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Detailed explanation of the mysterious IB cancel / replace, bug that moves orders to the back of the queue: Market is quoting 50.05 / 50.06. I have orders on both sides, limit buy at 50.05, limit sell at 50.06. One orders is filled. The other is mysteriously cancelled, then...

UPDATE: Received some excellent customer service on this issue. Hopefully resolved soon.

As will the negative skew. Selling options naked would be similar & simpler -- if you're into that kind of thing.

Another day, different stock, same interactive brokers execution error. Limit order placed at 3:08pm. Order’s working its way through the queue. At 3:34pm, order is mysteriously cancelled and replaced, now at the back of the queue. What’s going on ? This was a directed order.

Through the same logic, I suppose canned algorithms can be used in sports betting, making billionaires out of ordinary people every day. Really?

IB API bug? I had a limit order for an ASX stock sitting in the book today [a price time priority book]. It sat in the queue for about 7 mins, and as it was working through, it was suddenly removed, and re-added, meaning it ended up at the back of the queue. This did not come from me...

And keep them away from each other.

This is all bullshit. It's real easy for a vendor to do an in-sample test, then say it was an out-of-sample test. "Oh look, it performs OOS !!" You guys are wasting your time with this mumbo jumbo approach to strategy design. ... Ok, now go on an claim to be billionaire algo...

As I understand it, an Island Reversal is a signal to sell Apple.

Interesting. If support and resistance exist, shouldn't they be measurable as either limit orders in the book, or a burst / lack of market orders around the particular price? I mean, what else is there? :D

Yeah, I get it. Good luck with that. No need to trouble yourself with a "Machine designed strategies" thread :confused:

I dunno. But if you're making money punting that, you're clearly smarter than me.

Is "price action" the change is historical price, or the direction of recent order flow? Should actual support and resistance be visible in the order book? Why does the backtest above always pay the spread?

+1 Right on the money there Alexander, but don't forget the big firm's execution algos. There's a bit if quant work there if you want to be moving big blocks quietly.

Fair enough I guess, so long as you "don't go commercial or charge money for it". I like your filtering ideas. It's not often you see a fisher transform in an off the shelf package. :cool:

Give it a name, talk about it on the internet, that's marketing. Perhaps you could think about buying a sponsorship here.

Rational agent "jcl" is marketing a system / platform called Zorro :p

Those sentences conflict.

If you're punting on directional signals produced from a single stock model, where every selection is made in isolation, then you profit or blow up by the efficacy of that directional selection model. Assuming your signals are better than random, but fail occasionally, then choosing more than...

So, your expecting the longs to go up, and the shorts to go down in isolation. Not in relation to each other. Which means you're expecting your selection produces absolute winners per trade, not relative winners within a paired basket. On net here, we seem to be hedging your stock...