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I can't find a reference to this anywhere, so it may be wrong (for which I will be justifiably flamed mercilessly, no doubt) but anyway ... ... to define the Best Bid and Offer, I believe there must be a total of at least a round lot of shares (i.e. a total of at least 100 shares, even if...

Trade automated + Reduce the time it takes market data to reach your signal/strategy processing hardware + Speed up your signal and strategy processing + Reduce the time it takes your orders to hit the market = become an HFT player Or, avoid strategies that involve placing limit orders...

8 trades/month * 9 months in-sample = 72 trades in-sample It's not a lot of trades... (Q1) How many parameters do you optimize for? (Q2) And do you use the chosen parameter values because they conform with your understanding of some aspect of the market (although you may be 'fine tuning' them...

To allow meaningful comparisons, aren't you also going to need (per symbol/instrument, and across all venues): - average volume typically filled per some unit of time - # orders typically resting at X - (n * minimum tick size) for n = 0 to ... - # orders typically resting at Y + (n * minimum...

How many trades are you getting in each sample?

What sort of trading are you doing? Intraday? Swing? Buy and hold? Adjustments will be less relevant for analysis related to the first, but more relevant for the last two ...

After the 70s came the 80s and 90s ...

LOL!

Damn … another interesting thread where I’m too late to the party! Perhaps you can be tempted you back? George Angell, in Sniper Trading (2002) wrote about “Buy and Sell Zones”. These were price ranges determined EOD for the next day by calculating various metrics (from the Highs...

Thanks! Lots of great direction in this and your earlier post... ... that's a great idea; wade through a few trace files to get a better understanding of what happens and when. Thanks!

Thanks, dom993! My laptop battery is about to run out, so can't give the detailed response now your post deserves. Will respond later ...!

Thanks. Yes, fair enough. I guess it follows a principle all too common in software design, in my experience at least. That the more unlikely to occur a particular situation is assumed to be, the more likely it is to occur the very first time you run the software "live" ...

Thanks, 2rosy How are different error messages responded to? I guess that's part of what I am trying to determine. In the case of rejected orders, in some cases perhaps the response if to re-send the rejected/failed order again until N attempts have been made, and then fall back to some...

http://www.investopedia.com/financial-edge/0911/How-September-11-Affected-The-U.S.-Stock-Market.aspx#axzz1zoxIU6Ef

What time zone is this? Pakistan Standard Time? The Indian/Pakistan Rupee/Rupee cross trends nicely during the morning.

Check out market behaviour from about 08:46:30 EST onwards on September 11, 2001.

For my first time, I’m writing code (for NinjaTrader) to handle overfills / order errors / order safety. While understanding that the specifics of such handling would depend on the specifics of the trading objectives/trading strategies involved, I’m trying to lay my hands on past (and...

In some senses, I've always felt a top discretionary trader has much in common also with a top-ranking professional sports person. I wouldn't say the same is true for an entrepreneur, though.

OK, thanks

I’d look at this in terms of average trade, by which I mean... "avg trade" = {what you win (before costs) x probability of winning} - {what you lose (before costs) x probability of losing} [or = {what you win (before costs) x # winners/all trades} - {what you lose (before...