dbFX data is also 0.00001. I don't have IB data. I'm not sure it's possible to download it for free. I will need to check that. Of course the real prices are close. But I did expect to have at least a few bad ticks hundred of pips away from the ...

Systematic trading

I finally found some time to compare the tick data of different brokers I have. The results are very encouraging, no difference was bigger than 20 pips (: While I have data from 4 brokers, I left out FXCM on this one (lack of time). First, 2009 with ...

Systematic trading

I happen to know the options that give maximum speed for VC++ and which one you use when. Spent one year at my previous job optimizing a piece of code and fighting for each 1% improvement. Learned the awesomeness of SSE, radix sort or custom memory ...

Systematic trading

Well, when I see 50 times speed improvements on C++ code between different compilers, I don't start to blame the optimizer in the slower one, instead I read it's manual to figure out how I could have configured it so wrong From the Eigen front ...

Systematic trading

I know what you mean. The Windows Task Scheduler is absolutely horrible. With crazy long descriptions of each setting, and useless settings like waiting for idle time or not running the task when on battery power. image image image image ...

Systematic trading

An order of magnitude? Really? Have you got any references for that? I know it's exactly the other way around. VC++ is well known for it's top notch optimizer (even without stuff like WPO and PGO). Here, I have a reference: url It seems that even ...

Systematic trading

I think a few posts back you said that you had a Linux box ready for your systems? Me, I've played a little with WPF together with IronPython. Very nice. Better than PyQT.

Systematic trading

MQL is the PHP of automated trading. What did you expect There was this joke with Hello World programs in various languages, and the PHP one was 50 lines long, with copy-pasted and commented out code.

code quality

MAs are a particular form of "smoothing functions" - url There are many more types of function which do the same thing, with various pros/cons each. You should choose the one which is best suited for your dataset. Unfortunatly, in retail forex SMA ...

Why Moving Average?

I was just curious since you said that your strategies would have worked profitably in the last 80 years, and I wanted to see if you have a "low" Sharpe (<1.2) as I would expect from such a long performing period.

Systematic trading

It should be easy to compute the Sharpe ratio with so many trades. Could you share it with us? Actually compared to equities, forex is quite small. There are something like 6 major pairs, 40 other important ones, and another 100 of exotics.

Systematic trading

This is the best data you can find, but it's very expensive - almost 11.000 euros for 3 years of EUR/USD as you can see in the picture. url They also sell compressed data (candles) much cheaper. BTW, they only lease the data (yes, you don't buy ...

Systematic trading

Unfortunately I'm not an UBS client. I have a script which downloads these reports. I collected all the reports after May 2009, but I would like to have at least one more year prior to that. So I'm searching for a place which keeps them for longer ...

Other source for UBS FX Research other than Oanda?

The reality is a little bit more complicated: This means that a good random number generator will also produce sequences that look nonrandom to the human eye (e.g., a series of ten rolls of six on our die) and which also fail any statistical tests ...

Can you tell with naked eyes?

Hello and welcome to the party What distributed environment are you using? Hadoop? Your own? Any reason for protobuf? Have you investigated Thrift and Avro? How much data do you have?

Systematic trading

Here, an article about real order-flow trading and big boys. url

Domino's Price and order flow trading

Do you still detrend the data? I'm playing with spline smoothing, but for my low frequency system it's not really necessary yet. Do you use market regime in any quantitative way? I have a mean reversion system, but I take the market regime into ...

The Quantist

If market is extremly overbought according to your analysis and your mean-reversion algo enters it by selling, aren't you predicting that it will go down? I was just saying that technically speaking, when you put your money down on a trade, whatever ...

The Quantist

Give me a single example of a trade that doesn't involve a prediction of some kind - price up, price down, IV up, IV down, .... Give me an example of something you sell or something you buy, without a prediction behind it. Without an expectation ...

The Quantist

25k trades? predicted segments? Could you say over what time period you had the 25k samples? And what is your average trading frequency and holding period? What assets do you trade?

The Quantist