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I am referring to the periods of the SMA's you are using, ie your SMA parameters...for example: if you are using a 10-bar moving average crossing a 20-bar moving average, then i am referring to those "10" and "20" numbers. I am not referring to the historical time period you used in your test...

Are the results highly dependent on the periods you're using for your SMA crossover?...If so, your results may be curve-fitted.

Check TWS manual on OCA group and GAT order, then, using the TWS demo, try to combine a GAT market order and your sell limit order in one OCA group and see if it does what you're looking for..

Use Good After Time (GAT) Conditional market order with time 3:59:55pm

1. Modify your automated program to send a closing market order at a certain specific time, not when the bar closes. OR maybe better 2. Have your automated program monitor your fills. As soon as a position is filled, have your automated program enter via API a GAT closing market order for...

If you add liquidity in SPY you get an ECN rebate, thus lowering your costs

Which problem is that?

I don't know if it makes sense to compare fixed ratio and fixed fractional in an absolute sense, ie this technique is always better than that etc...i think they're just different, like apples and oranges. You could take your backtest pnl or better yet, your actual pnl, for a certain period of...

What you're describing sounds like a charting problem, and my theory is that it has to do with how a data provider collects trade data for a chart. If you start collecting trade data to draw an RTH chart at 9:30:00 and the NASDAQ opening cross prints a few seconds later at say 9:30:04, the...

What you're saying sounds logical to me and that would be my guess too, but I don't have a definitive answer on that one. It would depend on how the RTH session is defined exactly which I don't know.

The opening price for a stock is set by the "primary exchange" on which the stock is listed. NASDAQ is the primary exchange for GOOG. Therefore, the NASDAQ Official Opening Price is the official opening price for Google. You should contact Bloomberg Support and ask them why they are not...

There is no specific rule. Different trading platforms have different rules dictating how stop orders are triggered. Sometimes bid/ask, sometimes last price, sometimes its customizable and you can choose which one you want etc

519.10, which is the price at which the NASDAQ opening cross printed today. Nasdaq Info-quotes is giving you the correct value. "Q: How does the Opening Cross affect the NASDAQ Official Opening Price? A: The Opening Cross sets the NASDAQ Official Opening Price. If an issue does not have an...

http://www.nasdaqtrader.com/trader/tradingservices/integration.stm

Thats not a bad yardstick, but what if the guy with house #1 has a $zillion in debt and the guy with house #2 has zero debt, which is more profitable?

post mortem

dont forget SEC fees

Same thing happened to me with IB on a few equity orders, no fill on the open due to IB not routing the order to the exchange. IB told me their policy is not to compensate for "missed opportunity" and reminded me that i had signed the user agreement which stipulates this.

Yes, this happened to me during high volatility on Feb 27...nasdaq quotes were crossed and stops did not trigger because nasdaq quotes were not valid was the explanation IB gave me for stops not triggering back then, look for my posts around that date for more info..yes i agree it is worrisome

i do that with alarm clocks too, have 2, one main, and one "backup"...for the main i can turn it off without getting out of bed, but for the backup i put it away so i have to get out of bed to turn it off... every now and then during market hours i do some sleep trading too if i got to bed...