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Does TS have a problem or is it globex? I had no quotes on EMDM07 and ER2M07 until 8:32 CT and no quotes after that. Does anyone has seen the same thing? I restarted my computer and the lacking quotes are not appearing anymore. Is it due to TS build 3896? Thanks.

I don't understand what you are talking about with pit market structure, gap... The two contracts are the same. The only difference is that when you make a trade you don't control your fill in the pit. In electronic markets, you know exactly at which price you'll be filled.

I don't know but I think over analyzing, trying to model the market extensively and be too demanding when you test a system can be counter-productive. When I look at my personal trading experince, I think that simplicity is rewarding in this game, and you don't have to go neural whatever...

I have a different record. When I started trading, I've made 2 years of important profit by pure luck in long term investment( 50 % and 30 % approx ),I didn't even know what a stop loss was, the market was just on my side ). Then I became more interested in trading, I made a really bad...

Thanks.

ok thanks

Can you program strategies based on DOM with OpenQuant? What kind of feed do you need for such systems? Thanks

Even if your timeframe is 120 min? Daily? There are a lot of big lots coming out... On ES( I know it is totally different ), you have a chance to get filled on highs and lows since you use 30 min at least. There is part of the book moving with price and updating whenever there is a new...

I've a similar question : Can you program strategies based on DOM with OpenQuant? I just have to program the auto execution, no backtesting needed. I want to use IB as a broker to have a large exchange choice. Can you program a DOM strat with IB feed on OpenQuant? Is it free( IB feed ) if...

ROA ( net profit / max intraday DD ) is really impressive. Profit factor is not incredible but OK. It seems like this system is pretty good as you have performed out of sample tests. Perhaps, you just have to control if it is not subject of the usual pitfalls : limit order queues and...

rich idea. This must be extremely hard to do.

ok thanks. I enjoy understanding the basis, something i have never made before since I was trading index futures.

MACD :D

It seems like everyone is switching to the december contract instead of september on wheat and corn. Is there some fundamental reasons related to crops... ? Is it always the case that september contract as no interest? Thanks.

Yes, any programmable package like TS displaying 2 or more datas on screen can do it. There are already" spread-diff" and "spread-ratio" indicators in TS and they display continuous front month and 2 nd - 3rd... months.

Update : I was saying that spreads were not that wild. In fact, my model has entered long BOK07 at my calculation time this morning. I wanted to enter this morning limit for saving B/A spread. Around 4:45am, some random guy took all the asks available. After that, I was bidding 31.24...

I find ag overnight session interesting for one thing : it doesn't move much. So I have a system on ags based on daily bars and enter limit in the overnight session, trying to save the B/A spread and making extra profits from it. It works til now but the improvement is not so important cause...

Why not? All good ideas. But if you have the software to test the model, that is the way to go. Otherwise, models are often beautiful and make sense, but they don't always correspond to reality. Yes, one of the problems that i've found recurrent in spreads is the difference of liquidity...

I've a couple ideas about hybrid spread system but didn't tested it yet. If somebody has comments about it : - Only taking the leg that is in the direction of the long term global trend( let's say the SP 500 daily moving average or something ... ) - Only taking long legs...

Since you will have a 3 pip spread at least, you will have to minimize the impact of it through trading pairs with high volatility. The most volatile is GBPUSD i think. To learn, you can begin with EURUSD, USDCHF and EURJPY.