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uexkuell
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Posts posted by uexkuell
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uexkuell.....Correct me if I am wrong . I am under the impression that most ppl use a seperate TA Software along with IB is bcoz it has a weak charting system , not suited for Backtesing & it doesnt have a stock screener based on indicators .And also I was wondering if I could only use Sierra Charts or Ninja Trader for backtesting & stock screening only..... and implement all other automated trades on IB using C++ or Perl . Although I dont see a Perl API as such for IB ...Perl has financial modules which interacts with IB Java API .
- IB weak charting, no backtesting
Yes, true
- Using Sierra or other for backtesting & screening
Sure. But you can also consider others, that may even be better suited to your needs
No need to connect the automated trading with the screening or charting.
- Perl
If you have the choice I'd recommend to use a language for interfacing to an API that is used by many people (can better get help, higher probability that the language interface has no/few bugs and is kept up with API revisions) and is as simple as possible (reduce development time).
If answers were helpful you may consider use of the thanks button.
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... I am planning on using IB as my broker and was looking for the right TA software to use as the backend preferably which can be coded using C, C++ or Perl .Not sure if this already clear to you:
There is no need to add an extra layer of software if you want to use the IB API (nothing like Sierra etc.).
In fact there are some disadvantages if you use an extra layer:
- Additional complexity
- Dependency on two programs that will be updated from time to time
- Less speed
You can write programs that access their system directly in VB, C++, .NET, Java and some other languages.
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What the markets show in the moment - a deep plunge due to Italy's elections - is complete madness.
Probably the same people who can think things as
Draghi = savior
now think like
Berlusconi = end of Euro / perhaps antichrist
Certainly Berlusconi and some other clowns in Italy are not serious.
But for sure there are some other people around in foreground as well as in the background who show them which way they have to go.
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Mario Draghi has had such an impact on the Euro .....
... (he) has come to pass as a signal for forex traders to initiate positions on the Euro and its related currency pairs depending on whether his remarks and attitude be hawkish or dovish. He stressed the resurgence of the Euro and it soared a couple of weeks back and then he talked extensively about the need to prevent the Euro from rising too high and it hit some record lows.
This whole thing about Euro crisis is highly overdone.
Perhaps you might take the time and look for a second at this chart:
There you might notice that 2002 Euro started to rise and then at 2008 it switched to a ranging behavior.
If you want to see what "crisis" means take a look at S&P 500 in the same timeframe which is also plotted in the chart for comparison.
You will also notice that from 2008 on there were several rebounces of Euro from support completely without any Draghi.
The Euro crisis is in my view mainly a product of the media.
Certainly Greece is toast. Spain, Italy and France are in heavy trouble.
(But then England is in trouble, USA is in trouble....)
But that does not at all mean that the Euro has to go down beyond a truely significant level (like 1.1800).
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Stocks usually react slower than futures.If that would be true it would be key to a fail safe strategy.
("Buy the stock basket when futures go up and vice versa for down."
Needless to say it does not work this way.
Can never be sure if futures are leading or lagging.
Mostly today the delay is anyway in a sub second timeframe.)
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And I do not have to pay commission, but I actually EARN CREDIT for 95% of my Entries and Exits through adding liquidity to their ECN.Thanks. Interesting.
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Referring to the first post in this thread:
Getting profitable with one lot is proving difficult, as I expected it to be. Nevertheless I'll keep staring at the DOM until it starts to make sense to me.May I ask what the outcome of this endeavour is so far?
Does it pay out?
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This thread is almost three years out of date and I wondered if some of you clever guys could update it with your thoughts please as correlations can change over time.Everything I stated three years before in this thread still is holding true.
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I thought it was about time that I did whatI’m asking others to do, and put forward some actual figures to support
my claims about the inadequacies of profitable scale-out strategies. So
here are the results of testing a simple stop-and-reverse day-trading
system, with various dollar profit exit methods.
The system sells when a 3 period moving average crosses above a 30
period moving average, and buys when a 3 period moving average crosses
below a 30 period moving average (ie it ‘fades’ the MA crossover). It
always trades 2 contracts, and it always uses a 4 point per contract
stop-loss. The back-tests all use the @ES e-mini futures contract over a
5 year period. 30 minute bars were used. No commission or slippage has
been deducted.
IMPORTANT: The profitability of this system is almost entirely due to
the fact that the MA length parameters have been heavily optimised. It
is used here as an example. Unless you want your broker to fall in love
with you, please do not attempt to use it in live trading or you will
most likely lose money. In the 4 months following the back-test period
this system has consistently lost money.
Here is the performance when we scale out of one contract for a 2 point
profit, and the other for a 4 point profit:
Total Net Profit: $60,925
Profit Factor: 1.17
Percentage Profitable: 58.7%
If anyone wants to see equity curves etc then let me know and I will
upload them.
Next are the results of scaling out of the first contract for a 4 point
profit, and the second contract for a 6 point profit:
Total Net Profit: $79,812
Profit Factor: 1.16
Percentage Profitable: 57.93%
Finally, we have the results of simply exiting both contracts for a 4
point profit – in other words, not scaling out at all:
Total Net Profit: $166,800
Profit Factor: 1.23
Percentage Profitable: 65.48%
I would like to point out that the ‘un-scaled’ 4 points per contract
profit target is not the optimum target (this would have been 7 points
per contract, which goes some way to explaining why the 6 point late
scale-out fared better than the 2 point early scale out).
This is why I think Tim Racette's advice in this thread to scale out is
poor - I believe that you will find that what you see above repeats
itself in pretty similar form for any strategy. And before anybody
starts quoting Karl Popper’s falsification principle at me, I am fully
aware that I can produce dozens of examples to support my argument, but
that it only takes one counter example to discredit it. . .
First this is not a mathematical proof (as you requested it from
others), just showing some numbers from an example.
The result of the example is in favor of the "exit all" strategy.
This is simply achieved by the parameters chosen (far from showing a
general rule or giving a proof):
I would like to point out that the‘un-scaled’ 4 points per contract profit target is not the optimum
target (this would have been 7 points per contract.
So it is just logical that in an example where the optimum target is 7
points "scaling out" before target 7 points is inferior to "exit all" (as rluc99 understood).
In other words: An example was chosen where the parameters were in favor of the strategy proposed (exit all).
If one is not trading (or producing an example) in hindsight it's more like this:
1. The probality of finding a strategy that is good for just a few points is much higher than to find a strategy that is good for many points.
2. Trader enters (say with 3 contracts) when such a small target strategy that he found gives a signal
3. Trader exits 1 contract when small target reached, leaves 2 contracts, moves stop loss to break even
4. Trader lets the remaining contracts run and exits by some discretionary rules (e.g. exit 1 contract at noon, exit remaining last contract previous to close of the day....). He doesn't know where price will be by this time but once in a while he will hit a homerun.
That's trading without assuming one can "predict" something.
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... I receive my data through eSignal, not IB. Because of that lag IB has on retrieving quotes (especially volume) I was forced to subscribe eSignal data service.Never heard or have seen such a lag.
IB feed is much better than people think.
Usually it shows no lag even in high volatility times.
Btw the often read commonplace that IB sends one quote 3-4 times every second is not true.
Actually the feed adapts to market action and can send data much more frequently.
Everyone who cares to write a program to interface directly to their API can see this.
Surely IB is not suited for bid/ask studies. (But then their use is disputable.)
(I am not affiliated with IB and see many things on their platform quite critical.
This post is only to allow you to save money)
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How do you determine where the trend will reverse?How do you let the winners run if you are trading against the trend?
Why when you are trading against the trend as it so profitable would you cut and reverse?
Basically - Why make it so hard for yourself trading against the trend, if you rarely have any losers using the appropriate method, why not make it easier for yourself and use the same techniques trading with the trend?
It's all about finding the soft spots:
Where are the points that have a high probability that price does either
turn against current direction or continue?
But no matter which direction it goes it should do it for some time and shall not return before it makes at least some significant move.
Hit such a soft spot this morning at 01:58 EST in EUR/USD.
So far +110 pips.
I never know when price will reverse.
There are only high probability turning/continuation points.
At some point usually I get it right and jump on the train.
(Btw it's not hard - just try and error. But error with small penalty. )
Going with the trend is much more unprecise in my approach.
It is more that I always let a small portion of the position stay over longer time frames (up to 10 days) and sometimes this results in a nice surprise.
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The markets are always trending.Just true.
Means: There are always big orders being worked.
When there are only small orders price isn't moving / there is no volume.
IMPORTANT TRADING RULES:1) We never get long or buy in a downtrending market.
2) We never sell or go short in an uptrending market.
Maybe true for some ways to trade.
The way I found most profitable is just opposite:
- In an uptrend set your short entry at the price where trend may reverse.
- If price moves against you immediately (which happens rarely if using appropriate method) reverse trade (to long)
- If price moves into green move stop loss to break even (never let winner turn into looser)
- Let winners run
This usually takes 2-3 tries until you succesfully jumped into the (new) trend.
Vice versa for downtrend.
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Some ideas, don't know if they could help:
- 5 min timeframe
In my view time based charts are not really helpful.
The timeframe is always chosen arbitrarily and bigger timeframes can lead to jumping into a move quite late.
Alternatives are volume based charts or just to look at pure ticks.
- Disconnect from quote feed provider / holes in data
I recorded many days of tick data from different data providers while constantly checking data integrity.
Sure there are sometimes holes in the data with every provider. But they occur quite infrequently.
Approaches like checking old (historical) data with other people probably will not lead too far because they cannot really establish confidence in future data integrity ("Past Performance Doesn’t Predict Future Results").
A suggestion for monitoring the data stream:
Subscribe to different symbols (some that show high liquidity / activity) that are not too strongly related. If the "price pause" occurs for multiple symbols at the same time there is a high chance of connection problems. Therefore the signal should be discarded.
If the pause is only for your target symbol not for the others it might be a valid pause.
For example if you want to watch YM, might choose CL and ZN to give this additional information.
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Now, how do I 'compute' say the Open for the 60 x 5-second bars (the 5-minute bar)?Now you got me on the one I didn't explain.
Fortunately this is the easiest:
Open is just the Open of the first bar.
Close is of cause the Close of the last bar.
(Low is minimum of all Lows, High is maximum of all Highs).
If it's still not clear you can post your worksheet and I can see if I can do something.
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If you know how to do things in Excel just take chunks of 36 (=3x12) realtime bars to produce 3 minute bars resp. 60 (=5x12) for 5 minute bars.
Compute for these chunks e.g. Mininum resulting in Low, Maximum resulting in High and so forth.
Same way as it would be done in a proper programming language.
Here comes the free additional hint that probably nobody wants to hear:
- IB's realtime data is much better than what people usually say. Bars not needed.
- Aggregating data (building chunks of longer timeframes) should be absolutely avoided. It results in loosing important information
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I don't get it. Here we have IB posting a number of Bid with their corresponding Bid Sizes, which are overwhelming the the buyers at the ask but the price still skyrockets up....How comes that you suppose that price going up or down is connected to the inside bid/ask size?
(If though this statement appears unrelated to my original question, it all the same makes me think that IB's T&S is crap)Obviously the phenomenon observed says nothing about the quality of a feed.
It is something that can be seen quite frequently.
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I submit to you and others that there is very little that is "obvious" when it comes to trading the markets.Be careful how you throw that word around in your comments.
Funny remark given that you are posting things like this:
[big funds...] They have expectation of increasing prices and they are hedging their bets with puts.which doesn't seem very prudent to me.
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If there are more puts than calls, hedge funds are protecting long positions. So I guess that means that they are expecting prices to go up. Or does that mean they are worried prices will go down? So should I expect prices to go up or down?You are right with being confused.
It is not straightforward.
Big funds will obviously not buy puts if they think price knows only up as direction.
They will buy puts if they feel some fear that prices might go down.
And if the prices for protection seem to be ok (look at the premiums in the moment).
And .....
Also consider that there are other ways of protecting for downside risk (like going short futures).
And then there all kinds of complex option strategies like calendars, straddle ...
It once agains sums up: put/call ratio is not really an easy to handle tool.
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...I'm wondering if any of you look at options to help determine where price is going. What do you look at?Could have a look at this:
There's a guy who publishes the situation and his calls on a regular basis (before expiry).
He also explains pretty much of his reasoning.
You can judge on your own how reliable it is.
(My impression: Not very reliable)
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I've been looking at the "time & sales" for the YM during the New York night session, and I'm wondering if there is enough volume to trade the YM during the beginning of the London session?So what did you see?
Enough volume?
If you don't think it's enough you might as well trade NQ, FTSE-100, CAC or ESTX50 (which also don't move too fast and in sync with each other).
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Was yesterday's S&P 500 intraday session one of the tightest ever on a day that happened to also be well above its ATR? In looking at the ES, I don't see a pullback greater than 3 points.My guess (of course can't show hard evidence for it):
Big boys got some new algos that keep pullbacks at a minimum.
You can see this across many timeframes and all major futures.
And the occurence of such patterns definitively increased in the last month or so.
It would make some sense:
Reducing pullbacks means also reducing the possibility for competitors to enter into a move with low risk.
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@parliament718
Obviously you are making serious efforts to dig deeper.
Unfortunately most people shy away from bigger efforts.
Certainly there are many ways to make money in the markets but it seems quite straightforward that in order to find more subtle edges you need specialized instruments.
C# is a good tool for that.
Regarding continous real time data collection (not simulated), the role of socket programming & FIX, and if those external libraries have their own individual limitations. I'm not looking for an easy, temporary solution which will pose limitations for me when i enter a quantitative finance program in school where I will eventually be programming more complex mathematical models. I will check out ninjascript sincee its based on c# thank you for that advice but can somebody please elaborate on any more of my questions?- real time data collection
Write all the real time data you can get into files (plain binary format).
One file for one day.
At some point in time you will need it.
- socket programming & FIX
To interface to retail brokers you will have to write programs that connect to their proprietary APIs.
You wont have to bother about socket programming.
FIX isn't needed for retail (only institutional).
- limitations of libraries
Not sure what you mean. Please specify if further information needed.
I'm not looking for an easy, temporary solution which will pose limitationsThat's a very good idea.
Following the advice given before in this thread (limiting oneself to NinjaTrader / NinjaScript) is not compatible with this idea.
Writing programs for a trading platform like Ninja means to exclude a whole universe of possibilities and introduce many limitations.
Therefore:
Writing programs for broker APIs (as you apparently planned in the first place) is the way to go.
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There is also a new style of candlestick which incorporates various inputs (price, order flow, order book resistance, price positioning) into the price candlesticks - PROX BarsDo you have a link please?
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Mentioned TradeBlogs to Datelist of top trading blogs like this one in Google
http://www.amazon.com/Professional-D...9495109&sr=1-1
....
Simplicity in Trading
Scalp And Swing
...
Here's a quote from "Scalp And Swing":
My Last Post For A While : Disconnected
Another max+slippage daily loser (smaller than yesterday). Feel disconnected with the crude oil. I have headache, confused, dozens stopped out,
Another one:
Farewell to all my friends
I never good on trading, never will.
@JimMM
It's really not helpful to post references to such junk blogs.
Please post only information that can be of help.
Everyone knows how to google for a blog.
If you send people off to visit such blogs you are stealing their time
and they will probably ignore your postings in the future.
Making a Living Off of Trading 1 Contract a Week
in Futures
Posted
You gave the answer in the question:
Reason is news in Europe
(in this case it just meant no bad news from Italy or Cyprus.)