The vols have gone back down. The market is pricing in a tight range going forward. image For compassion, here is the USD/JPY vol term structure. Notice the volatility scale, the expected volatility is 6 times larger (9% versus 1.5%): image

EUR/CHF

Basically the plot shows the current price of EUR/CHF volatility. So those which sold volatility after 15 march got a little owned yesterday, maybe even forced to buy it back. If going forward they will sell less volatility, there will be less ...

EUR/CHF

I'm building it myself with data periodically downloaded from here: url

EUR/CHF

The volatility term structure spiked up again after yesterday's breach. image

EUR/CHF

You picked one of the hardest languages to learn. True, it's also the fastest (let's ignore Fortran). But it takes at least 5 years of C++ experience (assuming several hours each day during this time) until you are truly able to use it's full power ...

Programming in C++

Justin, I have a standard trading account with FXCM UK and recently I asked for and received micro-lots (minimal trade size 1000). Now I noticed that I can now set my margin level to 0.25% in MyFXCM, which is equivalent to leverage 400:1, probably ...

FXCM Discussion

The evolution of the implied volatility term structure for EUR/CHF at the money options in the last three weeks. Notice the spike caused by the recent monetary meeting and the resulting beautiful volatility play: image

EUR/CHF

I assumed that you wanted to be able to store any stock, no matter the price. If you are ok with being able to handle only 99% of them, fine. But you are missing some important stocks, like AIG, which went from 1500 to 26. With two decimal digits, ...

Systematic trading

And what do you do when there is a split? Create a new equity type? This is funny, how you keep on tying to dig yourself out of a hole instead of admitting that you made a mistake and that structure is not the real one you are using. Anyway, you ...

Systematic trading

This guys also use sound: video

Scalping With Sound!

How do you seek then in the series? And that still doesn't account for how you store the first price.

Systematic trading

How do you store in a 16 bit char these prices: 1.31052 (EUR/USD), 78.879 (USD/JPY), 103.381 (EUR/JPY), 503.89 (AAPL) or 1354.25 (S&P 500). If you use a fixed point schema, you'll need to also store the exponent somewhere.

Systematic trading

Are you sure that's the code that you are using? Surely you are not keeping numbers in a Java char (which is strictly a Unicode character, unlike in C).

Systematic trading

David, what do the two numbers after the bid and ask mean? They look like top of book volume. And it would be nice if the data also included the milisecond, in case you have it.

Good Historical (Tick) Data Source

In fact in the real world the coin is more predictable than most people assume. url

Probability Paradox!?!

No it is not. I think it would be easier for you to understand this if you ran a simulation: make random coin toss series in excel/scripting language and try your "betting strategy". You'll see that it fails. All betting strategies would also fail. ...

Probability Paradox!?!

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A trading peculiarity

There is something similar called "delta neutral" or "market neutral" trading. I've never heard of "capital neutral" until now. url url

Capital Neutral Trading Methods

Knowing when or when not to trade. In the quant world this is called knowing the "market regime" required by your strategy. You can take this to the next level, and automatically switch strategies based on your market regime forecast. Two examples ...

How to properly use Technical Analysis

eu_trader, they did not say no slippage. You will certainly be slipped for 10 mil. I think you are confusing getting a fill with getting no slippage.

Oanda order filling discussion