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It may depend on strategy. Anyway, according to my experience, given the "fractal" nature of curve price, it's pretty "irrelevant" to the strategy the amplitude of the "scalp". In the sense that, an unprofitable strategy, will remain such no matter what the size of the moves captured is set...

Success, i think, must be defined in terms of measurable results. I would define successful a strategy using the following the following metrics ("AvgProfit" indicates the average P&L over a given unit of time): 1. Ratio: AvgProfit / | min P&L ever seen | positive and maximum...

Hi friend, as you can guess from my previous post, I have also realized a program to capture realtime data feed from my broker. So I store it, to use later for testing purposes. The data is fine for my purposes, and it gets anyway highly filtered by the trading engine (which in my case...

Not really, being extremely demanding I tend to rebuild all the tools I need. [In the years, I have created my own complete trading/backtesting/tuning system, which also does all the possible filtering tricks imaginable and I can change it at any time, if new ideas or suggestions arise. I prefer...

Any meaningful backtest/tuning facility must have an efficient filtering system for the bid/ask series. Dealing with unfiltered data, makes results of no value. And not only, also the spread should be carefully checked. [Similarly, automated system must deal with highly filtered data feed...

My personal experience tells me that is often useful and beneficial dealing tick by tick. Especially working with automated tight scalping. [You may even use a "look ahead" approach where, under some condition, you can expect to fill ahead (with good approximation) the series of bid/ask being...

tick by tick is perfectly doable, even with several dozen instruments simultaneously and an ordinary home connection and with decent pcs. Especially if you confine yourself to price action and straigthforward computations. (Clearly, must use the right tools: do not expect to use excel!) Most...

Google screener does 2). About 1) I am not sure about update frequency, but I guess so. Tom http://www.google.com/finance/stockscreener#c0=MarketCap&c1=PE&c2=DividendYield&c3=Price52WeekPercChange&region=us&sector=AllSectors&sort=&sortOrder=

Right. All those languages, c++, c#, vb.net, java are all nearly perfect tools at this time. The problems are mostly on the implementation side. An infinity of small details arise when you dig in this area. Dealing with asynchronous events and orders, timeouts, partial fills, formulating lmt...

Probably there where implementation errors. Like, for instance, wrong formulation of limit price, or inconsisten handling of partial fill events, etc. There can be many reasons, but the least probable of all is the programming language. [ This said by one who hates java, and loves .NET :-) ]...

see if this kind of format might help: http://www.datatime.eu/public/gbot/CAD 200912 GLOBEX.rar (file name is day, when a smaller time is found within a file, it means new day: add +1 day. Time is EDT, hh,mm,ss,ms) Tom ps: do not break link as et page does, leave spaces (sorry!)

ahah, good try! but a valid id document is required... :-) Tom

That's oversimplifying, i think. There can be many other reasons. eg, namely for a trader: hedging. Tom

That is normal, as you are receiving bid, ask in sequence. It's natural that they can cross. Also their P&L does not take into account the spread or closing commissions if any (ats instead do, usually computing a "net" P&L). The problem with the demo (and only that) is that it actually lets...

I still consider them the best (trading only, no customer service). API are probably still the best (among the brokers acceptable for trading). The TWS needs some simplification. No one needs that kind of "flexibility". Just leave all the features on and remove all the disturbing "wizard"...

Corey made this beautiful list: http://coreyhoffstein.com/automated-trading-resources/ My hf bot is especially suited for futures: http://www.datatime.eu/public/gbot/ Tom

That's a common setup which has probably been replicated by users some million times. Can do it yourself with IB api and any programming language (eg download c# or vb express, or use java if you like it). Need multiple TWS running, as each one has a (more or less depending on capital)...

If you are talking about demo account. Yes. Tom

:-)) ahah poor schizo! It's not nice to see, in a thread one has started, material that can be found on the web, as the value of this forum should be mostly that of exchanging personal opinions and experience. Anyway, I tried to be original and honor your thread. Did you like my personal...

Yes, it's in the visual web developer (also "express"). eg: http://www.asp.net/Downloads/essential/ (I guess that the also vs express, has all packaged together, if you need a unique dev environment.) Tom