I am assuming your fills at the bid/ask means you are adding liquidity. If that is true that is very unrealistic. At the very least assume you are getting filled at the mid point especially with some of these wider spreads. IB does have pretty good liquidity at mid points of the spread
Automated Equity Options Trading System - seeking input
- Thread starter ensemble
- Start date
I am assuming your fills at the bid/ask means you are adding liquidity. If that is true that is very unrealistic. At the very least assume you are getting filled at the mid point especially with some of these wider spreads. IB does have pretty good liquidity at mid points of the spread
I’m impressed at the description of your program. Having almost no programming experience, I’ve only gotten as far as figuring out what parts might be needed. Thanks for offering the tws api input - I’ve been approaching the api via python, as it seemed a little easier than java from a beginner standpoint.
As for dumping the nflx and fb.... slowly building trading experience is how you learn when to hold em.... keep at it.
Jon
Loooooooooooooooopoooooool.
You mean he should send the code to your firm for evaluation? Muahhhhh
You mean he should send the code to your firm for evaluation? Muahhhhh
You mean better results for your firm's profitability? Your claim is in no way qualified nor proven to be even remotely accurate.
Robert Morse
Sponsor
I'm not following your comment. I would say my 25 years as an options market maker and 7 years in institutional sales qualifies me for that statement.
Robert Morse
Sponsor
I have no interest in his code. He is asking for advice but has not provided enough information for an educated response.
You do not seem to have ever worked in the area of auto quoting options nor in hft nor developing or operating algorithmic trading systems. So, with all due respect to your other expertise and skills those do not seem to really qualify such brash statements. Higher volatility generally correlates positively with wider quoting and as long as prices do not exhibit stochastic jump properties algorithms do not perform any better or worse relative to discretionary approaches just on this differentiating property alone.
Before asking for performance records a whole host of other questions can be asked. Any quant who at all respects his own IP would end any interview immediately when asked to provide detailed order and execution records. This step is generally the last step in qualifying the claims of a candidate. I think it is a lot more appropriate to ask for the general trading approach, fill assumptions in backtests, overall rational to enter and exit trades,...just came across as a bit weird that the first thing you asked was detailed performance records.
Grul are you AsiaProp (aka AmazingIndustry, Zzzzz, NudelStrudel and a half dozen other banned nicks)? You're certainly obnoxious enough to be he. And in the same locale, with the same slightly fractured English.
I'm betting yes, even though your profile-stated age is a little high.
Do I really need to honor this with a response? Before that I am quite curious, do you always troll people or just the ones you disagree with?