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I assume there are people around here who run automated systems on IB, my question is to do with order error timeouts, does anybody implement fill timeouts? (i.e. if a market order does not get filled in x seconds then cancel), if so how long do you recommend? Also are there other timeout...

I am currently testing an ATS with a TWS paper trade account, I'm trying to debug my position calculations, is there anyway of resetting the P&L columns in TWS without requesting a paper trade account reset. I'm sorry if this is obvious but I can't find anything in the 'documentation'.

You must be fun at parties.

I concur, that is about the stupidest thing someone running a business could have said. Grumpy Russians and customer support just don't go together.

Sunnynook, Auckland?

It's about the right tool for the right job, and there are trade offs between any pair of tools you care to name. Blythly saying things like 'c# beats c++' is overly simplistic and misleading.

http://www.amazon.com/Accelerated-Practical-Programming-Example-Depth/dp/020170353X/ref=pd_sim_b_15 http://www.amazon.com/Design-Patterns-Object-Oriented-Addison-Wesley-Professional/dp/0201633612/ref=pd_sim_b_6...

My mistake, I didn't know about that C# decimal type when I originally started the project, it was kind of a pilot project to evaluate C# so I probably didn't use it to its fullest. But anyway I have implemented a C++ decimal class using __int64 storage, everything seems to work just dandy.

Thanks for all the answers, I think writing a wrapper class which uses integers as the internal representation sounds like the best idea. To the person who reckons c# doubles and floats just work, they don't, this is a rewrite of a c# project and it had the same problem. That time it was...

I'm in the process of writing a ATS and I am starting to run across problems concerning rounding errors with standard C++ types (float, double) etc. I was wondering how other people using C++ are handling fixed decimal point representation problems of the kind which occur when handling...

If I have an ATS which say trades the ES for the NY session, would you include the out of session time data when calculating indicators? (or not).

I've had some good advise, it's just a matter of figuring out who is worth talking to.

Who would you recommend?

I was just browsing the Pinnacle web site looking at their historical futures data (CLC Database), it seems like a good deal. The question is however, and maybe I'm just missing something bloody obvious on the website, but what is the resolution of the data? Beyond that, does anybody use this...

Cheers for that, I have switched it over to ISAM. One annoying thing I have found with MySQL is the time stamp only goes down to 1 second resolution, so you have to construct some type of composite time element, oh well, it is free.

I had a look at MySQL last night, I didn't realize how far it had come, the tools are much easier to use than Postgres. I'll give MySQL a shot, thanks for all the replies.

Does anybody else use a windows based database to store quote data, if so which database do you use? I looked at the MS desktop SQL engine, but it has the 4 GIG limit. I also had a look at Postgres, but the C++ API is fairly opaque and does not seem well supported on Windows. Has anybody used...

What is meant by 'handling the bid/ask'?

I have been writing indicators to track volume at ask and bid, most charting packages have a callback for adding a value to an indicator when a bar closes. I was thinking about what would be the best way to encapsulate the volume information I have received during the bar into a single value.

So what kind of valid measurements could be applied to the ask over an interval of time?