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Hi, Thanks for the all to info you provide on this subject. Can you point me to sources for the "theory" of correctly optimizing the parameters of strategies ? By "correctly" I mean: -avoiding over fitting -correctly using in sample and out of sample data -resting on solid...

The way Mario Draghi says "focus" sounds a lot like "fu*k us". So, when he says "The ECB focus will be on ..." it sounds like "The ECB fu*k us will be on ..." Anyone else hears it this way ?

vit007, Before trading your strategy with real money, you should trade in a simulated account in real time. You can trade it for a few days and at the end of each day you compare the real time results with the back-tested results for that day. If there is a gross error like looking in the...

I look forward to it.

Hello globalarbtrader, When you have the time, could you talk a bit about your back-testing methodology ? One interesting topic for me is the relation between in-sample and out-of-sample results.

Hello globalarbtrader, Very interesting thread and lots to learn from your experience. Could you post the profit factor you achieved in real money trading ?

Actually I'm not quite sure why the "spoofer" strategy works. So the spoofer sends a big sell limit order that he intends to cancel later. And then the front-runners send sell orders with a lower price. But why the front-runners do that ? Do they expect that the big sell limit order will have...

Here's a article from John Arnold explaining the basic "flipper" and "spoofing" strategies: http://www.bloombergview.com/articles/2015-01-23/high-frequency-trading-spoofers-and-front-running Spoofers Keep Markets Honest 16 Jan 23, 2015 9:00 AM EST By John D. Arnold In financial...

Def, When a client places a limit order, on which book does it sit ? Is it IB's book or is it the book of one of the banks ?

Can you post a PNL curve of either the real money account or a simulated one ?

Did you run it in real-time simulation mode ? That is, have the program receive market data and send orders to IB using a paper trading account (with real market data). If you get good results this way, the next step is to trade it with real money.

Ammo, Is that a screenshot from the Think or Swim software ? I'm asking because it's quite pretty :D.

What brokers do you use to trade forex ?

Occam, thanks for the useful info.

HSBC used to be very stable. Also it's a large cap like MSFT.

Guys, what about the futures exchanges, especially CME ? Do this kind of abuse happen there also ? In my limited experience, the abuses seem to be lower there. There might still be broker related abuses like internalization or routing your order to 3rd parties.

What do you mean by "lit" orders ? If you send directed orders to an exchange they shouldn't be able to "pull before you execute" because they shouldn't be able to see your order before it's executed by the exchange (except for your broker who can see it). Care to explain your point in...

Bob, maybe you can check if your order was executed by the exchange by getting the historical market data the next day and looking for your trades. In order to "recognize" your trades you will probably need the exact time you sent them and the time they were reported matched, the quantity...

I asked Bob111 above for the name of the stock where he got screwed. If anyone knows of other stocks where HFT shenanigans are obvious please post them here (or PM me if you prefer).

What is the stock ? You made me curious so I want to see for myself the shenanigans they they pull.