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I am currently building a fully automated futures algo trading system from the ground up and would appreciate the input of any others that have done the same thing. I have 10+ years professional coding experience and have architected complex business applications before. However, at the...

If trading the overnight session (especially anytime on a Sunday) then all bets are off as to where market orders will get executed (although 135 ticks is truly epic). These sessions should be plastered with the disclaimer: Any resemblance of efficient price discovery in the market action during...

Doubt it would have helped. Would have probably just sat in the book as the price sailed merrily south. Was a high risk entry. The OP did the right thing biting the bullet and getting out.

I'm looking at my archived transaction and order book data. Can't really dump it into a screen. The price might have rebounded hard if the pros wanted to use the stops to get long and were prepared to soak up all the selling. In this case they were probably already short (can't be sure...

OK, just had a look at the data for that time. Looking at the timestamps of the trade prints it looks like you got hammered by a cascade of sell stops. The book was thin on the bid because I'd imagine most the MMs could see the set up coming a mile off. All the other pros were either already...

Comex is owned by the CME Group and the electronic GC contract trades on the Globex platform. http://www.cmegroup.com/trading/metals/precious/gold_contract_specifications.html In all seriousness, you really should know everything there is to know about a contract before you risk a single...

The GC trades on Globex. Your stop market order will have been executed according to the Globex matching engine's rules. If you haven't already checked these out it is worth it to gain a full understanding of how the engine works and the matching algos used. I suspect you were slipped because...

Certainly looks good. Appreciate the heads up. Thanks.

Looks interesting. Does it handle replaying L2 order book data as well as L1? 250k events/sec is a good speed. Ninja is hopeless when you are replaying an instrument such as the TF for which the ICE publish 64 levels of market depth. That amount of L2 data just grinds it to a near halt...

Hi everyone, Does anyone out there have any recommendations for a quality backtesting software package? I don't need any fancy charts etc. It just needs to provide an interface which allows me to replay market data (both L1 and L2) to my strategy and handle generated orders, produce execution...

Thought I'd update this thread just in case anybody stumbles across it in the future. The problem with the L1 and L2 datastreams getting out of synch did indeed rest with NinjaTrader's thread switching. Upon further examination the datastream supplied by Zen/Rithmic didn't exhibit the...

www.tickdata.com

Thanks everyone for your thoughts. Have done some additional calculations and, as has been pointed out by quite a few people, putting on the options insurance and then taking it off again each night would incur some fairly hefty costs in the form of the spread and comms. Certainly looks...

I have been nothing but polite to you TraderZones, despite your propensity for juvenile melodramatics and large bold type. I intentionally wrote a detailed OP so as to be clear in my question and not waste anyone's time. If you couldn't be bothered to read it then you shouldn't have bothered...

TraderZones, Firstly, let me say that I am grateful to everyone who replies to my threads. I didn't mean to be rude. However, your answers suggest you didn't read what I posted. I'll address your points using quotes from my earlier posts. 'I trade all the reasonably liquid futures...

I didn't say I'd exit the futures position. If the slippage is so extreme that my marketable limit order to exit the futures position didn't get filled, I wouldn't chase the price...I'd leave the futures position open. This is when the options should move ITM and start to offset the futures...

Please read my original post...

Thanks for your reply dmo. I trade all the reasonably liquid futures contracts but for reasons I won't go into here I have a particular love of currencies. I take your point about liquidity in the options market mirroring liquidity in the underlying futures market, but the whole purpose of...

Firstly let me say I'm a futures trader so my knowledge of options is fairly basic. Hence, I have come to you wise people for your opinions. As a conscientious and risk adverse futures day trader (if that's not a complete contradiction in terms) I am always concerned with the possibility of...

Worked on a project where we had to use Rational Rose a couple of years ago. You're not wrong. Dreadful piece of software. There's an old saying which says 'nobody ever got sacked for buying IBM'. Well it's about time fucking time they did! What design decisions have they made in NT7? I...