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TY, I mean Ten Year notes, not thank you, lol.

Source?

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JFGI son. "Death Star": Enron would overschedule its expected power transmissions to create the illusion that the state's grid would be overloaded, then receive state payment for "relieving" the congestion. The beauty of this con, the company's memos noted, is that "Enron gets paid for moving...

Could be that. What I meant was that you should have backtest you thing on say, 2009 (in sample) and then select your pairs and adjust your parameter values with that data. Then, with this, you backtest (out of sample) on 2010 data and see if it holds becaues it is that that you would have...

When both are negative it is because they pay/charge the rollover rate + a spread. So of the rollover is 0.25% and that use a 0.5% spread over the rollover then they pay -0.25% and charge -0.75%. Making it both negative. As far as sign convention I believe a negative is a charge and positive a...

Good job, it's always good to have numbers backing you. A more compeling test would be to take the same pairs out of sample and see if the cointegration holds.

And how do you scale out of losers?

Why dont you post the results of you backtest?

There is a reason why we invented 64 bit computers, lol.

There is no now, cointegration is always backward looking and like correlation evolves over time.

I just did not really have the time (and still dont) to jump in this conversation to help but this is also what I think.

Is the OP used to fx bucket shops that are market makers and not a real broker between you and the exchange?

Snakeoil, they bill use the ticker BS, lol.

Can't find where I read that over the w-e right now but I guess this is why CMC markets stopped offering "futures" on gold.

Yeah, and I think the MHI pre-market opens around that time. Just now used to some volatility anymore!!

What is the news right now? It is shaking like it's 2008.

Then it all depends on you. You can program you stuff with the C++ API so processing speed is on your side. As said before quotes are updated every 250 ms or so. There are limitations on the number of quote request you can make in a given period of time. If that is a problem you can use an...

With IB comish is very very high for HFT. Their API updates the quotes only every 250 ms or so as long as I remember. It is a snapshot and not real tick data. Conclusion, no way you can do real HFT with IB.

ROFLMAO