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From what I've heard Lime is quite good, but minimum monthly trade is quite high. www.limebrokerage.com

I would typically take snapshot data every 5 secs for a maximum of 20 symbols. I agree with LeeD, I don't think the bandwidth (costs) will be a problem. Your costs will mostly depend on the size of the instance and the total time that you are running the sytem on EC2. I roughly calculated...

Thanks brocklanders and Leed! Valuable advice indeed. Would you say that installing Ubuntu Desktop on Amazon EC2 is less efficient (resource hungry) than installing xWindow on the server edition? Is there abig difference between the two paths?

I am considering moving my automated trading system (using IB Java API) to Amazon EC2 to lower my latency and / or improve connectivity (I live in South Africa) and to be able to travel light when I feel the need. I am a newbie with Amazon EC2 and Linux. Why Linux then? Mostly costs, and...

For me it is when ABS(Close - Open) / (High - Low) > 0.65 Lot's of formulas to use to classify a day as a "Trend day" i.e. you can use number of 15m up / down ticks divided by total number of ticks Whatever suits you

I have been trading this fading strategy for just over one year. Profits are very volatile since I don't use stop losses. The strategy basically sells strength, buys weakness and waits for the opposite to happen or a time-frame to finish. Only trade at end of day with +- 50 reversals in...

Thanks a lot. That gives me a great idea. Is there any (free) useful website quoting implied vols, volume etc. ?

Thanks for the advice guys. I will trade the 1 - 3 month options and close to the money options. Nazzdack, you are confusing position sizing with more opportunities in a wider universe (1000 vs. 30 stocks). It is more an investment model than a trading model. What I mean by that is that I...

I have a profitable strategy on the DOW 30 stocks which is enhanced with the use of options. I believe that this strategy will be even more profitable when I extend the universe to say the largest 500 stocks. Can anybody give me an approximate idea where i can expect the liquidity do dry...

Very handy tool! Do you perhaps know how to get the data and more specifically the Adj. Close field into Excel? Thanks

No, sorry it can't handle it if you do multiple trades during the day. You will have to program the API to do that. A simple strategy with either a BUY or SELL during the day (or no trade at all) can use the method i described. Otherwise the AMRKET ORDERS will sell and buy from each other...

Even easier - If you have a LMT BUY order say at 1470 and you want to get out by 15:00 then put in a MARKET SELL order with the GAT field set to 15:00 and conditional on the ES <= 1470. That way the MARKET SELL (at CLOSE) order will only be submitted once your initial BUY order has been...

I'll try my best - hope the solution is suited to your trading style - you will submit two GAT MARKET orders one to sell and one to buy. Then in the OCA group field of the MARKET BUY order you would put the code IBUYC (Initial Buy Cancel - you can use any code) and the same code in your initial...

I have used it before. If you want to trade the ES at close i.e. buy at close if the market is higher than 1480 say. Then use a GAT MARKET BUY order to be valid after 15:14:45 and to expire at 15:15:00 with the condition being that ES Sep 07 >= 1480

I'm not saying I have a superior vol model - just playing with ideas. Let's give you an example - the three columns below are the movements of an index over five days (three different series, and possibly a gazillion more possibilities). The three series are not correlated. The only thing...

nitro - if you go long a put and short call at the same strike you have a short future - and you miss the point because you are not long or short of volatility. If you you now that volatility is going to be greater than what implied volatilities on the options are indicating, you can make a...

If you have perfect foresight of the volatility (of a certain time-frime) of a particular market, say the S&P 500, is it possible to trade in a way to make an expected profit or even a riskless profit by only trading the futures market. Easy to make money using options, i'm talking about...

Thanks sys I guess all three are very much similar. I will go with your recommendation because of price, availability, written by"Mr Spreadsheet" and the eBook included.

I want to take my VBA skills to the next level (I have a basic knowledge). Which one of the following three books are preferred / recommended? Thanks 1. EXCEL 2003 VBA PROGRAMMER'S REFERENCE Author(s): John Green; Paul Kimmel; Stephen Bullen Publisher: Wrox Press ISBN...

Thanks guys For the moment I have gone the conditional market order route. A bit more hassle to set it up, but it works. The only downfall is that if the market is happening to trade very close to level that I am prepared to trade at, I wouldn't have a limit order in place. I am learning...