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Yes, but they are different and you still need to pick one thing to optimize for. There are a number of other risk adjusted measurments as well, such as UPI. You will get slightly different results depending on the one you pick. They all seem to perform slightly better than CAR for...

One performance trick to working with any language, C++, Java, C# is to avoid object creation. It's not the cost of allocation or GC, its the cost to access large memory arrays that dont fit in the CPU cache. Modern CPU's are much faster than their memory. They stall for many, many cycles...

My backtests and live trading had the same results. The flash crash is a good example of how even long term investors can get hurt badly using stops. I have a good friend that lost a large, long term position in AAPL to a stop during the flash crash. He is still bitter about it.

Everytime I tried to optimize the fixed fractional based on a risk adjusted fitness function, I got a result much less than kelly as expected since kelly is optimizing for profit.

I completly agree. I had problems with TS poping "Are you sure?" messages, or "Order failed Ok?", then freezing all processing for all symbols until responded to. The placeorder macros work much better, but still have some odd issues, mainly if you are trading more than one system, there is...

I looked at this a couple of years ago. The NSDQ tool is interactive so it cant be easily automated. I wasnt able to find a good data feed or historical data. If anyone knows of a feed that provides this information, I would love to hear about it.

I think he is using TradeStations chart automation. I also trade using TS as well as IB, but avoid the TS automation. I prefer the lower level PlaceOrder macros, in part to avoid problems with the TS logic. Tradestation is marketed as a automated system, but at the heart is designed as...

Read about "Walk forward testing" 1 month of in sample is way to short. At least for my systems, I need at least 6 months to a year of data before optimiztion results have a positive corrolation with out of sample results. At very short in sample periods, the corrolation is actually negitive.

Thanks for the reply, brown. I will take another look at lime.

brownegg: Why lime rather than IB?

Do you know if EDGA, EDGX still flash quotes? Last that I heard, the others stopped, but they still did.

How does a order get filled inside the spread? If a limit order is used, then that would move up the bid/ask and close the spread. If a market order is used, it will hit the existing bid/ask. Looking at the Time and Sales, there are a LOT of orders filled between bid and ask. How does...

3 boxes seems like a lot. You might be better off with one box or even one process in one box. Moving bits around is often the slowest part. Also, put some thought into what happens when you loose your network or power. It WILL happen. It depends on your system if the occasional missed...

You might want to consider using tradelink, openquant or one of the others. It would save you a lot of time and trial and error. There is nothing wrong with rolling your own. It is really not that big of a deal. But, if you learning as you go along, then expect a few blind turns. I...

Hmmm. Thanks. I dont use trade link, but I will try that...

Purchase power != cash. You should post your question on the TS support form. These are simple questions that will most likely get a prompt answer from the support staff. TS commisions are simple flat values. High, but simple.

How can I update a stop price of a order using IB's Java API? I currently cancel the order, then replace it with the new stop price. It works fine. Now with IB's new focus on the ratio of orders to fills, I could do the same thing and replace two order actions with one if I can do a...

Yep. That was the first thing I tried. Each morning, 1 minute before the bell, I issue a order for a bogus symbol. It gets rejected as expected, but still have the long delay at the open.

Is there a performance advantage to using the IB Gateway rather than TWS for IB API orders? I see a lot of order latency at the open using IB. Normally I get order acks within a 100 - 200ms, but at the open, it may take 5-10 seconds before I get order messages for NSDQ equity orders. Not...

It is not uncommon for the opening print to be missreported. Not sure why. Seems like it wouldnt be hard to pick out the correct print.