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Not trade volume but tick volume, which measures the number of tick changes in a given timeframe. Price movement is correlated to trade volume so you may think of it like market pressure. To try and explain how I use it, just imagine, for example, a big upbar on a 5 minute sample with low tick...

From their site, "MB Trading FX receives quotes from multiple banks, partners, and pools of liquidity". That being said, volume in Forex is not a transaction count. There is no time and sales data, just tick movement, which in MBT comes from their ECN connections. I remember reading somewhere...

I do use tick volume in FOREX. You will definitely not be seeing the whole market but I find it useful nonetheless to work out patterns of distribution/accumulation through relative volume analysis. Some might disagree so just work with what’s useful to you.

@377Ohms: Thank you for your words of encouragement. I can review myself in everything you said. I'd also like to take the time to thank everyone that has been contributing with their experience and expertise to the thread. I'm definitely learning a lot from you all and I’m sure it will...

Progress report: Still trying to weed out some bugs in the simulator. I actually found a nasty one on the way the stop-loss and drawdown were being calculated (they were based on the close value of a data sample and not accounting for the full price range). These are being fixed now. I've...

Progress report: It's been nearly 2 weeks since I started this project and I'm happy with the progress so far. I'm finishing some sanity checks on the simulator to have some degree of confidence on the results. Below is a sample output of a dummy strategy. Stop-loss is hardwired to be max of 2%...

Yes, it IS academic. I invite you to read the first post of the thread. I do not - nor intend - to make this my primary income. I want to try and prove it is doable by someone who has taken the challenge with minimum resources. I find it odd pleople try to impose their own objectives into...

+1 Being the Original Poster, I'd like to remind that the subject of the thread is "Building an ATS". Even though at the moment my strategies do not go near HFT, any contributions on techniques that aim to improve performance are fair game. Also, please keep your posts on the positive...

A side note. I found this book on amazon (only available for kindle), that may interest some of the readers on this thread: Zen and the Art of Automated Trading: A Journey from Day Trading to Mechanical Trading" I'll provide a review as soon as I finish it.

Threading IS expensive. But I'm not even attempting to compete in the HFT league so I'm not overly concerned with timing issues at the moment. I will need threading though for parallelizing trading on multiple instruments.

Thanks. Checking it out now and will try it as my previous experiences with threading (mostly with C) have not been happy because of locking and synchronization issues.

No, not yet. Both quote event handlers and the ghosts run on different classes so the change to go multithreaded should be minimal. By now my main priority is having a minimum working setup. When everything is working I have to go threaded to be able to trade multiple instruments - 1 thread per...

Only trading spot FX. Thanks for the input. I was not accounting for rollover interest rates. :eek:

Progress report: The simulator engine is fundamentally done. It has been taking somewhat more than expected to finish because of a lot of details that need to be taken into account. For testing purposes I'm using a dummy Ghost which goes long/short on some given SMA/EMA crossovers. By now...

@CT10Gov: Yes, I mean in-sample, out-of-sample data. Regarding the correlation and Sharpe ratio I didn't expect a definitive number to begin with. But certainly there is an interval of confidence that can/has be used.

@themickey: thank you for you contribution. I'm glad it turned out ok for you and hope the system meets your expectations on live trading. I must say I'm actualy amazed you implemented all those rules only with excel. Depending on excel to do all that would definitely freak me out (and I must...

I was afraid this would easily go unnoticed on the previous post since the discussion seems to be orbiting around developing an oms from scratch or not. Since I'm practically beyond that phase, help is appreciated on the benchmarking issue :D Summarizing the issues I'd like some inputs: 1...

Speaking only for myself, it all comes down to control. If I'm allowing an automated system to do things for me, I better know it will do exactly what I want it to do and when I want it to. I rather have fewer fancy useless functionalities and tweak what I feel is needed than have an OMS that...

It's nice to see this thread has sparked some discussion. My take on the subject of time investment on the SHELL (oms) vs GHOST (algo) is that both are important. I understand there is a larger group of people that will have a better chance of succeeding in building a workable oms than a...

Sorry, I'm afraid its not open source for the time being. I haven't even considered that option until you mentioned so I may give it more thought and reconsider in the future. Your interpretation on the concepts of SHELL and GHOST is correct though. Python is indeed a nice language to quickly...