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Rosy2, I am curious. Was your observation just a thought - or have you tried and found it to be workable?

Certainly a safe idea from Rosy2...

LngEnf2NoBetter, Thanks for you considered replies. You mention two things: Volatility and Position sizing. Position sizing, I understand and can see that it adds value. But volatility-based stops never show me any promise. Are you saying that using stops based on vol, add value on...

I don't use off the shelf products - I like to code all my own so that I fully understand what it's doing. For price-taking model, I am pretty confident that life and my backtest match. But I am now wondering whether there are some ways to add fill logic (for FX) to a market-making model...

Hi LngEnf2NoBetter, Your comments re filtering not working echo true with me. I have spent many hours trying to find good filters over the years - but I have ended up in same camp as you. Do you view "Revenue stops on a trade" in the same light? I have never been able to "cut" out of...

BlackMage I checked through some of your other posts and I notice you mention that simulating Marking Making was very difficult - but I got the impression you had made some inroads... Have you found a way to make your backtest have some similarity to real life?

I am not sure I am directly competing. Although I will in effect be providing liquidity for short periods - that's not the reason for doing it! This is an alpha generating model, but I want to use orders to get long at the Bid or short at the Ask. Do you have any experience of simulating this?

I am thinking about FX, so not sure there is a lot of micro-structure data available - unlike on the exchanges

Hi, I am looking for ideas as to how to test a market making strategy. Trading aggressively (price-taker) is easier to backtest, put putting prices into market is harder. Any tips? Moon PS: Are there any other forums for automated traders?