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Good luck with the project; I hope it works out for you! But I think you should really be blaming the snake-oil salesmen that write trading books, or who sell trading training courses, or who offer killer indicators and strategies. All they really sell is hope … hope that above average...

The following I recommend for C#. http://www.csharpcourse.com/

www.ninjatrader.com

Take your pick ... https://en.wikipedia.org/wiki/Aristotelian_ethics http://en.wikipedia.org/wiki/Kantian_ethics http://plato.stanford.edu/entries/hobbes-moral/ http://plato.stanford.edu/entries/hume-moral/ http://en.wikipedia.org/wiki/Emotivism...

I read this, and thought I hadn't seen it stated as obviously and clearly before... “ … many […] patterns, even if they did exist, [will] self-destruct in the future ... Suppose, for example, one of the anomalies or predictable patterns appears to be robust. Suppose there is a truly...

Your example was placing a limit order 5 ticks below price. For the various instruments, are there any differences (that are observable again and again) between how quickly the market typically moves across these 5 ticks to your limit price? My suggestion above was that if there is an...

If the rate of adding new orders at your limit price was constant, then yes, your order would be behind 50% and ahead of 50% (so the median order?). But why should the rate of adding new orders be constant? When you place orders in the market, before doing so do you check the order placing...

In an order-driven futures market: At each price at the best bid price and below, a number of limit orders, of any size, can be waiting to be filled. Similarly, at each price at the best ask price and above. These limit orders can be thought of as “SUPPLY”. When marketable orders...

"... the iconic high-testosterone Loadsamoney traders of the past - the "Masters of the Universe" derided by the American author Tom Wolfe in the Bonfire of the Vanities - have been ousted by "quants", the nerdy brainboxes who design and run the computer programmes. In a recent post-script to...

I'm not sure what you're expectations are re "cheap" for 10-15 yrs of tick data for SPY, but there's these two: http://www.tickdatamarket.com/ http://www.tickdata.com/ //... The next statements are controversial ... // Also, depending on what size range bars you're looking for, and if this...

Fault lines ... http://www.amazon.com/dp/0691152632

Don't forget there's a whole world out there ... 5 pm PST = 9 am in Tokyo

It's 10:54 am EST, and for ES 09-13 now I'm seeing 100 <-> 1000 bid 100 <-> 1000 offered So, expect slippage with market orders for amounts bigger than approx 100 <-> 1000, depending on the inside market at the time ... ... for smaller size than that, expect no slippage.

It's currently 03:16 am EST, and the GLOBEX book for ES 09-13 shows an inside market of approx 100 bid at 1598 approx 100 offered at 1598.25 So, if an order of less than approx 100 were to hit either level with the book in this state --> no slippage. If an order of more than approx 100...

EST? CST? CET? GMT? JST? I run NT with eSignal, and ES 09-13 had no data gaps between 17h30 - 24h00 EST on 6/26.

I think this is all fine, and a sensible reference. If I understand what you're doing above, you're effectively taking the backtest result as a starting point, but then using various valid arguments to apply progressively more realistic adjustment factors to this result. That's fair enough...

IMO, a big part of trading is all about coping with the "little" you refer to above, i.e. very low signal-to-noise ... so overleverage is often the villain ... one needs to be sure one can still be around for when the good times start to roll again ...

eSignal ... ES 06-13 volumes ... 28/May - for the 1425-minute bar starting at 16h30 EST on 27/May and finishing at 16h15 EST on 28/May --> 1,937,074 contracts 11/June - for the 1425-minute bar starting at 16h30 EST on 10/June and finishing at 16h15 EST on 11/June --> 2,434,283 contracts

Ha ha! Yes ... I had edited my original (incorrect) post from the one you quoted ...but, yes, the original was wrong ... and the modification is perhaps only marginally less erroneous ... and thanks for clarifying ... and I stand corrected ... and all that ... But if we ignore terminolgy for...

The Volatility term scales with SQRT(time) in some price models. So in one sense at least, the 16 minute system is exposed to twice as much potential stochastic change as the 4 min system. Which is what you're saying, i.e. that it's exposed longer to the risk of the market ... so the other...