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It's not a few seconds on average, but occasionally the TP can be reached in a few seconds. Especially as he is trading reversion, his TP is probably much tighter than stoploss.

Improvements to edge and improvements to allocation both follow a curve of diminishing ROI -- which one will give you the best bang for your buck depends where you are on those curves. Main difference is allocations (risk control) are a relatively "simple" well understood/well documented...

profit targets, not time stops. sometimes price just moves fast enough.

I was referring to the TWS/Gateway API as its the only one I'm familiar with. But their other APIs might offer the same functionality. Just google IBKR API and read the docs

Apparently they did forget because they are still offering 33:1 on CHF. Meanwhile, I can only get 3.5:1 on AAPL (normally 6.666:1) . The average stock is currently around 2.33:1, barely better than what you get with reg T (2:1)

Subscribe to account updates through the API. It updates every 3 minutes.

I think I'm heading in that direction too. However if IB's system was better (not hard to do), they could at least give more margin to customers who are properly hedged, etc. This is not exactly rocket science.

US stocks. Between 2 and 300 stocks in the portfolio at any given time, 50% long, 50% short. Margins are up to the stratosphere on almost everything, even the bluest blue chips.

I think you misunderstood my post to mean that I am trading VIX products (I am not). Otherwise what you said makes no sense to me. I am talking about VIX as a proxy for overall volatility. If margins are linked to volatility, then they should be falling together with VIX. The fact that the...

VIX peaked three weeks ago at ~85 and has since dropped by 50%. Yet IB is continuously increasing their margin requirements as VIX is dropping. Every day is higher than the last. As I check it this morning, Portfolio Margin is barely better than reg T. I'm scared that it can just keep going...

Hey @trend2009, how did the system do in March? Highest VIX since 2008. Did you make a fortune? :D

The premise is that when there are too many passive investors, then something bad is going to happen. So, how does that work, exactly? The author explains: Except this is just wrong. Passive funds own the index, they don't need to do anything to track it (besides some minor rebalancing once in...

That's called a spurious correlation. There is no possible causative mechanism that links round numbers of your capital to drawdowns. My own equity curve displays some very weak serial correlation, and reversal of large returns, but these are not predictive enough to be useful for anything. I...

https://en.wikipedia.org/wiki/Market_impact

Why do you believe that market going up is bad for your system? Was your strategy making a killing in 2018 when VIX was higher? Maybe post your curve from 2018. I see no correlation with volatility and the equity curve you posted.

If you have such a high sharpe then use all the leverage you can get and compound. Why be scared of 1% DD, that is irrationally risk averse. Now returns are drying up, probably due to increased market efficiency as much as anything, and you are blaming Trump. You should blame yourself for not...

Somebody please correct me if I'm wrong but I'm under the impression that IB simply cannot be used for strategies where milliseconds matter. In my own experiments IB's risk checking can take 100s of milliseconds LINK. When submitting takes 100ms, who cares if your ping is 1ms or 10.

Never seen this data for less than $500/mo/exchange. NASD is borderline worthless by the way, due to the way their auctions work, imbalances are only tradable by HFT.

Yes you are. You've claimed to be a "math/stats genius" with a "structural edge" that can make 10% per day (direct quotes). That's definitely bragging even if it's true, which it almost certainly is not. Also, you completely ignored the point of my post and just focused in on the word bragging.

To OP: Assuming this whole thread isn't a troll, you are wasting your time bragging about an edge that most likely isn't even real. Sim/Paper trading is worthless for high frequency. Get back to us once you have traded live for a while. If your real results after a few months are even 1/10 of...