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You must be thinking what I am thinking, that is, event arbitrage? After the sharp drop from last Thursday night announcement, it is no wonder one would feel that way. Let me know your entry condition and the result of your backtest. Happy hunting! The first number is actual, second number...

One month of tick data is 200+ megabyte. 2 Years data is 4.8 Gb of data. I don't think you can copy a file that size in less than 10 seconds, not to say go though the file and process every tick. I am not saying it's impossible, but highly unlikely.

I use PHP for backtesting. PHP isn't the most logical choice. I use it because I've gotten pretty good at it from web development days. The good thing about writing your own backtester is that you can code it to do exactly what you want. But it's not a simple task. There will be bugs too...

Hi! Does intraday gap means fading opening gap?

Hi What is your average holding period and what roughly is your win rate? Do you have preferred instruments or strategies?

That certainly happened to me. I backtest using PHP so everything has to be written from scratch. When I made a mistake in my code, sometimes I do discover pockets of good return. But when the mistake is corrected, the real return can barely cover slippage. I don't think it's a surprise that...

Slippage doesn't have to be symmetric. It' probably a short term momentum system, which chases the market immediately after sizable price movement or even widening spread. When you chase a fast market like that, of course you are going to get a larger slippage.

Also depends on what kind of trades. If you are buying on an momentum strategy, then I suggest market order or limit price at ask. If you are buying on a mean reversion strategy, then I suggest use limit order. If you are only in simulation mode, why don't you try both as separate...

The idea was so tempting that I went ahead to test that into my program with C# and IB. The first thing my computer said to me was "transaction with net position negative one" when a limit sell order was transacted. It was a monotonous emotion-free female voice. The emotion-free part is kind...

That's creative really, a talking program. All my automated trading just output plain text. How cool would it be if it can talk with real voice, maybe an plain voice when level 1 is triggered, and a shrieking voice when level 2 is hit. While I am at it, why not add an avatar with facial...

I use C# for IB. Order submission code is included in the sample application.

I use Dataram's RAM Disk because it is blazing fast. The current prices and some trading signals are stored in RAM Disk, allowing different programs to access it. Because RAM Disk writing is so fast, I rarely get any "file used by other program" errors. I have also written a program that...

Well, you can just run it in the wild for 1 hour, 2 hours, 4 hours, or even a day, and then compare your real results with your SIM results. If the results differs drastically, you want to look into the difference. But if the result is profitable, try it again next day.

I have been playing with automated market-making strategies in sim for some time and I am also looking to brainstorm for fresh ideas. Here is what I done so far. 1. I wrote a bot that submit limit order on both sides with a variable spread and inventory control. It seems to make stable...

Is that some kind of swarm algorithm? If they all go crazy, then maybe it's not so crazy? Or does it look for meaningful divergence?

Hi I am an PHP developer. I've been trading for a couple years with my backtest done in PHP. The actual trading is done with C# API. My only concern about your project is the time commitment? How much of my time do you think the project will take?

Give the man the respect he deserve. During his time, he was generating 26% per year regardless of whether the market went up or down. That's the beauty of statistical arbitrage, where they short as much position as they long. Does it still work now, anyone?

Let's say you successfully develop this market making system with SAR (stop and reverse), if I can summarize it as such. But how are you going set your target and stop levels on those SAR positions? The SAR component makes your system trend following. I suspect that will give you a lot of...

I've done a similar timed sleeper agent, except I implemented in C#. My instinct tells me if you want to do something so complicated, including auto rolling of contract months, variable position sizing, and algorithmic execution, then you probably have no choice but to develop from scratch...

I've written a program like that with IB for the CME. It went live before without any problem though the strategy wasn't profitable for me. So sure, you can issue one buy limit order and one sell limit order side by side just fine. Maybe other exchanges have regulations, but thankfully not...