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I believe it is possible to run a marathon in under 2 hours 5 minutes if you are really good at running. GAT

https://quant.stackexchange.com/questions/2616/how-do-you-estimate-the-volatility-of-a-sample-when-points-are-irregularly-space GAT

The government only insures cash, up to 85K. So let's suppose I have 385K in cash, of which 200K is needed for margin. So I have 300K of cash which is unisured. I need to keep 115K of that for margin, but the other 185K I could use to buy say ETFs. This would mean that my counterparty risk is...

Your idea actually sounds relatively simple, although of course you're still exposed to IB in the cash account beyond government insurance limits. It's also my understanding under UK law that you remain the owner of any assets that are lent out, and therefore they are protected. But I'm not a...

OK that's not how I do risk. I calculate standard deviation and positions as $ which I then convert into % of capital, so prices (negative or otherwise) never come into it. Applying ABS to positions is clearly a bad move, Also summing weights to 1 is also a bad move, since you're ignoring...

Yes you should. It's worth double checking that your system can handle negative prices; testing this is easy. I just did some checks and whilst I'm confident it can handle negative adjusted prices in the past (which is common) I'm not 100% it deals okay with negative current prices: I've never...

No they can't. A standard deviation is the square root of the sum of a series of squares of a return. If the return is the difference between two negative numbers, or one positive and one negative, well it will still be positive. GAT

We got data via intermediaries like Bloomberg and Reuters; we weren't HFT so didn't need a direct exchange connection to shave off the slight latency that introduced. The BB product is called B-PIPE, can't remember what the Reuters product is called (I have a mate that used to work for them...

Not in my system so no idea GAT

It's never been true. GAT

Stocks flat and stock indices up. Curious as to how that is possible. GAT

It should apply to all UK regulated brokers. GAT

I didn't know there was a PDT Rule in the UK?? GAT

These are some of the ones I 'follow'. Looking forward to your reviews Sam Leach - the apprentice style 'real forex trader' series are worth watching https://www.youtube.com/channel/UCbqTL05j9ajf7eZhPZuDr1Q Anton Kreil (probably not 'fake' but not a very nice person and clearly thinks he is...

Awesome job. For negative prices I use a standard deviation filter that will pick up any large changes. Something you might want to consider. GAT

I've also thought in the past about doing the twitter thing, but instead I have a simpler solution whereby I get emails sent to me daily with various reports about what is happening. I've also just set up a second machine (third if you include my backup) that provides a web page (albeit only...

Super fancy? Heck my blog post is entitled "The worlds simplest execution algo"! GAT

Basically 'it' is blind trading: putting an order in through the API where you don't have live market data. When you do this via the other trading interfaces, it generates a warning. Most orders go through a simple algo that is described here and implemented here. It relies on knowing what the...

This is a great thread. Just discovered it by accident. Watching dumb idiots pretending to be guru traders on youtube is one of my guilty pleasures. GAT

Big day yesterday, both from a markets perspective (a large number of price movements triggered my standard deviation price filter) and I was up 2.2% which is my best for a while; but also I finally got rid of the 'stock+hedge' part of my portfolio: closing out my short postion of two Eurostoxx...