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I have a fixed sample set to which I apply set of strategy settings and derive series of profit factors. I want to filter out the setting which gives consistently high pf and avoiding some big swings at the same time. So what I did was sum(pfs) / stddeviation(pfs) simile sharpe but using pf...

2.30 gives the best backtest result for my startegy yet. last tick on day produces random results. I might try 3.15 which is minute marker.

I can calculate them myself but I just need to find what to take as a close price as CL futures trades all day.

What's the time used to mark close for calculating pivot points. I presume it would be 3.15 pm New York for CL as that's a minute marker for physical contract. Am I right?

It's best known for it order management and execution. You have to have your own analytics system and just use TT for execution. It's got some amazing capabilities like OrderSets with it's own some of risk management features.

I looked at the ym(mini-dow ) tick data from 29th Sept immediately after 700 billion bailout was rejected. Dow crashed 550 points just in 5 minutes. And here the few ticks from that min Price: 0750. 10747. 10748. 10747. 10748. 10746. 10647. 10646. 10646. Volume: 2. 3. 6...

I am also keen to see the latency difference between XT API and FIX. Has anyone tested it?

I may look at the option of saving historical data in binary files but will it not take long time to load a big binary into memory and searching through them unless there is a tool to stream binary data (without loading a whole file) and query them. I would definitely like to explore that area...

Hi, I have historical one min and tick data save sql database server. I search this historical data for patterns which is very time consuming not only in writing the complex t-sql scripts but also executing them. If I calculate something like ema then it take ages to execute. Any advice or...