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Oh crap... everyone's worst nightmare. I got an email from a prop firm today inquiring if I wanted to sign up. :) When I mentioned REFCO, he let it slide -- after noting that their own clients were asking the same questions.

RiskArb, Any initial thoughts on the SPX weekly options that are going to start up this week?

It works the other way. If you have a limit order at 1200 and a slippage setting of 1 tick then the price needs to get to 1199.75 on the signal bar before the backtest will give you a fill -- at 1200. It's not perfect as there are times when you get bad quotes or trades outside the bid ask...

I would prefer to trade the second system as well. Since this is a WLD backtest I would suggest you make sure things like position sizing and total possible trades vs actual trades taken are under control -- mostly I say this since you are using 1400 candidates. Those two variables can take a...

Well, I understand Harriet Miers will be available soon. She has about the same level of appropriate experience for the Fed as she does for the Supreme Court. ;)

lol...well time sure flew. ;)

Just an FYI if you missed it, Bush is going to announce GSPAN's successor at 1PM....

Just a thought, but why not just add a tick slippage on each end. If your system doesn't have a positive expectancy at that point it is unlikely that you will have much success with live trading. I can't believe there is much of an edge in trying to muscle the queue -- and having said that...

Seems kind of weird that a guy in the middle of selling out is ringing the fire alarm...

Makes me think of Tom "Delay." :D

Well you've certainly got next week's trades on...:)

Just a blurb to show how messed up things are on the other side... Refco's bankruptcy hasn't socked only p.e. firm Thomas H. Lee Partners, but also 11 hedge fund creditors that are lining up to get at least some of the $1 billion they risked in the futures brokers' bonds, Financial News...

Yes, I agree with what you say about IB [financially speaking]. However, two weeks ago people would have said the same about REFCO. Nonetheless, that financial history is why I keep an account there. I'd hate to see them dilute that record by doing the equivalent of buying in risk. Even if...

Well, There aren't millions of accounts to get at REFCO for starters. But mostly what bothers me is two-fold. First, there is the distraction that acquistions bring with systems and employee integration. Second, there is the potential to simply make a bad deal and leave your...

I'd hate to see IB spend a lot of time and effort to absorb a firm that could have all sorts of potential landmines -- if only the one that many current REFCO accounts might not want to use IB. Any thoughts?

Yes, I forgot to check who had cheapie options to go with earnings. But the 300 closed at $8 and change. That's a fair amount of risk -- even if the reward is 3x.

Bummer... Thanks for clearing that up...

By my IB quotes you missed getting hit by a tick...all that matters. :)

Basically, We hit them and the market reversed...they "worked." Enuf said. :)

Thanks, I thought the range was much narrower -- like 200 pts or so and program trading is stopped... edit: It's 150 pts and we hit the stabilization pt...