That was quite informative. In fact I realized that you can use the java shite you mentioned in getting the market data too which is quite a big deal compared to running TWS. MBTrading looks technically better option but the difference in commission ...

Systematic trading

Yes I'll probably be going back to IB (feels like going back home ) but I'm going to use QuickFix/J and java, I seriously think that trading platforms will just give me extra headache when I try to do more complicated stuff or something the ...

Systematic trading

Risk sizing — I would like to discuss a bit about trade risk sizing. As most people probably know, one method of calculating "optimal" risk is kelly but kelly does not take volatility into consideration at all. Does anyone know is there any ...

Systematic trading

There has already been some statistics and definition what a system is [okay my definition of a full system]. These are exactly what systematic trading is all about. It's gonna take a while before I get into system correlations and such [because the ...

Systematic trading

Craig, as you seem to know both IB and MBT, why did you choose MBT over IB? Also does anyone know where MBT swap rates are located? I don't seem to be able to found them anywhere.

Systematic trading

I probably will go FIX. The only thing that is really bad is the timing as this seems to be the moment when volatility is finally starting to increase and this is exactly the moment when my systems would make the best profit. Well that's the price I ...

Systematic trading

.. just got a very odd call from ActivTrades (the broker I'm using for my automatic trading at the moment). I only trade DAILY systems (open/close trades once a day) and they called and said they will move me to a "scalping" account because I'm ...

Systematic trading

Don't forget excellent Interactive Brokers.

Aren't ECN Brokers just fronts for bucketshops?

This is not alpari data but here is another source url

EURUSD

Enigma, below is everything you need to know [rest like where to enter etc is also important but the simple things below are the most important] The most important thing: Buy high, take profit even higher. Sell low, take profit even lower. Use R% ...

Give me a good trading system as a newbie

Where do you see divergence? I see no divergence in EURUSD.

EURUSD

Only thing I'll comment is that you are absolutely right about thinking differently part and that I have been using c/c++/java over 10 years professionally [and have been on positions where I have decided to start quite many very large projects ...

Systematic trading

I didn't think I was going to see design pattern discussion here In fact I didn't think I would ever see design pattern discussion again. Now we are traveling into dangerous territory but IMHO design patterns are result from poor programming ...

Systematic trading

I have never personally quite understood the benefit of such applications (except maybe on execution/integration side), running and developing strategy are so much about the strategy, not the framework that you really want to have all the strings on ...

Systematic trading

Here is similar chart for low of the day results, I also updated the other post to have both charts. My data is since 2001 so this is from 2161 daily candles of data.

Systematic trading

It's nothing fancy I know but I just wanted to show an example of one simple way to quantify an edge for those people who have no clue how to do that.. I'm personally not using that [exact] approach. By the way, here is an interesting paper about ...

Systematic trading

No, it's hour as gmt+1 as stated in the post.

Systematic trading

Here is another interesting chart from EURUSD. This chart tells what hour the daily high was hit. As you can see, it's heavily biased to first hours of day. This should tell you something Also note how the last hour just jumps out from previous ...

Systematic trading

Nice to see someone from Hedge Fund world here, Ipso, can you give some vague description on what kind of trading the fund you are working for does in lines of are you doing high frequency or low frequency, what markets and how much of the trading ...

Systematic trading

I have never been able to do a solid metric for system efficiency (usually you never know when for example range expansion hits after long whipsaw period) but my thoughts are that the metric results to be used should be mapped to risk, not ...

Systematic trading