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By the way, Java, TradeStation, MetaTrader, Amibroker, or any other code type is fine (and of course .NET is great) - any of the above would get the general idea across

I am building a simple trading application (on TradeLink, C#) and want to implement some simple accumulation / distribution execution algos, by which I mean algos that can break up a large order into many smaller orders to minimize impact on what can be a relatively illiquid market. I've...

I'm not certain about this - I will try to check and report back. I had always assumed it was possible to log into TWS and make/close trades, but not personally tried it. As for unfilled orders, I'm pretty sure you're right that they're at the "F" account and not in the sub accounts, so...

Again, not a lawyer, but... I'm pretty sure if you live in a state where IA registration is required for anyone charging fees for acting as a fiduciary (ie managing OPM) this will leave you legally exposed. I've known of others who do something with a non-official one page contract or...

SMA = separately managed accounts - each investor has their $$$ segregated in an account registered in their name. They have sole access to deposit and withdraw funds, and they authorize the adviser to make investment decisions for the funds within it. There are many advantages, with the main...

I'm interested in anyone's comments on the idea I described for AUM fee resets. Using trailing performance as the guide to the future %AUM fee. (1) how would you feel if an adviser/friend proposed this to you, and (2) can anyone comment on whether this would run afoul of the...

Ha, yeah I didn't take much from it but didn't think it was the waste of paper that many others seemed to find it to be

Not quite that easy for two reasons. First, the quote boards aren't terribly liquid and as a result if I place an order of even a few thousand shares, it can by itself shift the market, though this can be managed through iceberg orders etc... Second, and more importantly, I want to be able...

I am a systems trader with a statistical arbitrage bias and primarily focus on capturing alpha through anticipating short/medium term movements of equities based on proprietary views of "fair value". I have generally been a liquidity taker, though I have experimented with some very crude...

other people's money

Yeah, anything less than 100B really isn't interesting... Interesting post, and something I've thought about myself. I can't speak from *experience* but have done plenty of research on the topic so will share the key points I've gotten. Note that this is not expert professional advice -...

Yeah, I'm not a nut about perfectly hedging, believing that it all comes out in the wash eventually, but with a pair of 3X levered ETFs and a 2% move, one fund will go up by 6% and the other down by ~6% meaning you're net 12% out of balance in *one day*. You're always out of balance in the...

@churchill I did this exact trade a few years ago. logistical nightmare having to rebalance the sides daily. Profits were minimal and you're exposed to a black swan event (if markets drop by 25% in a day, the 3X long will go against you greater in dollar terms than the 3x short will go for you...

And to make it more confusing, the VIX futures (that drive the VXX) don't settle on an underlying calc'd the same way as the spot VIX you see quoted. Generally the same, but enough differences that you can see the two not converge at expiration.

I've been in this program for like 15 days. I trade almost exclusively hard to borrow or slightly hard to borrow stocks, both long and short, and I've made maybe $1.00 thus far. Really disappointed thus far. For whatever reason, IB just isn't getting to the front of the line on the lending.

Try Themarkets.com. Not cheap by any means (I'd guess a few hundred $$$s a month) but is a way to get all major sell side research in one place, all you can eat pricing.

At a high level, sure. I look for structural flaws and irrationality in the market (or with other market participants) and take the other side of their trade. I find it easier to identify others' mistakes than to come up with brilliance in a vacuum. The ideas come from lots of reading of...

@Zen, I don't take offense to your differing viewpoint - many paths, no single path is right for all. You're right I'm straight equities, not futures. There are, no doubt, great riches to be had from the built in leverage offered by futures, but not my style. I will also concede that...

Your post caught my attention - I am in a somewhat similar journey. I'm a former strategy consultant (quit the lifestyle about 8 yrs ago) and I can empathize about the split personality of that path -- interesting, lucrative, generally secure, and somewhat miserable. I transitioned into an...

A quick follow-up for this futures contract, which I've been watching with interest. At 4p ET today (expiration date) the January futures contract is still trading 25 bps above the spot, though during the day today spot rose +130 bps vs -10bps for the January contract. Spot VIX rose in...