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Thinking further about the above, I suppose some edges seek to exploit some specific aspect of trader behavior/psychology (rather than some specific aspect of market structure). In these cases, to the extent that the same traders are trading various instruments (and to the extent also that...

IMO, here you’re asking “Should [Edge] Work Across All Instruments[?]”. Ask any group of traders “What’s an edge?” and I doubt you’d get a single, unanimous, unambiguous answer. So I suspect you’ll also get little agreement on the answer to your question … IMO, an...

Europe has turned the corner; while the numbers will lag for a while, the paralyzing fear of financial collapse, widespread just a few months ago, has been replaced by a sense that the worst is past, that there are no more unknown unknowns, and that there is a [small] light at the end of the...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=206926&highlight=slippage

... or test on data from several providers to determine how sensitive your strategy is to a specific provider?

Is this any good for you? http://www.truefx.com/

Can you download the data into Excel for each underlying leg of the spread, and recreate the spread data there?

I have autotraded in the recent past with this set-up which used Excel (see "RTD in Autotrader").... worked fine. You get the solidity, quality and speed of TT X_Trader and the ability to express and design your strategy in Excel. It's nice ...

Whose "sentiment" do you mean? Perhaps it makes sense to consider different trading styles as distinct? Investors' sentiment? Perhaps you can't get a reading on investors' sentiment from stuff like intraday price action .... news headline's might be better for investors' sentiment. HFTs' /...

Yes, that looks correct. And thanks miscsales for the correction on R.

"Kelly Criterion ... a mathematical formula relating to the long-term growth of capital... currently used by gambers and investors to determine what percentage of their bankroll/capital should be used in each bet/trade to maximize long-term growth. Kelly % = W - [(1-W)/R] ... there are two...

Many thanks. I use eSignal and IB data sources.

OK, fair enough … … either it’s a stupid question and you’re all too polite to say so (somehow I doubt that…), … or no-one has or wants to share the answer. The background to my question … yesterday I sat in on a sales presentation from a trading software vendor (I am not...

If you are a retail trader using a retail broker, you need to think about colocation proximity with respect to your broker's order servers (rather than proximity to an exchange). If you are a retail trader using a retail broker and a retail data provider, then you need to figure out whether...

Has anyone measured this? Or could estimate it? I'm after an idea of how long NinjaTrader 7 takes - once it has received market data - to respond to that market data with an automated order? I imagine this will depend on hardware to a degree, so I am assuming that NT is loaded say on a...

Processor speed has a negligible effect compared with latency to the market. See the following ... http://www.elitetrader.com/vb/showthread.php?s=&threadid=204223&perpage=6&highlight=ping&pagenumber=1

I am certainly no expert on statistics, but doesn't "1-Lag" just mean that the analysis focuses on how the return from day [x+1] related to day [x]? If that's the case, then the apparent reduction in "1-Lag" autocorrelation could be accommodated by a model that assumes price action from one...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=204223&perpage=6&highlight=ping&pagenumber=1

Are the markets random? ----[a] Or are they not randon (but with a very low signal-to-noise ratio). ----[b] IMHO, the answers to your questions will depend on whether the respondent subscribes to [a], or to [b], or even to something else! I'm a [b]. So running a strategy in pure white...

Many thanks. I'll take a look.