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IFoundHoffa - now that you have had your two - albeit identical - postings here at ET - then perhaps you can answer this simple question: How come your employer has such a bad reputation?

You have 4x margin intraday and 2x overnight - wouldn't this solve your problem?

TSGannGalt - You formulate in detail what I am in the middle of changing my overall system development process into. Great post(s). Thank you. BTW: I look at price/volume only trading select ETFs and non dividend yielding / highly liquid common stocks - my target is to hold positions for 2-10...

Futures are too leveraged for what I do. The exposure futures would give to the underlying is too big compared for the time horizon and the account size I have.

Hi there. I have been running an ATS for while using to SPY to buy the S&P500 and SH to short it thru a margin account at Interactive Brokers. I am wondering how simply selling short SPY would be any different wrt. costs? I have no experience in using short selling on a margin account -...

Perhaps you can describe in a bit more detail what you do? How often you trade, how long you hold your positions, what your investment universe is (what instruments, what asset classes etc.), what kind of information the trades are based upon etc. Why would sending out email alerts not...

I am curious - what do you want it to be programmed in? And Sky123987 - what did you program the strategies in? Are you building a standalone program from scratch or is it 50 lines of TradeStation EasyLanguage?

I have all of a sudden started getting this error message thru the EWrapper interface from Interactive Brokers: 162 - Historical Market Data Service error message: BEST queries are not supported for this contract When I query for historical data for the streetTRACKS Gold Trust (ETF) -...

I am interested in exchanging ideas but I am not doing anything "high frequency". I work with parameterized models that I optimise with genetic algorithms. I do not do much signal processing beyond simple averaging. If anything; for price data I found useful to take in account volume...

I have been thinking about ways to improve the algorithm's short term order placement. Here are two simple approaches I am considering: 1) Use market orders but only buy as the short term price movement is down. Keep using market orders but only place buy orders as the price is moving...

How is this project going? I just did an svn update on a checkout of the main trunk I did a while ago and it is still at revision 149.

QuantPlus - thanks for the answer. 1. Yes. Probably. But there are certain things I cannot test in my back testing setup - i.e. how orders are filled. As well as the impact of the loss in or low quality of the data feed from IB. 2. Hmm. I know this is a problem. The...

For an example - the model catches the upward trend in gold of the past few weeks but is stopped out on tuesday as the gold price drops sharply. Gold opens 2% lower and drops further - at 10.45 NY time the last price from IB is 72.61 - and the model places a market sell order. The price it...

Hi. I am in process of putting my first automated trading system into production. It uses Interactive Brokers. Part of what it trades are commodity etfs and it does a form of trend following. It place orders a fixed times (10.45, 11.45, 12.45 ... 15.45, New York time) and it always...

I have done SOAP integration plenty of times - expose your .NET NN as a web service and use Apache Axis or Codehaus XFire to access it from the Java side. The latency from serialization / deserialization and additional layers of code is small compared to the network latency. And the network...

As for reliability of the price feeds; even if you go for their CTC interface the quality is probably the same. I have made a setup hosted remotely on an unix machine using the open source project "IBController" and my own Java-based ATS. It works - but it is obviously not optimal.

It is. Unfortunately.

Many successful artificial intelligence pattern recognition algorithms look like what you describe. Some input data (i.e. a bitmap image) is reduced to a feature vector - a list of say 10 numbers each derived in a highly domain specific from the input data. The feature vector is fed into a...

I am looking Volvo's stock prices around the dividend on the 5th of April: http://finance.yahoo.com/q/hp?s=VOLVB.ST The close price moves: 579 -> 581 + 25 Where 25 is the dividend. This corresponds to an increase of 4.6%. However the adjusted close price moves: 94.40 ->...

I enjoy econtalk: http://www.econtalk.org/ This is a good place to start: http://www.econtalk.org/archives/2007/04/bogle_on_invest.html The legendary John Bogle, founder of the Vanguard Group and creator of the index mutual fund, talks about the Great Depression, the riskiness of...