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Hi Hook, thank you for contributing to the discussion. 1. your definition of "speed" does not coincide, in my opinion, with what we are considering here. So we either change the name for our concept, or we need to change your formula :-) Let me make a counterexample. Assume at t0 the...

While the bot his doing its patient and inexorable work, we might have some nice discussion here. With his usual powerful insight, Pocketchange has evoked the concept of "speed/volatility" as a factor which could be used to regulate the folio behavior. Now we certainly intuitively see that...

The bot has just closed all positions (around 13:35 edt). These 2 days have been an incredible performance. Most "lucky" performers include RB, CL, HO , although they have large spreads due to the distance from expiration (especially HO: now is around 6-10 ticks!). Over 20K PNL with a...

Thanks, Dr Who, for your appreciation: I am glad that you have such a good feeling about this approach ;-) To respond to your question on the personal side, although probably not many are interested here, the "intellectual challenge" is, certainly, still an important part in anything I do...

Hi unco, Thanks a lot for the compliments and your interesting question. Thanks also for the nice info on MXN. Besides test purposes you mention (I have changed the algorithm to compute LMT prices of new orders), I also sort of wished to introduce "gradually" the readers to the various...

As anticipated friday, have restarted an algorithm variation with a bigger folio (20 instruments). Initial packet size 1 contract. Min trade size = 300$ <a href="http://www.datatime.eu/public/gbot/Sun 15 Aug 2010_port4001_Cli1_1/GBotReport_2010-08-15_port4001_Cli1.htm"> Chart update </a>...

Ok market closed! At the end of the week, most instrument plunged. The bot dealt ok with that, adding some nice profit. Here are the detailed charts of all trades (automated report): <a...

Thank you very much TheGoonior. Yes, it seems that at a certain time they have realized that a <b>request id</b> was indeed necessary to the programmer for "linking" the information to the contract and, perhaps, they changed the signature (?). If I solve the "mystery" I will let you...

Thank you TheGoonior, no luck so far. I have one question for you: when you call the method: void reqContractDetailsEx(IContract*contract) http://www.interactivebrokers.com/php/apiguide/interoperability/activex_other/activexmethods.htm#contractDetailsEx how many arguments are you...

Thank you very much TheGoonior, I am using version API 9.63 (the latest non-beta). Which one are you using ? It does not work for me. If i place the two calls: reqContractDetailsEx() reqContractDetails() one near the other one, and comment out them one at a time, when using...

All is proceeding fine. This morning around 6:07 edt it closed all positions and restarted. <img src="http://www.datatime.eu/public/gbot/res_sun11_8.png"> (The current rules in the algorithm actually cause frequent global close: the bot actively fights the possibility of position to grow...

I was substituting the call reqContractDetails() with reqContractDetailsEx() as suggested by the API guide. However, there is, possibly, something not working, or working unexpectedly (to me): the new function reqContractDetailsEx does NOT raise the event...

We just reached the end of another week. (CL and EUR have mostly "dominated" the week.) <a href="http://www.datatime.eu/public/gbot/Sun%2011%20Jul%202010_port4001_Cli1_6/GBotReport_2010-07-11_port4001_Cli1.htm"> Chart update </a> <img...

Trading is proceeding fine. There has been a general uptrend (on all instruments) at the beginning of the week. The bot has been investing on CL and EUR mainly. At the end of the week will post trades. [ I have also done a quick experiment running the algorithm on a folio of 80...

Under your assumptions, none, unless one is masochistic (especially when the keyboard doesn't have the curly brackets :-) or wants to "practice" the c# syntax (just to get ready to respond to a job adv, written by somebody who doesn't have a clue about .NET and modern dev environments)...

Ok market closed (over 30K). Could have actually closed all positions, as Real and PNL are very close, but I am letting it run (test purposes). <a href="http://www.datatime.eu/public/gbot/Sun%2011%20Jul%202010_port4001_Cli1_5/GBotReport_2010-07-11_port4001_Cli1.htm"> Chart update </a>...

This is the topic I would like to discuss in depth with you guys at ET. One method to determine cash requirements is to backtest against worst scenarios and look at the maximum global position. For instance, I was mentioning the high volatile scenario be have experienced a few weeks ago. If we...

<b>Thanks PocketChange! </b> Will reply to you questions later because, as usual, they are pretty tough and insightful ;-) I have actually derived this algo from a HF scalper, and in that case infrastructure issues (connectivity, latencies, etc.) are of greater importance. This approach is...

For my own algorithmic platform development I use Visual Studio 2010. You can see my interface on <a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=202078&perpage=6&pagenumber=5"> this thread </a> Within Visual Studio (.NET) the choice of the language is mostly a matter of...

I have actually some news now. It has just closed (5:57am edt) all positions at 27.7 K Will restart autotrading in few minutes, as soon as gets into the first "entry region". <img src="http://www.datatime.eu/public/gbot/res_sun11_5.png">