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I think as long as you have general ideas of timeframes of the day and not specific numbers, there isn't a problem with overfitting. Awhile back I made this chart - you can see how the average volume in stocks changes throughout the day: http://www.hrtco.com/volumepatterns.jpg I noted...

You use past returns. If you have daily returns for each strategy, you can use that data series to build the cov matrix. These relationships don't always hold, but there are reasons for different strategies to be profitable at different times. Some do well with volatility while others might...

http://tradelink.googlecode.com/ Not sure if it does FIX but it connects to many popular platforms. It is very customizable since it is open source. A little less user-friendly than say Ninja but I think it's where it's at for people who know how to write code.

Let's say you are an institution with a large position and you are working an order to sell it. You set your sell algorithm on auto-pilot to calmly sell digestible chunks at random times, minimizing market impact. Then, some information, like riots in the streets of Amsterdam (hey, it...

So apparently there doesn't have to be a real "glitch" of somesort - just a dramatic change in price for busts to happen?

Does FX give you the size of the bid and ask? My understanding was that FX had a more opaque operation where everything basically depended on what dealers you were going through. Without an idea of the size at the bid/ask there would be no way to tell where you were in the queue. With a...

The big thing to understand is that you don't necessarily need buying/selling to move a stock up/down. There are situations where *poof* all the sudden a new area of price is agreed upon by folks willing to buy and sell. This can be based on new information like earnings or just based on fair...

Is there any variation in the rules for busting trades among the different routes and exchanges? Is this 60% rule meant to become an established thing? So - will stocks become effectively 'limit down' at -60%? If so, does that mean I should turn over any trades above and below the 60%...

I wouldn't be surprised to learn that the transaction costs result in markets where the prices and movement take that into account. After all, if everyone is paying at least 1%, and people still need to buy and sell, there would always be a role for a trader. To some extent, I think this also...

Also I'd suggest running some regressions on the returns of each strategy vs. the Fama French factors. This will give you an idea of what influences the returns for each strategy. If you build a covariance matrix for the strategies, you can make a mean-variance-optimized portfolio out of...

Also check out JungleDisk. It can use either rackspace or Amazon S3 which gives fast access times. You pay very small fees per GB stored/transferred but for me it is worth it because they aren't overselling bandwidth and you get good speeds.

Hah! Well I was about to try and systematically decompose all those "arrow thingys" and try to figure out how the heck you were doing that.

I have never traded FX. However, my understanding is that it works very differently than equities and there is no central exchange. So, when you are offering liquidity, not everyone "sees" it and your broker will take your liquidity only when it is advantageous to them...

Don't forget to apply your Windows Updates ;)

Great work. Interesting reading about when you could only trade wheat 'cause you didn't have the capital. Any wisdom for those in their first years of trading?

Market making is really hard to backtest because your limit orders will really effect things. Especially when there is a spread more than .01 -- if your ATS tried to match the inside market, another ats will often jump your price by a penny so they have the inside market. This can happen...

I hope your horse heals up. Thanks for the chart. Better luck next time. :) Interesting how what one persons swears by another doesn't need (DOM or market profile, etc) and yet both can be profitable scalpers. Have you just developed an instinct for how things move?

Suggest you check out Tradelink: http://code.google.com/p/tradelink/ You can record data, play it back, write an ATS (called a 'Response') that subscribes to tick data on multiple symbols. It integrates with Sterling.

Wow, Could have been a $15k internet glitch. Would you consider posting your chart for today? I'm very impressed.

Is using BookTrader just a matter of clicking in different places than you are accustomed to in order to accomplish the same trades? Or is there some feature of the Anvil MM that is lacking?