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The relationship is unlikely to be pure linear; as I understand it, common quant finance models of price evolution rely on the sum of a linear term (drift x time) and a sqrt (time) term (volatility x sqrt(time)).

Thanks! Would this work as foillows? a) multiply tick price by the number (100, or 10000, or whatever) that makes the decimal number an integer b) keep track of that "multiplier" (which will be different across different instruments) to reverse the calculation (and convert back to...

Thanks! How would I go about this? Any hints/pointers on where I could read up about what's required... Am working with C# ... Many thanks, again.

I need to store and work with large numbers of ticks (last traded price) in memory. Can I store these ticks as float rather than double? I can't think of any tick requiring greater than 7 digits of precision. Are there any? When I use the ticks for calculations I will convert to double...

Let's say your edge was that you suspected a break through the prior day's High or Low usually led to a break out that could be chased for a reasonable trade. What I am saying is that before you look at coding a strategy that looks for a break out and then enters a trade, and adds a target...

Great post. Thanks for sharing! Another rule: Before you move on to creating a trading strategy to test, convince yourself (using Excel, or statistics, or whatever ...) that the edge you wish to exploit is really there in the data (i.e. in the price data, or whatever data you are using)...

http://www.amazon.com/Fault-Lines-Fractures-Threaten-Economy/dp/0691152632/ref=sr_1_1?ie=UTF8&qid=1362565597&sr=8-1&keywords=fault+lines

FTT On 21 February, the first Council working group on the new FTT proposal published by the European Commission on 14 February 2013 took place. The proposal is being taken forward via ‘enhanced cooperation’ as the majority of Member States were fiercely opposed to the introduction of...

Axel Troost, a member of the Left party, said today that “We want the FTT to wipe out HFT”. Back in February 2011 Angela Merkel and leading cabinet members expressed outspoken disapproval to speed limits. Life ironies!!! By Jonathan Morgan on February 27, 2013 (Bloomberg)...

If you can identify the elements of your pattern (i.e. simpler "sub patterns", e.g. say an "Up bar, followed by a higher Up bar, then a Down bar that closes between the High and Low of the first Up bar...." etc) and the order in which they should appear, then you can move a search window...

Post the same question here ... http://www.ninjatrader.com/support/forum/index.php

nice!

If you were talking about valuing a large cap business for sale, then valuation would proceed along any of the following lines: - Net Present Value of discounted future estimated net cash flow (after any and all costs, taxes, interest payments, etc where relevant). - Comparable...

Interesting, thanks! IMO, testing in Excel can often be done similarly to how an accountant checks a new set of accounts to ensure that PnL and Balance Sheet actually do "balance". ... i.e. find alternative routes through the numbers that ought to give you the same result at the end, and...

www.ninjatrader.com Works with IB. Can either be purchased outright, or has a monthly cost. Uses C#. You can use IB's data feed, or an alternative.

I have seen this estimated another way, which might be of interest to you … (see “Trading & Exchanges”, Larry Harris, Ch. 14, section headed “A simple timing option example”) … I am rephrasing it for the case you gave, but essentially it goes as follows: Assume there are four...

Simulating queue position is most important if you're scalping ticks and placing orders at the top of the order book (and then you're competing against HFT, whose participants have been investing in that 'arms race' for some time ... i.e. years). It requires big bucks to play that game (for...

This should be " ... * 1/(SQRT(250)) ...", I think ...

24/7 operations - assuming you've cracked 2) and 3), then "24/7" becomes "24/5"... this gives you an opportunity to at least power down your modem and computer for a few hours each week (yes, you wouldn't have to worry about this with VPS, but in my experience there are still different...

Great thread! Thanks for starting ... What rules of thumb are there? What's too many? What's too few? There's lots in what you've written in the quote above that I'd appreciate understanding better. Could you expand each of these points, or give examples? Many thanks again ...