I believe foracy might be thinking about the fact that candles will be different based on how you group the ticks into them. A candle can change from a pinbar to doji on a daily chart depending on what timezone you use since the candle will start at ...

Systematic trading

On the topic of big bank recommandations. I have 3 years of daily buy/sell ratings from one. Here's your equity line when applying their EUR/USD recommendations: Y-Axis: profit in pips X-Axis: time in days image Applying all of their ...

Look mum no charts!

There are lines and there are lines. A line on a plane is flat. A line on a sphere is curved. A line on a candle chart using 5 min candles is not the same as a line on a deseasonalized quote stream. Or to put it another way: what if time does not ...

Trend Lines Don't Work

Each time the media/forums/blogs agree on a sure thing trading opportunity, I fade them. Very successful, but very limited number of opportunities. And I don't bet large amounts due to the lack of verifiable statistical significance. Examples: 1. ...

Look mum no charts!

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Systematic trading

Here's your causal link: ======== Kamstra, Kramer and Levi (2003, hereafter KKL) draw a link between stock market returns and the length of day light. By examining the stock returns in the U.S., Canada, U.K. and Germany and a few other countries, ...

weather affects market volatility

There was another stock market study recently - cold windy days are more probable to be down days. Their explanation was simple - trading is a lot about market sentiment, and on cold windy days humans feel less happy. Another study found another ...

weather affects market volatility

More market micro-structure and order flow papers than you can read - url

Order Flow - Finding cluster of stops on chart

And what would prevent some really good traders from joining the James16 or EWT group, hang around and being "stupid" in general so that they can get "invited" for a protection contract? When trying to game someone, always think how you could be ...

Option contract on individual trader performance?

The seller of the option will be exposing himself to adverse selection - the big profitable traders will hide their proficiency and take his money (for example a HFT firm).

Option contract on individual trader performance?

There seems to be a natural progression. At first everybody used 10 indicators on their chart. Didn't work. Then the "naked" price action movement appeared, with candles only. Didn't work either. Now we have the no-chart reverse-TA order flow ...

Order Flow - Finding cluster of stops on chart

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weather affects market volatility

I'm just storing the data as received, not converting, displaying or analyzing it. One thing I noticed yesterday while testing the code was a Level 2 update on USD/JPY with a time 3 hours back (so the timestamp on the update was current time minus ...

Systematic trading

Now if you could only solve your reliability issues I'm not sure about real, but your demo Quote API disconnected 18 times during the last 30 minutes (think FOMC), after 20 hours of working flawlessly (no disconnect).

MB Trading Futures - Introduction

They still have reliability issues. 8 disconnects of the Quote API during todays FOMC. After almost a day with no problems.

Systematic trading

I never tried their FIX API, but due to theirs announcement I finally wrote last night a little logger of their (demo I think) ticks using their MBT Quote API that I had requested an account for last year. So far it logged 1.6 GB in 16 hours for the ...

Systematic trading

Thanks for the clear-up. I read somewhere about MBT providing trading apps for Android and Windows Phone 7 (in the future), but on your site you can find only for iPhone. Can you tell what's the status of the Android app, and if you expect to get ...

MB Trading Futures - Introduction

On Twitter you seem to confirm that the banks will also get paid the rebate, so I'll take that as an yes. @MBTrading Do the limit orders have to be filled by another MB client to get the commission, or also when they are filled by the marketbanks ...

MB Trading Futures - Introduction

Three questions: 1. Will the banks providing liquidity also receive the rebate? Since it's an ECN it looks like they should. 2. Do you see a problem if somebody writes an HFT algo and colocates it with you which will do rebate trading on your ECN? ...

MB Trading Futures - Introduction

Can you say rebate trading? url url

Systematic trading