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I've seen a lot of discussion on buy/selling relative to the bid with limit orders and also more indiscriminate entries/exits using market orders hoping to just get execution in a general range. I know there are several of you on here that are considerably more knowledgeable about order...

Looking for a way to test some Python code on a csv file of static symbol data. All I am trying to find is something that I can use to generate Buy/Sell signals that are charted. Any recommendations for a solution where you can plug in your data and get up and running relatively quickly?

I was wondering if anyone could share a bit of insight in regards to the differences between Institutional and Retail risk management trading styles. I am primarily referring to shorter term trades, but not necessarily down to HFT time frames. One of the main things I run across a fair amount...

Technical question regarding exiting vs hedging... Scenario A: Started with 100 Calls and sold off the excess delta as the value of the options increased essentially maintaining the original delta amount. Scenario B: Started with 100 Calls and offset the delta increase buying puts...

Ok assuming I miss read the article I am basically trying to understand the below question. Does an unleveraged HFT account turn over the whole account more than once? By that I mean, if the account started the day with $25k and purchased and sold that amount within the first minute of the...

Sorry ... the way I wrote my calculation was a bit confusing. It was $.001 cent gain per $10,000 position. Not 1/1000th% per $10k position which would be $10 per trade as you calculated above.

I was reading an article on High Frequency Trading that covered basic math on the subject. $10,000 - Position Size x $.001 - Expectancy x 100,000 -Trades a Day $100 - Daily Yield Thing I don't understand, and was hoping someone could clarify for me, is the article mentioned this was...

I am fairly familiar with the concept of pyramiding into trades, and have seen quite a few articles on the subject. One of the things I haven't seen discussed as extensively are the various nuanced details like frequency of additional entries and so on. Can anyone possibly recommend a book...

There seems to be variations that were intended to track/predict the more nuanced movements of an instrument and then kind of at the other end of the spectrum methods more focused on the probability of an expected value being achieved. I personally am more interested in coarser approach of...

I have been researching price movement modeling recently and noticed that there is notable difference between daily and intraday modeling techniques, seemly due to the increased volatility inherent to intraday price movements. Geometric Brownian motion seems to be a frequently discussed method...

Sorry for my lack of follow up the last couple of days (holidays ...need I say more). My original question was more of a theoretical one in that I was trying to find the balance of leverage asymmetry by basically weighing the risk to open profit with the potential for an expected value. By...

Its definitely a balancing act to a large extent and mathematically determining how to balance it is no doubt tricky. I find that a lot of decision making is based around some variation of curve fitting where people do something because that worked for this particular situation as opposed to be...

I am not disputing that such things should be calculated in advance, but back testing is a test of effectiveness not mathematical validity. That's like saying just because a trade was profitable that everything you did was right ... even if you did suffer an 80% drawdown in the process.

I would like to say I am mathematically inclined, but it wouldn't be true :) ...For those of you who are, I was wondering if it is possible to calculate the turning point where it is better to capture open profit then to risk anymore for profit potential. As an example lets say I am up $65...

Thanks Ronblack, that was definitely in the ball park of what I am looking for. Do you happen to know if this type of analysis has a conventional name? I would sure like to be able to find more information on the topic. I very much agree with you on this point, but in fairness if you look at...

If you went back and looked at a performance report on a series of trades your going to see things like ... Run-up, drawdown and various efficiency figures to describe how effective the your logic was in capturing the profit the trade was exposed to or limiting the risk. This is all highly...

I would be interested in knowing where I could possibly find more information on the subject or even a search to term that might narrow down my search. I am not necessarily trying to convert an open ended strategy into a profit target, but my thinking revolved more around the idea that if...

With access to historical data we have the benefit of being able to go back and look at what happened in the past and compare it to similar events see how common an occurrence this was. I have seen a lot of different exit strategies, but most revolve around some concept of stops, percentages...

The closest thing I have found is TradeStation. I wouldn't say they went out of their way to design a system for just such a use, but they have enough workable infrastructure for options that you can probably do what you are trying to accomplish. Options are a bit of niche area and most...

What about in situations where it opens just about where it uneventfully closed the prior trading session ?