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Well, I don't think I have over-optimized but we shall see.. there are really very few parameters to my system and the results are still valid when I vary them.. they aren't set at 'magic' values that break down if even tweaked slightly.. I'm still coding like crazy trying to get the quote...

I understand that is a standard answer to this type of question. Can you actually tell me why I wouldn't be able to get the fills that I am getting in backtesting? I've tested for sensitity to fill speed and it is very robust.. round trip to all the major exchanges is <100ms for me and the...

That is my hunch as well.... my goal is to automate the search for inefficiencies as much as possible and to automatically detect when my edge breaks down and adapt.. I'm fairly certain my edge will slowly degrade over time and stops will limit any sort of massive immediate structural change.

Why are you so sure of this?

Cool. DOB is? Also, my spread standard-deviation filter I posted above only works in high volume issues.. I implemented another filter which limits the max step size of the price in either direction..(for instance 1 penny per second) which might be bad in very fast moving markets, I could...

Interesting.. I've been experimenting with combining prices from different quote sources as well.. although that gets more complicated, updating covariance matrices and whatnot. Also, I rarely see stuck quotes on most of my feeds except ARCA, it sticks quite often for some reason... quite...

Right. Just remove that entry from the book and move on.. how to decide which quote is bad though, the bid or the ask? I suppose I could toss the best with the oldest timestamp. Actually.. that sounds like a great idea. Thanks for the help. :D I guess if both quotes stick at the same time...

No, I don't bother looking at locked/crossed markets.. I'm not that concerned about trying to scrape pennies like that.. but when playing back historical data you obviously can't execute it. So, back to the question, looking only at hostircal full depth quote data, how can you tell if the best...

lol. That is definately a good idea. Doesn't help for historical quotes though.

I've created a pretty robust filter based on the moving standard deviation of the spread. If the spread suddenly jumps some # of standard deviations away from its moving average then I look at both changes in the bid from the last bid, and the ask and the last ask. If either jumps by too...

What do you mean by 'using'? I suspect most companies doing automated trading are trading for themselves and don't have clients. Tradebot seems to be doing just that. No clue if they are successful.

thanks! Will do so soon... trying to get all the loose ends tied up so I can start live-paper-trading tomorrow.

I don't trade trends.. more of a contrarian strategy. The "bigger trend" equivalent in my model is the slow drift in re-esimated parameters each day and I don't want to trade that because it happens on the timescale of weeks or months.

I don't feel I need to or I would have done so. Since the model is recalculated every day (and possibly realtime) then the distant past has no effect on today.

Please explain.

If the model breaks down today, I can re-estimate it at the end of the day and be ready to trade again tomorrow. There are ways I can adapt to the conditions in real time but the majority of the time the conditions are changing very very slowly so there is a balance.. if the model adapts too...

The markets are definately not random. There are numerous statistical tests you can apply yourself to demonstrate that completely randomness is not the case. If it was completely random then this would just be vegas without the hookers.

I can't give away the underlying theory without giving away my strategy. Basically, I won't get stopped out many times in a row because the 1st time I'm stopped out the model will be reestimated with data from the day that I got stopped out, and also with data from when the model worked fine...

Why would it not be 'developed'? Also, why the confusion? Manual intervention can only screw things up if you start to see patterns in nothing. Our brains are wired to see things that aren't there, reasoning, logic and stats can help you decide when if something is real or not.

Sure, they aren't a 'magic bullet' though.