc DDE for Excel: http://www.interactivebrokers.com/php/apiUsersGuide/apiguide.htm Your TWS must be open for the API to work and you must also set it up. It's all well explained in there. If you can't make it work, consider not doing it because it...

Poker playa Rock star Professional athlete

As far as I know reds are plenty available. I dont get it.

Got crack?

Thing is you need to trade something into which you have interest in. I like to travel therefore currencies is cool to me. I could not really trade pork bellies cuz I just dont give a . I have a friend who is making good calls into tech stocks because he is into tech gizmos like Iphones and...

Volatility, large moves. 24/5. So you are not always late to the party like the stocks opening at 9:30. Diversity of currencies with low to high correlation. Responds to macroeconomic events. Open your view all around the globe VS a single specific market (I know in the end all affects...

If you really want to gamble, ask sanglucci.com son.

Indeed you seem to be right!!! "Tick time format must be hhnnss (same as NinjaTrader "HHmmss")" And I am totally confused. I started recording this morning at 7:15am ish NYC time zone so that would be GMT (-4) ==> 111746 -4hours = 07:17:46. I am just so surprised that there are so few ticks...

Not a chance, how can I get this when now() we are 2011-03-22 20:13:00!!! 20110322 204354;120.078125;5 Also, I dont think there is a tick every now and then in the 10 years notes futures at 8am (time I started recording the ticks).

Looking at a NinjaTrader tick data file I want to know what are the numbers after the date? Is this a time stamp in milliseconds? Here is an example of ZN 06-11. 20110322 111746;119.953125;1 20110322 111750;119.953125;1 20110322 111757;119.953125;1 20110322 111757;119.953125;8 20110322...

Never did this on purpose but my guess is that you would pass under the radar. I think I busted the 3 trades in one account one time and hedged with another and never heard about it. If it is with different brokers it is highly likely that you wont get "cought". Idont even think that it is...

If you are talking about forex bucket shops that acts as a buyer and seller for all your orders then you can get a real brokers that offers access to an ECN where you can place your orders against the market. If you are talking about stocks on Nasdaq, NYSE and the like then what you are looking...

Funny answer from a Swift guy!!! But I understand your point. Why bother the stress, the pressure and uncertainties if you can make the same money slaving for a pimp. I have my rule, to choose between a job and trading, trading must provide at least double the money to account for the hassle...

How many hours at the job? Could you watch that market on the side and put some trades on your iPhone?

Weaker JPY means better Japan economic recovery (cheaper to rebuy and people still buy Japan). Therefore, less negative impact on their GDP and their level of economic activity makes it that there will be a smaller impact on the world economy so it is bullinsh america. My 2 cents.