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I am focused on hedged portfolios so multiple instrument only. The only time I am considering non-hedged positions is when I have a microstructure advantage, in which case I get in and out quickly -- I don't think that qualifies for being directional.

LOL, this is not a competition for the smallest number of training points. My current interest is not in completely empirical models. I'm focused on models based on known or defined relationships between instruments. So the amount of training or fitting is really not that important; in fact you...

Like I said I haven't used ARIMA models so I can't help you there. In general, you can get confidence levels on your parameter estimates for your model and that should tell you whether you have a good estimate or bad, not a universal cutoff on the number of training points.

Haven't been working with ARIMA specifically but I'm close to a system that uses time series models + microstructure considerations. I think the combination is likely a good way for retailers to compete with the big boys.

hedging is a pairs trade.

yes taking the first difference is one type of a transformation.

this is the whole motivation for cointegration.

perhaps he is talking about threshold cointegration.

Exactly, price series are emphatically nonstationary. That's why one needs to transform or take linear combinations or trade volatility or some other novel tradable derivative combination that is stationary.

I think the key is to construct a stationary time series via transformations or linear combinations. I believe once you have stationarity, then you can make inferences on population parameters, which in turn lets you formulate probabilities. So it's not about being scared or wimpy, but simply...

I would say it's worth it if you manage to get into a good program, e.g., MIT's financial engineering Ph.D. The reason I think it's good is because you will learn a lot from it even though you may not write your dissertation on direct trading per se but for example on how microstructure affects...

what if you inherited your million? do you still get +1?

Okay yes I neglected to say it was in my sim account. Thanks to both of you for confirming it's prob not my code.

I have my log level set to "error" so not sure if I'm seeing the status info there. I do see the transmission of orders. not seeing the incoming ack message so I think TWS is showing the right status. I was thinking that there might have been something screwed up this morning with SMART routing...

Plain vanilla stocks. I looked through the TWS logs; not sure I understand everything in there but nothing glaringly suspicious. I catch most submission problems in my own code via the error callback anyway and haven't seen anything suspicious. Okay may be if no one else is seeing this, it is my...

My algo sent in several limit orders on a number of stocks and it is hanging there so far for 10 minutes unacknowledged. When I go into TWS, those orders have a light blue box in the status column. When I mouse over those boxes, it says "Transmitted, not yet acknowledged". Not sure why this is...

Misconceptually, I'm having trouble wrapping bacon around my big head. It seems I need to string together about 4 bacon strips to reach around. But once I get there, I will stick my head in the oven and re-grease to a crispy meme.

interesting. if we re-grease to the pork belly meme, we indeed may have bacon.

By the way this slippage associated with MA crosses is at the heart of the problem. The likely reason you are seeing such large differences by using the next minute bar as opposed to the signal minute bar is because at those times when the MA crosses over, there is a relatively large and quick...

No it assumes instantaneous entry i.e., precisely no slippage. If you notice, the opening price of the next bar is usually equal to the closing price of the previous bar. And for those bars that show a difference, the distribution of differences is centered at zero, i.e., there is no systematic...