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IB has this https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2Forders%2Fspread.php But in general, this is a hairy problem, I have a lot of code devoted to execution on spreads.

Yep, still grinding away. I sent you an email ages ago and you never replied! :(

So, to restate what you are saying in your quote, he looks at the variability of results on the out of sample data, concerning different parameterizations on a single model?

I suspect that this is correct. The ability to 'frame' the problem in the correct way is the key. Feeding the last 5 daily bars of SPY into a neural network is probably just as useless as a beginner trader taking watching the last 5 daily bars of SPY.

Here is a question I have been considering and I can't really think of a good answer...Many experienced traders on this site have recommended 'Watching The Market' in order to pick up repeating patterns which could form the basis of trading systems, the human mind is designed to pick up...

It doesn't look like anything you could not pick up off the internet if you were suitably motivated...CAPM & Bollinger Bands?

Anybody know what's going on with this site? They seem to have cut back the services on the site, there is no longer a ranking of the top and bottom correlations. Is there anything similar to the original site on the net?

It's not that hard to work out who the cool kids are, but it's not going to help.

It really does not matter, either is good.

This subject has come up before, I remember one respondent memorably described himself as a 'financial rapist'.

Another thing to look at when in CCleaner is, what is auto starting when you log into Windows, you'll be surprised at the amount of crap that gets auto-started.

Have you tried registry/disk cleaners like CCleaner? Do you defrag your drive? Do you have millions of unused programs installed? Ubuntu builds up system detritus over time, just like Windows.

I use Rcpp to load the binary data into R. This seems to be a fairly popular solution.

For what it's worth, myself, and all the people I know who do this sort of thing all implement some version of the flat binary file idea.

I can understand where you're coming from here, sometimes the simplest things are such a massive PITA, it's a shame, because there are a lot of cool aspects to the platform. But a couple of hundred bucks for a Windows licence every couple of years is no biggie, then you can spend more time...

In my experience, the best way to manage this stuff is by using the finite state machine pattern. FIX order cycles, TCP connection states, IQFeed login sequences can all be coded as FSMs. That way, if anything unexpected happens, you'll know real quick if you've coded defensively. Also +1 to the...

If your going to go the Python route, check out http://pytools.codeplex.com/

I would not bother grinding through 'Millionaire Trader', it's rubbish. He makes far more sense in these videos, although it's nothing new. Bottom line, if he was killing it trading, why bother with all this other crap?

1. Look at zeromq or asio. 2. Nope, because that would be crazy slow. 3. ??? To echo what rosy2 said, I would just stick to single threaded callbacks until you have some idea of what you're doing. Speed sensitive stuff can be broken into separate threads later.

+1, this is the only way to get complete control over your testing. In back testing you need to obsess over every detail and use tick data, otherwise you're just fooling yourself.