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Guys, thanks for the replies, I will go through each of them. My program connects to IB successfully, when I request to retrieve live data for some Symbol (Stock or Option), it did not return anything, no data and no any error message, I have tried to request 5 second and 30 second data and...

Hi, Im trying to write a simple system Direct to TWs, but have hita brick wall. Ive been at it all day, but still not able to recieve data from TWS. Does anyone out there have any experience with the TWS API? Or does anyone know of any quirks or traps with it? Ive tried even running the...

WAS a really successfull Option seller a few years ago, havent heard from him since....... 1 + 1 = ?????????

RedRat, looks like we are on the same wave length here. Im actually working on a long term trend following, short term counter trend as well as the break out system. I know this will smooth out my overall equity curve. In this case I am jsut interested in smoothing out the curve for this...

Thanks Muskoka, Ill be checking that out

Thanks for the tip, was there something specific you were referring to, or just a general statement?

Are you referring to finding another way to measure Volatility?

First a thank you to all have contributed. I certainly got a lot more than I bargained for on this one. A bit more info as to what I am doing, I use wealth lab. I am testing a breakout system with a volatility filter. I wrote the system using a 5 year period of data and 100 random stocks...

Doesnt work in Japan either.....

Wow, looks like I hit a raw nerve with some posters here. A couple of things to point out here though, Im not talking about a system that is just a bunch of indicators thrown together. I understand that price action is king. But to say a true system based on pa can have no parameters is...

Interesting thought there Deco, guess it depends on what you refer to as 'simple' Personally, thats exactly the way I like to keep my systems. Simple..... The simpler the better actually....

Latitude, once again I was probably looking at this a little too simply. I just compared where it is possibly accepted from as per the contract guidelines, not where it would actually come from. Thanks again, very informative.

Pretty new to Automated trading and system development, but know enough to understand the pitfalls of curve fitting. I had an idea how to avoid this when taking a strategy live, just wanted to hear what people think, or their experiences if they have tried it. Obviously your looking for a...

respectfully have to diasgree..... The ony way to see how a strategy really works is to run it live (on small size of course). you can backtest your life away, but youll never know till you actually get in. This trader on the other hand, needs to take step back and work himself out...

Thanks for the link, looks quite interesting. Ive just started looking at this kind of arbitrageand I have a question in regards to this kind of trade. How would one calculate the correct trade size for each side if you were to say sell ES over SPY? Thanks

Latitude, jsut want to clear one thing up. Think I got a little mixed up here. Nymex is cash settled, ICE and LIFFE are physical delivery. Nymex is pretty thin so I should start with looking at the ICE/LIFFE spread, From what I can see they both accept a similar product. Apart from the...

latitude, thanks for the insight, not quite as straightforward as I thought, but anyway. another day , another lesson learned

sorry MTE, guess I dont quite get it. whats the difference between just the price and the absolute return? More importantly, how do I prepare the data before I run a correlation calculation? Thanks for your help

guys, thanks for the replies. I plan to use continous contracts. Just wasnt sure wether I needed to do it jsut based on price, or absolute returns. MTE, thansk for that looks like I need to multiply by the point value. Thanks guys!

Sorry, what do you mean by price point?