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Your pair trading strategy works because market is going up. If it goes down, you will lose money. In other word, you strategy is useless. Why do you bother with pair trading? Just buy es or nq when it goes up and visa versa.

It's good thread. Which one do you guys think the best bet? 30 yr, 10 yr or 2 yr T-bond or note? Thanks.

In IB TWS, there is Auto Log Off timer setting. Does anybody know how to disable this. I run my trading program from Sunday to Friday. So I'd like to run TWS without auto logging off. Currently I have to change auto log off setting manually 1 or 2 times a day to prevent TWS from logging off...

I'm interested in a programmer position in Hedge Fund or Investment bank. So I contacted a couple of recruiters. One of them told me with current job market, the companies usually don't support interview trip and moving. I live in Seattle area but most jobs are in New York or Chicago. Does...

Thank you for the info. Does TA-lib support C#?

Are there any APIs to get technical indicators(like RSI, bollinger band) from IB? It seems that no APIs for that. But just in case.

No. Most of time, SPY is higher than SPX. Look at the prices before 12/17/10(before dividend)

I know why price drops after div. My question is how to calculate SPY in general(I know how to calcuate SPX - s&p 500).

Then does anybody know how SPY is calculated? Why it's a little higher than SPX?

SPY used to be about 4 point higher than S&P 500. But from this morning it dropped and now it's almost same as S&P 500. Does anybody know what happened?

bone, actually I have a question about considering volatility. For example, there are a pair saying A and B and the avg ratio is 10. One day A is $100 and B is $1000 and B's volatility is twice of A's. If A is up from 100 to 110 and B is up from 1000 to 1200, then do you consider they are still...

Here is example of yesterday and today's es/cl pair. Yesterday, prices were stable and they converged well but today price movements are largers and they diverged.

I think es/cl is strongly corelated nowadays because of current economic situation. But it's not permanent. And if you guys are interesed in finding pairs strongly corelated, why don't you try es/ym or es/nq? They are always strongly corelated. When I back tested pairs, if they don't move...

Hi, Does anybody do intraday pair trading successfully? Can you find edge even in intraday and does it converge well? Before doing backtest myself, I'd like to know it is worth testing.

Hi, Are you guys doing program trading or manual? I'm curious. Thanks.

Thank you for the info. About iqfeed, can I download historical data without any limit? I only need historical data once for backtest. So can I subscribe for only one month and download all data?

Thank you. It seems to be what I'm looking for. Before ordering that, I have some question. Did you purchase the same data? If so, the data is reliable?

I'm a programmer and so far I could get historical daily data from Yahoo without problem. For intraday data I could get from IB. But IB has limitation to get historical data. I can get 1 min data only for 5 days at a time and there is limit to get historical data in certain time period. Do...

Sorry. I'm using IB API with Krs.Ats.IBNet which is c# wrapper.

I tried to get snapshot of SPX Call option. So I created Contract like below(I'm using Krs.Ats.IBNet for c#) and then called RequestMarketData() but I got "Error: No security definition has been found for the request". Does anybody know what's wrong with the Contract? mainCallCont = new...