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  1. C

    Calling all C++ programmers

    Depends what you want to do with the objects, if you want to index them by time then you're going to have to stick them in a map, however this will be more expensive than an unordered container. A list is a good idea if your going to be doing a lot of adds and removes from the middle of the...
  2. C

    IB & ASX.

    Ta.
  3. C

    IB & ASX.

    Does the 'pattern daytrading rule' apply to the ASX?
  4. C

    How much data is one day's worth of ticks?

    Doesn't Telvent do NxCore & IQFeed? NxCore is IQFeed 'deluxe'.
  5. C

    Time Based Stops

    I don't really have the ability to back-test this stuff, but I may be able to cook something up a terms of forward testing. Any new criteria is bound to effect the mean slightly, but using the method suggested in the last post I would imagine the stop would be out somewhere beyond 1500 so...
  6. C

    Time Based Stops

    The y-axis represents the frequency at which winning or losing trades closed @ x minutes after being opened. There is some normalizing and smoothing going on as well, it's not the absolute levels which are important, but the relative levels.
  7. C

    Time Based Stops

    Ok, I've had a think about it. Having a different time limit for winners and losers has a flaw, in that it assumes we can, at any point, classify a trade as a winner or a loser. Whilst this may be roughly possible, it's going to get inaccurate if a trade is hanging about break even, also, I'm...
  8. C

    Time Based Stops

    A different time for winners and losers, I hadn't thought of that, I'm going to have to contemplate it for awhile :)
  9. C

    Time Based Stops

    I'm not sure I understand your formula, is it possible to expand on the meaning?
  10. C

    Time Based Stops

    Thanks Mike, the expectancy idea sounds good, here is the P/L distribution. Avg Win/Avg Loss = 0.59, Win% = 80.
  11. C

    Time Based Stops

    I haven't actually tried anything yet as I wanted to throw it out there first and see what came back. The more I think about it the more I realize that what seems like a superficially simple question is actually quite complex. My current thinking is that I could resample the results, measure the...
  12. C

    Time Based Stops

    Attached is a histogram of the time taken to close my winning trades vs. the time to close losing trades (the bottom axis is in seconds), it is obvious that the losers and winners have different distributions and that my trading could benefit from adopting a time limit on open trades. My...
  13. C

    Grinding it out, day after day

    My thoughts exactly.
  14. C

    For 12-year old astrophysics prodigy, the sky’s the limit

    It's 'Stephen Hawking'. :) He'll probably end up working for GS.
  15. C

    Consistently Profitable Day Traders

    Those statistics are...er...staggering, I'd love to know what it was 31% of...
  16. C

    Grinding it out, day after day

    May I ask how you define non-correlated for multiple strategies? E.g. Do you construct a covariance matrix, if so, what frequency of returns do you look at? (or do you do something completely different)
  17. C

    CDF of the normal distribution in .net or c++ math libraries?

    http://www.boost.org/doc/libs/1_45_0/libs/math/doc/sf_and_dist/html/index.html
  18. C

    HFT: Linux vs Windows

    I run IQFeed on Wine, that works pretty good.
  19. C

    How do you handle asynchronous nature of IB API?

    I think when Dloyer refers to 'state driven', he may be thinking of this http://sourcemaking.com/design_patterns/state, rather than a Forrest of if/then/else.
  20. C

    Quantum random walk

    I'm not so sure it's all trolling, certainly though, he likes to obfuscate. Certainly, thinking more about the nature of randomness in trading can't hurt.
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