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That in itself is a problem. There is nothing wrong in being driven and ambitious. But this quest for the 9900% annual return is just a publicity stunt. Clearly, the OP seeks some sort of fame, which explains the premise of this thread and his "photo ops" moments next to some cars and high...

Yeah, but as xelite777 would say, "Big deal. You only need to make 94% return to break even on that trade". Haha. This thread has a lot of entertainment value.

Well, let's see what we got so far: Result day 1: 4 * (3585.25 - 3580) + 4 * (3582.50 - 3580) = 31 point loss This translates to: 31 * 20 = $620 loss Add commissions: 620 + 1.2 * 16 = $639.2 loss Now, that's an optimistic result. The less optimistic result is that the stop was "mental", in...

According to my calculations, you are aiming for the 9,900% annual return. You should have rounded it up to 10,000% annual return. One thing that I don't understand is why you are referring to it as a"challenge". Are you challenging yourself, challenging the markets, or challenging other ETers...

My approach to this is to solve it numerically. Given N strategies S1, S2, ..., SN, solve for this: OG = MAX(w1 * LN(R1) + w2 * LN(R2) + ... + wN * LN(RN)) where OG is the optimal rate of growth R1, R2, ..., RN are the returns of strategies S1, S2, ..., SN w1, w2, ..., wN are the weights...

Use IBGateway instead of TWS. It works the same way with the API.

If Hillary is the Beast, then Jeb is the Beauty, right?

But there is another side of the same coin. By setting the profit target, you are potentially missing an even bigger profit. It sounds like you may want to optimize your exit criteria.

Don't set the price target. Let the market get you out of the trade, i.e., exit when the odds are no longer in your favor. I am anxiously waiting for this response from the local jokers: "Lower your target by 1 tick".

My approach to this is to consider the order book in the "inconsistent state", as long as the last operation is either "delete" or "insert". When the last operation is the "update", and the book has the same (maximum) depth at both the bid and the ask sides, I consider the book "valid and...

Ok, I understand what you are doing now. Instead of directly applying the "delete" and "insert" market book operations, you are doing effectively the same by tracking the level by the price. Yes, it sure can be done that way. Just to verify something, you keep saying "volume", but it's really...

Ok, I understand the intent now. I have not used the DTN NxCore API, but I have used both the IB API, and the FIX/FAST CME data stream, to build the order book. In both cases, you receive messages to "remove level N and to shift all the levels below level N up". This would be a very expensive...

CME only broadcasts the top 10 levels of the order book for both the ES and the CL. There is no visibility to the levels below, so I don't understand what is it that you propose to maintain on levels 11 and below.

Today's Holidays (Monday April 28, 2014): Afghanistan: Victory Day Barbados: National Heroes' Day Gibraltar: Workers' Memorial Day Iraq: Public Holiday (National Elections) Moldova: Memory/Parents' Day (Pastele Blajinilor) Sierra Leone: Independence Day Holiday South Africa: Public...

I can make money in the time of war, and in the time of peace. Bring it on.

Look it up. I will not argue with you until you get the fundamentals right.

That's incorrect, as well.

If your utility function is the log of the bankroll, then the net worth does not matter. If your utility function is the log of the net worth, then the net worth does matter. That's incorrect. The utility function of the log of the net worth is totally legitimate, even in the presence of the...

Sure. The article that you linked specifically says that Bellman equation can be solved by backwards induction numerically on a computer. So, I need to understand it, and the rest (programming it) should be straightforward.

Thanks again, markettimer. I'll see if I can figure it how to code that in.