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Is anyone else with an IB account who uses Time Warner having connection issues? I got kicked of TWS this morning and can't log into TWS (but can get into WebTrader) I just contacted IB and they said TW is having problems with ports 4000 and 4001. Just curious if this is a system wide...

Cool - Thanks very much for clearing that up, IB-AN; Its been very helpful. I'll take your advice and just add a secondary user to my existing account to trade my two bots simultaneously on 2x100 symbols. Sharing the total buying power of one account seems a more efficient use of capital...

Thanks, IB-AN. I just read the two pages you mentioned about adding second users. A couple of questions that aren't answered on those pages: 1) Do the master/secondary accounts all share the same account balance or are the funds partitioned with each account having its own separate account...

Thanks very much for the reply, IB-AN. So if I'm understanding you correctly, I can't have two linked accounts running separate instances of TWS simultaneously? Maybe it would make sense to describe in more detail what I'm trying to achieve: I currently have an IB account that I use to...

Thanks for the great info, IB-AN. Can I bug you with another question: I also have multiple strategies that I'd like to trade in separate accounts, but the strategies use a different basket of stocks and need to stream 100 symbols each. If I open multiple accounts under my same name/SSN...

I hear you. IB does so many things right that its difficult to whine too much, but their tendency to make changes that have potentially large impacts without telling anyone and just leaving their helpless clients to discover/figure it out for themselves seems a bit mercenary to me. Even an...

Hi Guys, I did a little experiment today and had both my live and paper accounts open (on different machines, same router). As mentioned before, live account's quote/charts were fine; Paper account had no charts, but seemed to have valid level I quotes on stocks, most futures, and forex...

I am having this issue as well. Yesterday on the sim account I had charts but no level 1 quotes, today I have level 1 quotes but no charts. Plus certain futures symbols (like GC) are completely blocked. I'm running two PCs on the same router, one auto-trading through TWS on my live account...

Thanks for the insights, sonoma. Yeah, I was hoping that I could just use the BSM to generate the ATM put prices on the fly during backtesting, figuring that the differences between the actual and modeled prices would just average themselves out over time. I could also use a larger risk free...

Thanks for the info, Martinghoul. I like the idea of using index puts as a litmus test. Perhaps I could further reduce the data burden by just Monte Carlo sampling a subset of one month segments from a 5-year sample to validate the idea and/or build a model. Considering your (much) greater...

Yeah, I was afraid of that. I think I might start with just the BSM model to see if there's any daylight at all in the strategy, then (as much as I'd like to avoid it) move on to using historical options quotes. Would using other models like Cox-Ross do any better than BSM? I'm curious...

Actually, I think my return should be equal to the return of the underlying stock system without the puts, less the average cost of the puts and transaction costs. The problem with exiting the puts at the same time I exit the long stock position is that I'd be giving up the cases where the...

Thanks, atticus - appreciate the insights. In the context of the system I mentioned, I'm not sure that a synthetic call is exactly equal to an actual call. I know when I first came across the article I mentioned, I wondered why the guy didn't just trade calls and save himself some hassle...

I have absolutely no idea what that means, lol. Can you dumb it down a bit for me? Actually, I'm trading the puts with absolutely no edge (in the above scenario I WANT them to expire worthless) and therefore a negative expectation, which (hopefully) is smaller than the expectation of my...

Sorry, I think I've been unnecessarily obtuse about this, but its probably because I'm not an option trader and am not up on the lingo. I started down this path after reading an article about an EOD long-only stock trader who used married puts as part of his strategy. I have no idea what...

Mainly because while I have an astronomical amount of EOD/intraday/tick data on stocks and futures, I have nothing on options. And the thought of purchasing and/or collecting data for every put and call strike/expiration of every stock in my basket is pretty daunting. I was just hoping to...

Thanks very much to everyone for the thoughtful replies (as well as your patience in indulging the questions of someone new to this part of the game). I think was less than clear about what I'm actually asking, so here's another way to phrase it: What exactly would a Monte Carlo...

Are you speaking from a short term/instantaneous or long term perspective? ie: I have no doubt that each day, option pricing swings way outside of what is predicted by the BSM. But over time those swings would tend to cancel each other out, no? Its seems contradictory to me that option...

Actually, if you have access to leverage, the Calmar Ratio is extremely important statistic (assuming its positive - there's obviously no point in leveraging a system with negative return). A high Calmar combined with leverage allows one to dial in whatever absolute return desired, subject to...

I don't believe there is anything about buying/selling options at random in either of the books; That was just a thought experiment whose outcome I felt was implied by the Black-Scholes formula. So far no one has gone on record to claim otherwise, so I'll assume it holds for now...