do you use other time series than price and volume within your ATS?

[man]

Quote from TSGannGalt:

I think we all agree that system traders don't give out the details.

Giving out a few hints though... key to the matter is not about duplicating the index with your basket. It's about setting up the basket so that it's arb.-able.

Make better sense?

Oh, then you really "arb"? now that is something different. but
anyways, don't worry, i am not even close to playing millisecond-
games. i am amazed that a single person can do that profitably.

do well ...


PS:
acts 9:7,
"The men who traveled with him stood speechless, hearing the voice but seeing no one."

 

[TSGannGalt]

Quote from man:

Oh, then you really "arb"? now that is something different. but
anyways, don't worry, i am not even close to playing millisecond-
games. i am amazed that a single person can do that profitably.

do well ...


PS:
acts 9:7,
"The men who traveled with him stood speechless, hearing the voice but seeing no one."

Arb.-able. IMed you.

 

[chvid]

TSGannGalt - You formulate in detail what I am in the middle of changing my overall system development process into. Great post(s). Thank you.

BTW: I look at price/volume only trading select ETFs and non dividend yielding / highly liquid common stocks - my target is to hold positions for 2-10 days.

 

[man]

John 10:10
“I have come that they might have life and have it to the full”.

 

[TSGannGalt]

Quote from man:

John 10:10
“I have come that they might have life and have it to the full”.

There's no point of PM replies for some stuff so...

As mentioned a few posts back, I use discretion as part my process from my point of my skills. I am able to develop a model and trade them without adding any discretion, profitably.

Simply, you can take any crap system and make it look profitable by using top-notch technology and algos on paper. Once you implement it, the added value (top tech and other perks) will not keep up with real life trading.

First thing required is to have the "mind" to DUM (in acrary terms) "or" expose/extract an edge out of the market. You're simply carrying over that "mind" on a constant/monitoring basis as the discretion factor. I just hope some Tradestation user doesn't try copying me, because they won't be able to pull it off.

 

[mbatrader]

There is a better interface between matlab and tws

www.exchangeapi.com

The product is matlab2ib.

Quote from rickty:

Flip,

Thanks for your info. I know of TWSLink; I tried it some time ago but it had a limitation that may be gone at this time (the author had assured me of that). I'm a heavy Matlab user, but alas not for trading, so I probably can't help you there. It would be nice to use Matlab with sub-minute bars. I may try TWSLink again to see if it's possible when I get some time.

Richard

 

[man]

Quote from TSGannGalt:

... you can take any crap system and make it look profitable by using top-notch technology and algos on paper. Once you implement it, the added value (top tech and other perks) will not keep up with real life trading.

definitely. i have never seen a system that matches the
backtest. you gave me some brain food. yet i think i am
not good in predicting when our systems do well. always
think i can, but if i am taking away positiveMemoryBias
i guess i am pretty much at random ...

nevertheless, the whole issue seems to me like regime
change modeling and i do believe humans can beat
machines in that. ... well, certain humans ...

 

[man]

10:12

very interesting. i would have thought the price people
would exceed by far, then it was just the exogenous
and now we are at about even. i am tempted to start
a thread on which time series the exogenous guys do
use, but that is probably asking too much ... gets into
fishing ...

thnx everyone for participating.

 

[flip]

Quote from mbatrader:

There is a better interface between matlab and tws

www.exchangeapi.com

The product is matlab2ib.

hi mbatrader,

do you use matlab2ib? we've considered this interface too, but then decided to give twslink a try.
what are your experiences in terms of speed, reliability etc...? what do you think are the problems / disadvantages of twslink?

thx!