Search results

"Truly it is with regards that the trading intelligence compounds upon the border of advanced, and price action is subjective when snowflakes fall against correlations as the latency is decreased while stat arb sleeps. Because of this, buy AAPL at market open." There's my NLP-informed AI...

Ran, does the backtesting feature in QTPyLib work off of its own logic/code for opening & closing positions from the historical data array chosen for testing? I'm not aware of any backtesting features built into TWS, let alone anything accessible through their API. Do you make provision for use...

Rob et al, Looks like IB is now officially supporting Python, with their 9.73 release of the API. No section for it exists in the API ref guide yet, but looks like the scripts cover a lot of ground in terms of functions offered in other languages.

futurecurrents is a fag*ot...that is all.

Hi GAT, a discussion on nuclearphynance about data snooping bias mitigation using Cross-Validation vs block bootstrapping caught my attention...wondered if you'd comment on the comparison of them, since you discuss non-parametric bootstrapping on your blog. Bolded text below is my mod, to...

Hey ranpo, looks like you're keeping a regular pace to the updates & improvements to QtPyLib - inspiring to see! Regarding SMS, have you messed with pygooglevoice at all? I tried a sample script as-modded from some code posted to stackexchange & a blog, but couldn't get it to fire. Would be...

I'm looking for some general rule/spec on CBOE and BATS sites for the logic on when a new option expiration is listed, similar to that seen for CME/NYMEX Crude Oil options here...

Hmm, yeah for sake of space reduction the 1-sec bars could prove useful. Personally I haven't used Docker, just read about its benefits (and the opinions of those in the programming arena who see it as over-applied nowadays). Figured it's good to have options, so that package adds one to the...

Straightforward reasoning there, thanks! However, in the case of tick data from a provider other than IB, seems the tick count will be much higher, esp in the case of a market like NYMEX Crude Oil futures. On a separate note, while researching the db side, a blog post concerning IB's API in a...

Curious: what's the current storage capacity needed for your database(s)? Do you foresee the need to scale up and go with something in the cloud (be it for capacity or latency concerns), or do you set it all up on a home machine? I'm looking to set up a rolling 3-month db of tick-level data for...

You've done great work thus far sir, I'm a big fan of what you've made available to everyone! Now if only I hadn't hired a programmer to scratch-build for connection to Rithmic's infrastructure, I could just kick back while you make a great package freely-available ;) I'm also setting up a db...

Hey ranpo, thank you for this info - yes, I experimented with the Windows default settings against those you posted, and got the problem resolved. On a separate note, have you used any of these Python packages related to trading? If so, did you find any usefulness in them for your research...

So how's the Hill-Billy method handle a huge spike like last night's pipeline rupture in context of week-to-week inventory vs price predictions?

Hi ranpo, Can you note the operating system and MySQL Server version that you use with QtPyLib? Just to try & minimize errors tried in other setups...I'm trying to run it in Win7 with MySQL Community Server 5.7, and there are issues coming up linking to database qtpy while running blotter.py

Ben Franklin famously stated, "Time is money." As long as the young chap isn't saving it up to impress some chick, he's reducing the risk of saving in vain...

Guess he'd like at least a chance of not living on his knees his whole life. Plenty of bad things "might" happen before he reaches his goal, but it's his goal and freedom to choose one's path without the ever-tightening noose of a bullshit monetary system around his neck is worth trying for...

Hello Gambit, I've been developing a C++ greybox for Rithmic to fetch and analyze data on futures & their options (VWAP, etc), but nothing related to intra/intermarket spreads...if you want to discuss PM me.

Panzer: to answer all of your questions at once - no, as the decision to act upon an identification of a trendline is highly situational with regard to the actual price action...if a few higher highs are noted and a 'trendline' is enacted, but price action starts to churn in a tight range...

After brief search, may have answered my own question - using fitment to a power law may be most apt http://stats.stackexchange.com/questions/3242/how-to-measure-argue-the-goodness-of-fit-of-a-trendline-to-a-power-law

Are there any references online with examples of logic for identifying a sequence of higher/lower highs or lows that form a trendline? I've done plenty of code to calculate basic time-price logic but not something as varied in nature as a trendline. For example, how might one express the...