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Maybe I am being too nit picky but my simulator looks and the bid and the ask when simulating trades. If I am simulating a buy order then I wait for the first trade that occurred realtime where the last price matches the ask price and I "pretend" that was my order being filled (ignoring the...

Wayne can correct me if I'm wrong but I think TickZoom will only be supporting real-time data, never historical data. If understand his philosophy correctly you always record the realtime data downloaded during real trading and then "playback" that same data when you backtest. That way you are...

Interactive Brokers is "Linux friendly" in that it depends on Java and the API does support .NET. I don't have direct experience with .NET since I use Java so others will have to comment on the quality of the .NET support. From what I can tell in the forums .NET is as well supported as the...

Good answer! Maybe I was setting you up to be flammed there, sorry :D

Meaning what? You understand the reality outside the cave and we are interpreting the shadows or visa-versa? Just curious.

There is an additional point greaterreturn didn't mention if I may chime in. I have a system similar to what he is building and he is right on track. He is steadfast about recording the tick data and backtesting using the same "data pipe" used in real trading. It is essential that you...

I don't know about the days when Wang Labs ruled the roost but these days programmers actually prefer to be called "Software Engineers". I have always thought of programming of more of a craft than a science so I believe one does eventually become a "master" of the craft to some degree...

Just curious, have you been trading your falling knife strategy in the past 4 months? Ether you are very clever about knowing when to step aside or you have another strategy that makes a killing on those market meltdown days (probably both). I don't even have those strategies on my main hard...

Hmmm... When the answers just create more questions best to just stop. Sorry to the OP for getting a bit off topic. I must dash off now to explore what I have to do to earn the official title of "master programmer".

The OP's discussion of idiosyncratic high-frequency noise is happening in the context of an automated system using a computer to make the decisions, no "psychological part" needed. I assume that because this is the "Automated Trading" forum. Since backtesting is the absolute core of an...

So if your historic bars matched your real time bars then backtesting would be valid for you? That is a pretty easy problem to solve.

Time based bar charts typically have volume bars displayed on the bottom. Now lets take constant volume bar charts. What if you could display "time bars" on the bottom where time was the length of time each volume bar took to complete. That would be a way to add back the time information...

You mean tickzoom.org I assume, tickzoom.com takes you to another site.

I suspect this is a system you have backtested and it performs very well. If so, be forwarned that any backtesting software must make very questionable assumptions when dealing with entries on stops. In many cases only a few people made the proft shown in backtesting. The price is usually...

And the academics who DID figure it out are quite content to keep their mouth shut and let people think that while making untold fortunes. What's the benefit of doing otherwise? (not saying that Jack is one of them!!!)

Nice spreadsheet but you didn't total the profit column. It appears to be a $913 loss. Seems kind of important.

This is probably not the reply you were hoping for but I've found that successful mechanical strategies often have an edge because of some aspect that make it hard to trade physiologically. If you are making entries within an intraday timeframe and exiting in weeks then it sounds like your edge...

The trick with IB is to not use SMART for the exchange when requesting market data, for the Nasdaq use ISLAND (or any high volume ECN). SMART has value for placing orders but not for market data. There is a spreadsheet showing the problem toward the end of this post...

Well, in my case I my system would have these great (simulated) profitable streaks where it would buy or sell based on a price that was actually not tradable. It was particularly bad around August last year (2007) when a lot of IB customers were complaining here about crossed prices just...

I should add that above I was talking about the simulator account you are allowed to open when you have a real IB account. The market data on the free demo account is not real. I've seen symbols trading there that don't even exist anymore!