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It's good to know IB's demo system isn't anything like it. I was hoping for that. What about fill? If I hit the bid or ask, would I be 90% like to get a fill? (1 contract)

I'm about to start trading ES in real time for the first time. I have a question or two, since I've been practicing on IB's demo system and I noticed a few things that can't imagine reflects the actual market. 1. What's the typical spread? Is it 0.5-0.7 normal, or should it be closer to...

Why is 0.56 good for trend following? What is the confidence level for futures? How did you establish the benchmark for what is trend following and what is not?

ttrader, Not that I disagree with you completely, but should by your assertion there exists a mechanical system that can win 90% of all trades?

Another thing to keep in mind that Hurst, like just about everything, is a lagging indicator. Even if the series is at 0.99999+, does that mean you can safely run with the trend. yes and no. yes as in, it's clearly within your confidence interval. No, as in there is no guarantee whatsoever...

It's possible to use it as a method to screen for trend (which is rather incorrect.... one should really use the word "cycle" here). However, keep in mind that just screening for 0.5 is pointless. There must be a method to test statistical significance of that H-E measurement. That is, does...

The H-Exponent does not work that way. It is simply an indication to see whether a time-series is random, that is, whether it exhibits the behaviors of Brownian random walk. It does it have any statistically significant value when it comes to predict reversals.

Margin is never a problem. It's just another way to saying cost basis. However, it seems that the only way to truely play the IV is to use dynamic hedging, which has the problem of being hard to operate.

Can't say I know what a fly is (or is it flies). Can you show me what the spread looks like? Thanks.

Short calendars are treated as naked options only when margins are concerned. They are not, however, the same as naked options. The idea is to try to isolate the sigma component of the option. A short calendar allows that to a degree, but does not do so entirely. Short of dynamic hedging...

That's right. Oops. I meant to say short calendar. But in anycase, a calendar spread has restrictions regarding the price of the underlying. Delta Neutral may be possible, but that has the problem of adjusting the underyling. Anyone has any good ideas?

There are plenty of stocks each month with extremely high IVs. Some of these are biotech stocks or or stocks waiting on important news. Price is guaranteed to move dramatically, and IV is nearly guaranteed to collapse when the news is released. Since a straddle is often too expensive, why not...

I wrote this software to analyze the effect of IV and spot price on a given spread position. I'm pretty sure my graphing is correct, but I thought I might as well have the knowledge people on this board comment on it. The grayscale chart is spot vs. IV, with IV running down the Y axis (top...

Vulture, I am trying to understand what your strategy is trying to do. If I understand what you are writing correctly, do you mean to buy OEX options of the same strike (really not sure if this is what you mean) across time, and thus benefit if and when the volatility goes up? I think I'm...

Then wouldn't it make sense to long these utterly-distressed stocks a few days from their fall to grace? Afterall, people who are holding it short are looking to cover because the risk of keep holding it short is pretty great, thereby driving it up a bit. But I suppose the move may not be...

Is there any way to get an end of day list of all trades (not minute by minute or second by second, but trade by trade) on a stock? The data needs to be accurate and the source need to be stable. Does anyone know a good service that would fit this profile? - JS

Hey people. Like many people, I'm also working on order systems for IB using the DDE add on. I ran into two questions that I can't solve and can't find a post about: 1. What exactly are the order status definations? 2. When an order is entered, is it supposed to show up on the pending...

I would suggest you try an LLC. If the state you are in has favorable laws (like NJ, Nevada), the threatment is much better and so is the paper work. - JS

Ha ha... I'll invest in the burger joint - need a place to take the girlfriend right? :D Anyway, this thread is turning into a thread on legal and immigration issues. But I consider them to be valid here because there are many international investors. In a world stepping towards globlism...

Another fact that I think all the aspiring money managers here should consider the law-suits attached to any financial operation. The cost of a legal case here (if you are a defendant) is so outrageous that by any intelligent analysis once you are sued, you lose. It's just a degree of how...