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I assume that trades which happen in between the prevailing bid, ask are not recorded to the delta and are viewed as not having any MD significance?

Hey guys. I have an extremely basic MD question I was hoping someone could clarify for me. I was looking at the footprint graphs and realized that they do not make much sense to me. If market delta is the net buying or selling for any given price,time, how is it possible that market delta is...

since limit orders are supported on most major exchanges. would I run the risk of having my limit order filled between the time that the market order gets sent and IB tries to cancels the limit order after the market gets filled? does IB cancel the whole OCA group when a market order is sent or...

Does anyone know if there is a way in TWS to submit a limit order which is automatically converted to a market order and sent after a certain amount time has elapsed without the limit order filling. Thanks

very interesting read. I do not have the funds to purchase eSignal so I guess I am stuck using IB to research MD. I have poked around TWS a little bit looking for anything resembling market delta, I am an API programmer so I have next to no experience with TWS. Can someone tell me how to...

Im looking at your graph and am feeling a bit confused. I guess I am one of those guppies. Would you mind going into more detail explaining why 1373 is the pivot and why the crossing of that level 'crushes guppies'? I am new to the fishtank so I am not familiar with most of the terminology...

Hey guys, I am interested in learning more about the possibility of trading on quotes on a retail brokerage. I am unsure if such thing exists at the retail level (am I limited to to mkt and lmt orders?). By a dealer quote, I mean requesting a security at a specific price, getting a...

Hi. I was wondering if anyone has any insights about which security would fill faster during news releases (on average). I am trying to reduce the amount of slippage when trading news events. I assume FX is more liquid and for the most part has higher bid/ask sizes, I am unsure if that...

Does anyone understand the fundamental difference between MA and MACD? What does it mean for the macd to be under or moving away from the sma? I notice on my 10 min graph both ma and macd have a downward slope, macd is more variable and is consistantly below the sma.. im curious what this...

I have a question about all these graphs I have been looking at throughout this thread. If the bar size is 2 min and 10 min for most of them. How is it posslbe to get those smooth curves in the MACD and SMA graphs? Iv been trying to recreate this strat using my paper account at IB in TWS. It...

I noticed something while trading the US Jobs news release this morning on my paper account, the arbs seem much nicer than arbs I detect during normal non news times. They appear larger and stay around longer than normal 'spike' opportunities which only last a tick or two. Does anyone know if...

Sorry, I did'nt make myself clear. I was'nt asking about how to do a duel limit only order, and I understand the fundemental difference between limits and market orders. What I was really curious about was if anyone uses limit orders in place of market orders because they find they fill 95%...

Yeah you're right. Iv started only buying lotto tickets. 1$ in, 20 mil payout!! now thats lucrative! ;) But you know what they say. A bird in the hand is worth 20 million in the bush. Now I just need to figure out how to arb the natural bird/bush ratio. But seriously. I know that small low...

segv, recently I have been focusing on trying to solve this slippage issue on IB. I think they are a market maker for forex but I am unsure for any other equities. I think the solution to this problem will either come in the form of some tricky combination / limit order magic or less latency.

well true stat arb isint always the 'zero risk' i was talking about i guess. it depends how you do it. hedging etc. remember I am new to finance so I have very limited exposer to stat arb.

stat arb is the first techinique iv looked at other than a brief attempt at a pattern matching predictor in university which I have put on hold. stat arb seems to make the most sense to me mathematically and is pretty easy for me to wrap my head around. Plus it is pretty much zero risk other...

Chabah, I am assuming that the strat kept stepping infront of the market makers. I am unsure why they would want to stop those trades though, since the brokerage first tries to fill against thier other users (which I was told fills 80% of the time). So I assume most of the trades found limits or...

Thanks for you're reply. 5min data is a bit different than what my ai trades on right now, usually its in and out of a position in under a second. I currently have an account on IB but I get a lot of slippage with market orders sometimes. Im hoping some combination of limit orders would get...

ocupashnltrader, you make all riskless transactions sound illegal. thats not the case is it? I remember playing around with a broker that offered fungible stocks on multiple exchanges, I wrote up a quick ATS that waited for opportunities where you can buy a equity cheaper than you could sell...

Hey guys. I am a newly graduated computer science / math student, specifically focusing on artificial intelligence, machine learning and high speed computation. Rather than continuing my career in industry I decided to take a year or two to see if I could create a black box AI system which...