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Thanks for your thoughts Jonathan. As a pure algo trader I don't do any sort of visual information processing and so I'm not really fussed about UI limitations. During the trading day I'm usually kept occupied with new development work (or debugging data stream synch problems) whilst my...

To be fair to Ninja, I have spoken to their support guys a lot and they have always been reasonably helpful. I get the impression that everyone at Ninja is aware that the software has some serious architectural problems. Of course, they are never going to admit this publicly because it would be...

Yes, I'm using the Ninja API. I know that Ninja has serious UI performance issues due to their threading architecture...perhaps they also have performance issues with the threading for the L1 and L2 data streams. JJW's hypothesis definitely sounds reasonable. I think what I'll do is this...

Can't help you there I'm afraid. I pay almost no attention to the time dimension in my trading.

For the instruments I trade these are the market depths accessible through the NT API: CME currency futures (e.g. 6E, 6B etc) - 5 levels CME index futures (e.g. ES, NQ etc) - 10 levels NYBOT index futures (e.g. TF) - 64 levels

Well, given that the Zen Fire/Rithmic platform sells itself on providing unfiltered and unthrottled data I should be receiving everything that the exchange pumps out. Even though there's more data messages being generated on the L2 data stream due to the additional depth of market, I still...

Agreed. Jonathan (I think his handle is 'jjw') is a very helpful guy and certainly knows his stuff.

I have a question for those people that understand the nuts and bolts of market data streams. For reference, I'm using a Zen Fire feed and the main instruments I trade are the CME FX futures. When the price or volume at the top of the book changes then this is obviously reflected in both the...

"One problem with trend indicators is that a change in volatility may be interpreted as a trend which results in false indications." I disagree with this. It's not a problem with the trend indicator. The trend indicator is doing exactly what trend indicators are supposed to. It is using an...

As far as I can tell (and I may be wrong here) this is just another averaging system. The use of 2 accounts is handy from an execution perspective but it suffers from the same downfall as all averaging strategies...you need to have enough dosh to keep averaging until the price returns to the...

Joe Obviously buying options offers absolute limitations to risk but be aware of the assumptions made by the Kelly derivation. If half Kelly works for you then great, but it only takes one black swan to wipe an average account out. All the best

2% doesn't refer to the funds in your trading account at the time. It refers to your total trading capital. Doesn't matter whether it's in your trading account, savings account or stuffed into your mattress.

Joe Could you please explain what you mean when you say that your setups are binomial. Thanks

Kelly doesn't apply to the markets. It assumes binomial distribution (which is incorrect) and fixed odds (which is incorrect). Great for the blackjack table (which is a valid gambling environment in which to use it), hopelessly flawed when applied to the markets. Use at your peril. Black...

Be aware also that the amount of leverage you employ must be taken into consideration. If you are highly leveraged a 2% bet has the capacity to clean you out if you are at the back of the line when everyone heads for the exits.

Just out of interest (if you don't mind me asking) how are you handling the failover? Is the failover running in full synch with the primary or are you only bringing it online when required?

From my discussions with the exchanges, this varies from platform to platform. Some operate FIFO rules whereby each new clip goes to the back of the queue...whilst others operate different prioritisation rules. I can only suggest that you contact the exchanges relevant to you directly to clarify...

The markets are the totally Darwinian in nature. You either evolve or die. It really is as simple as that. As in the real world, fairness has absolutely nothing to do with it. IMHO, those people arguing that the clock needs to be turned back 10 years sound a bit like a bunch of dinosaurs...

That's interesting. The fill report makes sense because you are the person posting the iceberg, you know the true depth of the order and only you get to see the report. However, when you get hit for 50 does the tape print a single transaction for 50 lots or 5 transactions of 10 lots?

No worries. BTW I wasn't being shitty with you, sorry if it came across that way. There's far too much mud slinging on this site already and I have no interest in participating in any of that purile nonsense. For info I have spoken to the guys at the CME and ICE. Looks like things differ...