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Well, I never hold overnight.. but depending on what i put into the model, the timeframe is anywhere from a few minutes to a few hours (average holding time). Basically, the trend is completely removed from the things i trade and im always in 'chop mode' and try to avoid the gaps. I don't...

No.. it really isnt continual re-optimization, go read up on filtering theory. When I say 'true' parameters, that means the 'true' parameters according to your desired criteria. I gaurantee you that there is some tweak to your parameters that would have made the performance more closely...

What you mentioned might very well work, but with all due respect I don't think you understand what I'm doing (part of that is by design). I don't "re-optimize", it is a continual optimization process (in my case, happens about once per second). No matter what sort of "system" you have, that...

You are absolutely right about speed of adjustment choice. There is a precise way to find the optimal "model re-estimation rate" using maximum-likelihood methods. Say you have some model for predicting 'something', and you calibrate the model paramters, use statistical tests to make sure...

Frankly, I couldn't give a shit less what most of you think. (With the exception of a few) I've found people to correspond with outside of ET that actually do this type of thing for a living and that are infinitely more helpful and knowledgable than most of the jackasses here.

Yah. it definately is.. I'm taking a few days off here and there but its "crunch time" for a huge project that is about to go live.. cant really take a lot of time off. If I knew I could quit anytime then it wouldnt matter.. but I really don't want to screw anyone nor have all the pressure of...

No, my 'real job' is taking a shitload of time, and I decided to implement realtime model optimization rather than just doing it once a day.. might as well do it right.

You are absolutely right... also, just because you calculate the mean and standard deviation of some series, that does not mean that it is the actual moments of the generating process. That just means that you calculated the sample moments of the past... not that useful except for describing the...

The paper definately isn't useful, exept as maybe mental masturbation. But, the definition of a "random variable" is such that it is not deterministic, but can be described as a probability distribution. Just because a variable is 'random' doesn't mean its completely unpredictable, but I'm sure...

I meant a handle on the exact nature of the randomness in the markets. Wasn't commenting about their knowledge of tests, random statistics, etc. I sure don't see what trading random number generators, or radiation, or randomly corrupted EUR/USD data has to do with actually trading real markets.

Hmm, interesting, are there any more detailed results? I don't know if they are accounting for survivorship bias accurately.. also.. I don't know how accurate their 'games' are. They are making an awful lot of assumptions about the exact nature of randomness.

It depends on what you want to do with the data. The API just gives you every quote/trade at every level of the book for the sources you subscribe to. It's completely up to you what you want to do from there. For me, I've done quite a bit of development but if you just want the latest best...

I'd say 20+ round trips.

I'll take a look at their paper. But are there filters causal or not? If not, then I'd say its useless.. if so then that would be great.

Digressing here, but they are also owned by the lime group, creators of the popular filesharing program LimeWire. Very diverse business ventures it seems. :p And all the guys I've talked to there are really at the the top of their game. Back on topic, data from INET used to be very cheap...

Yep, exactly what I do as well. I don't connect directly to the exchanges but I get a very raw feed thru limebrokerage's api which has some nice stuff around it to make all the data from the different exchanges come in the same data structure. Very fast and the timestamps on the data are as...

I record the data myself from my broker.. of course I have to know the symbols I want to record ahead of time. You can get historical files from INET at data.inetats.com, also from ARCA, but they are pretty expensive last I checked (at least $1000 a month)

Thanks for the thoughts, I wont going completely live yet, but live paper-trading, and after that goes well for a few weeks then live with real money ( small ) and then really start increasing the size.

Right, of course the phones are always the best way to handle something like this. I was thinking as some sort of last resort. Say, the NAP in dallas gets blown up, I'm lounging around on a beach somewhere.. or otherwise no way of calling, connecting, otherwise. I guess in reality it basically...

Hey Kevin, do you normally have some broker-side rules to close any positions when the client connection is broken? It seems that immediately cancelling all orders would be bad as most of the time any disconnections are only remporary and it is usually reconnected in a few seconds, but.. if it...