Do you know if this possibility is just for banks or other institutional (/retail? - assumign the same latency which is of course ridicilous) clients as well or do you mean that all IDEALPRO orders are always routed first to banks? I haven't seen ...

Systematic trading

Do you (or someone else) know about specifics on how matched orders are cancelled afterwards in IDEALPRO? I'm quite interested in this because I have previously assumed it would not be possible (I'm not doubting you, just interested in this because ...

Systematic trading

Okay now I do understand better what takef means, I'm short-medium term (but not intraday) trader so my problems are not the same as arbitrage/high freq traders have. And I agree with data quality issue too, I would not use my data to simulate high ...

Systematic trading

Best of luck to you too, some of us are in fact trading these time wasting algos live so this thread is not meant to be just an intellectual debate.

Systematic trading

Thank you for your comments - I think if there are people interested in this discussion (market/broker selection) I would suggest moving it to own thread as this is more about systematic trading and trading algo development (realistic slippage/fills ...

Systematic trading

You do understand that if you are trading with limits, you are the one that is providing liquidity, not taking it? So it's actually you who is the "liquidity provider" at the trade. Are you sure that wasn't just a case of some spike having too low ...

Systematic trading

Would you like to elaborate exactly what kind of games have the sell siders played against you at IB? That would mean some kind of massive collaboration between them and that sounds more than odd.

Systematic trading

That doesn't surprise me at all for some reason

Systematic trading

Nope, I'm still trading my old hand-tuned algos. I just haven't had any time to code the actual trading implementation. It's almost hard to believe how bad and overly complex the apis for trading are and I have seen quite a lot apis.

Systematic trading

Tradethenews fx? url

Best Forex News Site that meets my criteria?

Man I have been there with MT4, I used a historical 1 min data from other provider and didn't notice that other timeframes were out of sync because the timezone was different. Results were.. well.. Unbelievable at least. I thought I had found the ...

Systematic trading

This is one of the more interesting posts I have seen in a while I'm quite interested in how long optimization period did you use or was it "dynamic" based on some triggers? Is this one/multiple algos on one or multiple pairs? I do undestand why ...

Systematic trading

Thing is, I don't think monte carlo would change your results. First one will still give about as good result with variations as will the second one. This is one of the hardest problems with the optimization, especially with the kind I'm making ...

Systematic trading

Here is one other indicator that might be of interest if you are interested in p&f, I did it some time ago - it shows p&f in the main chart as a channel.

long term point and figure charts

Haven't posted here for a while.. I have been very busy with other things but this was just so interesting and a bit relevant to this thread so I couldn't resist posting url (just a sidenote: I don't think that anyone who hasn't studied CS ...

Systematic trading

Risk free rate of return basically means the return rate that you would get for your money on the same period without risk. As there actually are no such investments, some very low risk government bonds (three month treasury for USD for example) ...

Sharpe's ratio for pairs trading

In fact I have been thinking this a lot and I would add them to the big picture if I could find reliable source for longer term data - it's really not that hard to quantify numbers and release dates - it's quite easy to abstract them to few ...

Systematic trading

I have had that thought in my mind, however it would require me to build a quite different result measuring system than I currently have (and strategy combinator) so I just haven't had time to test this yet.. I tested one variation already where I ...

Systematic trading

I actually don't think that would work (too little data points to make meaningful predictions) but maybe I'll try it in the future. One possibility that I have been pondering is to alter risk based on how well the algo/model has worked in the past X ...

Systematic trading

In some ways curve-fitting is what every system developer is doing. The hard part is to somehow make sure you curve-fit to the correct things.

Systematic trading