Search results

Not sure. The best I could do was to assume that I can get a % of all shares that trade at my price or better. It is not ok to assume that you get every share at your price because that will result in very profitable scalping systems that are untradeable.

If you are using a market order, why not use other side of the bid/ask. Be sure to account for your order latency. Limit orders are harder. You can get steped in front of and orders that should hit yours might trade on another exchange. Your order can even be traded through due to...

Got one, love it, long AAPL

I noticed the same problem with short trades. The best shorts are not on the easy to borrow list. That would be ok if I could find a good historical source of easy to borrow lists, but my broker doesnt want to give me that. So, there is no way to back test it. It got worse after the...

That's exactly the problem I have. I have to keep the positions small or I will only get partial fills on too many of the wining trades and I dont have a good way to model the fills.

How do you model limit orders for Equities? The best that I have been able to do is to assume that I will get fills on x% of the shares traded at my price or better.

I thought it was the other way around. The top of the book is protected, but once a order is routed, it will "walk the book" until filled even if shares are availble elsewhere at a better price. This shows up as untradeable price spikes on the tape.

Interesting. The TS graphs and trade monitoring are nice, but as you say EL is not the best for execution development. But the execution costs are very high vs other platforms... I use both TS and IB. IB is way cheeper, but very hard to tell what is going on.

I auto trade and use a iPad to monitor via the log me in app. Works ok. Better than truing to find a hot spot and boot up a laptop. A laptop takes 5-10 minutes to be useable. The iPad is just on and ready to go. Actual execution code runs on a server. Trade both IB and TS

In code reviews, it is important to depersonalize problems in code. It is NOT ok to say YOUR code sucks! It IS ok to say THIS code sucks!

A view years ago, I used rapid miner on a test set of normalized eod data to look at the simple problem of when a stock should be held overnight. I used the built in cross validation tools and had several years of data for > 800 liquid nsdq symbols. I tried several of the techniques built...

I had the same problem with other automated data mining approaches.

Why not? I thought only the top of the book is protected by the NBO.

The way I see it, curve fitting is good. OVER fitting is bad. The problem is that there is no fine line between them, but a big, wide, gray fuzzy line. Any testing of rules or parameters will result in some degree of selection bias. Selection bias can not be avoided, only managed...

Consider using AmiBroker for system design. (Not execution) Good backtester and built in search/optimization/walkforward functions. Reasonable cost.

On modern CPU's, as long as you arnt doing anything with loops, you can approximate the per tick processing time as zero, at least as compared to the time needed to get the quote, and send the order. For execution, TS is fine, as long as you dont mind paying way too much in comish and you...

I trade on both IB and TS. TS is rock solid and not slow at all. I autotrade > 800 symbols in Radar Screen (no charts). My complaints for TS are: * $.01/share adds up fast if you are active and eats too much of the profits. * TS does not provide ways to segment order traffic by...

I am trying to move off TradeStation, so I am in the same boat. The two main vendors I have found are eSignal and IQFeed. They both seem to have similar capabilites, but esignal costs more. IQFeed requires windows. Not sure about eSignal, but they offer a trial and will answer...

Agreed. Why not model order latency in your backtest? Estimate your round trip order latency from market data to order fill, then in the backtest data, look for the tick that would trigger the order to be placed, wait the round trip time, then look for a fill. It woudl avoid false...

Engine: Good point and useful data. I use TradeStation for execution and notice that the fills also depend on the route. The worse routes are EDGX and EDGA. Tradestation by default will route to these exchanges because they tend to have the lowest execution costs (for TradeStation)...