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Actually IB is limited to 3 simultaneous level II subscriptions. I use IQ Feed for depth (almost unlimited), but more than 10 subs gets CPU intensive. I agree with weighting by level on the book, in addition to time, cancel or replace, and volatility.

In that case, is it effective to compare open interest (buys) vs volume-open interest (sells), instead of the P-C ratio?

cubic spline interpolation

http://www.elitetrader.com/vb/showthread.php?s=&threadid=26324&perpage=40&pagenumber=3#post399844 Also explained here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=34819&perpage=40

It's been a while since I've seen this thread! To anyone interested in market depth patterns, I suggest you read Dr. Bogdan's posts. I've been able to effectively recreate a primitive "sentiment spectrum" using the methods he explained. (attached QQQQ from a few minutes ago)

You can't seriously expect someone to divulge details of their strategy knowing the competition is reading this thread???

I recall one of last year's winners tried to write a NN system but gave up and had the system buy GOOG instead (days before it was added to the S&P). best of luck to those participating...

:D :D :D

IB just went down !!

I use log returns because I'm looking for a symmetric distribution... price alone is unstable and meaningless for correlation (which depends on standard deviation). The calculation for log returns is simple: r = log10(close1 / close2) You can then apply this to individual securities or...

sounds like a faulty backtest. do you use an implementation shortfall algorithm in your backtest (commissions, taxes, b/a spread, market impact of trade, & opportunity cost)? real trades almost always underperform paper, because the price moves against you before the order is executed...

Looks nice. I assume order management and risk controls come next... Can you implement strategies at runtime or is it compiled into your app?

There have been many improvements to Markowitz, perhaps someone more experienced with portfolio theory can elaborate (there's no point 'diversifying' among highly correlated stocks, if the market tanks...) with my systems, I simply compare the correlation coefficient of the daily log return...

do you intend to share the source code or is this solely a personal project? I look forward to seeing the diagrams.

Peterffy was interviewed in II Magazine last year... it's a good read, his vision of trading automation in the early 80s was spot on. http://www.iinews.com/site/pdfs/IIMag_InteractiveBrokers_Nov_2005.pdf

"Historically, our profits have been principally a function of transaction volume on electronic exchanges rather than volatility or the direction of price movements. Our strategy is to calculate quotes at which supply and demand for a particular security are likely to be in balance a few seconds...

Directed at the Times article... This kind of nonsense is sign of a market top. Once again, I agree with HoundDogOne's points. Did anyone even look at Kurzweil's web site (www.fatkat.com)? It refers to Rentec as a "relatively small fund". come on!

caching recent ticks in memory is a good approach. maybe try compressing historical data and store it on the file system. SQL isn't optimal for time series...

dropped a few names, now tell us something we don't know...

Order/Broker adapter... Currently JSystemTrader is hardcoded to IB's API. There should be some extensibility to other brokers, possibly FIX, with the ability to control this at run time. Same goes for data feeds. Job scheduling is needed to control the hours at which to run a trading...