"2% risk" is where you put the stop. It's not necessarily where it will be executed. Ever heard of gaps? url

Account size

Having a 5 mil account certainly get's you access to top liquidity providers, like Hotspot or Integral. You can do HFT there. But it also makes it harder, since you'll start impacting the market more. A recent report said that the typical forex ...

Account size

60 minutes on HFT: url

Systematic trading

The CFTC regulations only apply to REGULATED financial entities. CollectiveFX is not regulated at all, so the rules don't apply to them. Put another way, only good citizens obey the law, criminals by definitions do not. Note that I'm not implying ...

Collective FX has LOST its Mojo. (New Feed is WORSE)

Disk performance is cheap. At work we have machines with 16 10K rpm hard drives. They can read 3 GB/s (sequential). If you want to go expensive you can always buy some SSDs. I think I'm missing something. You have 4 mil candles of 4 bytes each (one ...

Systematic trading

On the same theme: url

Systematic trading

Your analysis is quite simplistic. 80% of Oanda traders are now long USD/JPY at this moment. The same for FXCM (SSI) and Dukascopy (SWFX Liq Index) - 66%. Are you implying that all these three brokers are now naked short against USD/JPY (since by ...

Volumes traded in the Euro?

Nobody who has 500 mil to sell will put it all in one order, so this example is pointless. Sums like that are executed through algorithms. Again, from wikipedia: Transaction cost reduction Most strategies referred to as Algorithmic Trading (as well ...

Volumes traded in the Euro?

The figure I quoted was spot only. From Wikipedia, although I'm sure this info is also in the link you posted: According to the Bank for International Settlements,[3] average daily turnover in global foreign exchange markets is estimated at $3.98 ...

Volumes traded in the Euro?

I know what you mean. For non-timeseries, non-performance intensive graphs I will use matplotlib ( url ), although it will be funky using it from IronPython (it's for CPython only).

Systematic trading

Try loading a 4 million point time series and then scrolling through it. I couldn't find anything that can handle that, so I had to roll my own. image

Systematic trading

According to Oanda, with 1000 lots you will move the whole market by 10 pips: Currency markets have a daily turnover of spot transactions of approximately 1.4 trillion USD; this is a mind-boggling number, equivalent to approximately 10 percent of ...

Volumes traded in the Euro?

You will always be 0.5 lot net long/short against the trend. Which means that you will be margin called eventually if the trend is strong. Or put another way, the red SELL trade in your picture is a floating loss bigger than your winners. Do the ...

Mechanical trading idea

So what are you using now? I've also dropped candles in the custom back-tester that I'm writing. The reason for me was that not even one research paper written by a quant used candles. I was afraid that I won't be seeing as much information if I ...

No more BS - What have you learned?

The name of your project in the screen-shot, it's readable

Systematic trading

You really should work on those redacting skills. Unless this is intentional, of course

Systematic trading

Could you post a screen-shot of the GUI you're working on? Eventually with the sensitive stuff blocked out.

Systematic trading

You are using Windows. The best random generator in this case is this: url It's suitable even for cryptographic purposes. @markmm: CryptGenRandom uses all kinds of inputs to it's mixing pool, including hardware events (keyboard presses, hardware ...

Systematic trading

I think it would be better to run these tests with real tick data. The tick data from here ( url ) has for example 30K ticks in a EUR/USD 4 hour period (depends of time of day). That sounds to me like a too little sample. What if those 4 hours were ...

Tick Statistics

Works for me. Right click and and Save As. It's called "THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET"

Triangular Arbitrage and carry trade