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OK, OK I'll admit it. I only own AMD-based GPU hardware, I only have experience with OpenCL and I don't do AI :D That said I have a personal trove of OpenCL source code for pattern matching, backtesting, etc. CUDA holds no interest for me because of my existing personal code base.

I have this sneaking suspicion (with no evidence at all) that the CUDA AI niche is heavily dominated by academics. Nothing wrong with that but academics tend to be off in the weeds doing their own thing. I'll stick with OpenCL for the reasons I stated above: wider user base, more online...

I meant not readily available on the internet. If you can lay your hands on Espen Haug's "The Complete Guide to Option Pricing Formulas" it's all in there in gory detail. C# you say? Check this out: http://www.risk256.com/code/Options.cs You're welcome.

Well 99% is a bit of an exaggeration. Many American stocks have dividends that are > the risk free rate. Early exercise does in fact happen in those cases.

It's the Bjerksund-Stensland model. There's not really a formula per se but lots of code implementations in c++, c#, java etc.

They say sitting is the new smoking. I stand the whole time I'm trading.

lawrence-lugar is right, you really need to understand options better in general before doing this. If all you want to do is protect a long stock position then just google "protective put strategy". You'll be able to get a better idea of what's involved and be able to get a more focused...

First off it's generally not as simple as buying a put. But *if* the IV on the stock is relatively low then a straight put buy might make sense. If it's cheap enough you could even buy ATM. Next you have to have some time frame over which you're worried something will happen. Is it next week...

ET is like a middle school boys' locker room. Welcome!

I can buy things on Amazon with BTC using purse.io. Sounds like money to me.

After some hacking I determined: TICK-NYSE displays on TWS and the only valid value returned in the API is the last. AD-NYSE doesn't display on TWS. Through the API only bid and ask are valid. Bid = advancing shares count, Ask = declining shares count.

Reminds me of the old Allegheny Airlines (aka Agony Airlines). They changed to U.S. Airways to leave behind the agony and were later known as Useless Airways. There's no dressing up something that's ugly to the core.

Here's something I posted on Slashdot back in February. Bottom line: I was one of many that had to complain to the FCC to get a refund. Here's the link to the Slashdot post...

I'll upvote this one. SPX option trades do NOT need to be accounted for individually on your Schedule D. Trading SPX options is the best thing since sliced bread with regard to tax reporting not to mention liquidity. If you're a trader then you have the math and organizational chops to...

Don't fall into the trap of viewing the numbers that Black-Scholes spits out as being "accurate". All of these models are just that: models. They aren't reality but convenient fictions created to try to understand the markets. Price, volume, statistical volatility, interest rates can all be...

the "days" term in black scholes is normalized to years so that the interest rate can be left as annualized. After you figure this out try plugging in different risk free interest rate values. You'll be surprised how little difference it makes between 0.5% and 1.0%

You're over-complicating it. In today's interest rate environment the risk free rate is almost 0. I put in 1%.

Sorry to bump a zombie thread but I'm interested in using AD-NYSE except it doesn't seem to work. The symbol is recognized by TWS but won't display there. I saw above the AD-NYSE is supposedly only available via API. I tried that too with a simple program that works with stocks, indices, etc...

If you can look up a service in the yellow pages then the government shouldn't be doing it.

80 trades? Are you sure you're not over-trading, dude? It also sounds like whatever system you're trading doesn't have a statistical edge. 80 coin tosses with a 1:1 payoff would have about the same performance.