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i use python and matplotlib for all my visualizations and am quite happy with it .

Matt, one more question for you. There has been a lot of talk about stat-arb funds underperforming during the rally that started in early march. I am wondering if you have seen anything out of the ordinary in your trading...

You could look into python. I am switching over to python/numpy/matplotlib from matlab and am quite happy. Visualization using matplotlib is as good as matlab (in most respects). Speed is not an issue.

Hi Matt, I am wondering if you can share anything about your experience with intraday stat-arb. A lot of people claim that the mean reversion required for the typical stat-arb takes longer to unfold, so I am curious about what you've experienced with your intraday positions, and how it compares...

Interesting comment. My intuition tells me that a time-based exit should actually lead to _less_ curve fitting. Think of it this way: when you are using more complicated exits such as volatility-based stops, and profit targets, you are basically looking for certain spikes/dips in your data...

knocks, what about trying your strategy on YM or something that has mostly similar behavior to ES but where the tick size is smaller, so that the removal of top/bottom ticks is not as restrictive.

great thread guys. I will incorporate some of the volatility compression in my research. tums you have been around here for a while and I haven't folloowed your posts but with all due respect you are not adding much substance with bickering and rhetorical questions.

I am wondering what people do in order to clean their intraday data. In particular, I use a lot of intraday (1-minute) data from IB, which is full of bad prints, especially on SPY. Bad prints are especially problematic since they will severely bias any strategy that relies on lows/highs, rather...

Regarding time synchronization, I believe your bars should be able to tolerate some slight discrepancies, so you can just subscribe to both time and data events and just use the last received time whenever there is a data event.

In order to create OHLC bars in realtime, you need to use reqMktData to subscribe to each contract's data, so that won't be iterative, but you will receive "tick" events and can build up bars from those. I also use reqRealtimeBars() to get 5-second bars and aggregate those into the desired...

The main person behind this proposal is Defazio of Oregon, who has been fighting speculators, etc. for many many years. Currently, this is a fringe-type proposal that doesn't have much traction (in Congress.. Im sure most indivduals with little market knowledge would support this.) If this...

I'm loving the last couple of months. Hope this market behavior continues.

I already use ib and do my strategy development using my own software,so all I am really lookin for is a data feed provider that offers historical data for 2-3-4 years at a 1 minute or finer resolution. so, thanks for letting me know about tradestation but I wonder what other options are out there.

Is there a data-feed provider that supplies historical data for equities at a 1-minute (or lower) resolution for the past SEVERAL years. IB only gives you 1 year. Having options data would be an even bigger plus. Any thoughts?

That's right. Be very careful to ONLY use training data to derive the normalization parameters (usually mean,std).. otherwise you are obviously peeking, and you'd be surprised how profitable your system would appear.

were you fully automated or manually trading a strategy? just curious.

nugundam, what were you trading when you blew up. IMO the scalping strategy described here, is not necessarily a recipe for disaster if position sizes are reasonable and a good money management scheme is used (martingale type buildup for example). It seems most appropriate to do it on indeces...

I played around at one point in the past with using the risk-neutral distribution for the underlying price implied by the current options premiums (the entire chains puts/calls etc.) I think I need to revisit that line of research, as at the time I was a little limited by the data I had. The...

first thing : Matlab NOT MatLab . The way I use matlab for trading is to just write my own code for everything.

I am aware of OpenTicks limitations. All I want to use it for is for some historical data (last few months) for some stocks.