Search results

This is not an easy task that you're trying to achieve. While I cannot provide an answer, I can suggest some reading material that may help you understand Kristoufek's research gives an interesting approach to separate the different investment horizons described in the FMH...

Those updates are probably out of sequence, or they are marketable limits (should be followed immediately by an execution in that case)

Quanstart blog is an awesome resource, I've used it as a blue print for more than 1 component. Prof. Balch's class is also a great resource. It is meant for people with some programming background that want to get into finance. But it also works for someone with a trading background who wants...

To answer this question we need more data. (pun intended)

Which statistical techniques have you found to be effective ?

the russell2k coming back to the CME sure is good news ! :D

Unicorn meat?

if he loses $50 easily scalping 100 shares on a very liquid name like GE or INTC... why add any more risk? Initially they're expected to lose the $50 but to manage them so that it takes 100+ trades to get there... that gets them more risk... I know of some shops that start them on subdollar...

They usually control how much you're allowed to risk on a per day basis instead of controlling the buying power margin. This usually works with some kind of formula to allocate daily risk + some override if you lay down risk capital. A newbie would be usually given $50 or even less per day as...

L2 on the futures is a lot cleaner than on the stocks...

daytradetheworld=swifttrade

You should start by reading Ernie Chan's book. It'll give you a good foundation, specially if you end up building your own system from scratch.

Good, or bad, who knows... as long as it brings volume to the stock... he's like Cramer on steroids... :D

the tick on the SPY is smaller, but it is constantly moving up and down by little bits when the ES is sitting at single price level. Depending on your trading style this may be a good or not.

Consider that Pandas has a lot of C++ optimizations under the hood, it is not a coincidence that pandas is one of the strongest tools when it comes to data analysis... (along with the likes of R & SPARK) It allows you to easily manipulate large amounts of data, and perform all sorts of...

Yeah... now a days when I need something on a Excel-ish looking spreadsheat... I build it in Python and then spit it out to a spreasheet... After about 1 million rows with calculations Excel stops working... python is just warming up ;)

I learned pascal in 99, COBOL in 01 ... python in 2012, R and matlab in 2013... For me python was liberating, as it allows to try new ideas very quickly and to put them into code that is easy to read and to get down to business quickly without having to spend too much time in formalities. While...

The python API works pretty good, it is a wrapper on top of the Java. I've used it for sending orders and getting some quotes and contract details, curious to know how it performs under a heavier workload like the one you describe. You can use the ibpy package to get a head start, so you...

yeah, and once you get the answer do post it back here...

jeje... yeah, 2 inches deep is still "technically" deep...