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UrmaBlume
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Posts posted by UrmaBlume
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Hi all,I'm new to using software (excel) to perform my own data analysis and haven't a clue where to start, or even search for information regarding it. Definitely not new to trading however.What I'm looking to do is get the 1 min open/close/hi/low and volume of any given stock and download it to excel for my own analysis.I would like to get at least a months worth of 1 min data. Do I need to purchase a data feed for this or can I find it free? What do you recommend? Also, are there any intermediary programs needed?Thanks for getting me started on this, much appreciative.TradeStation 9.0 has a utility that makes it easy to export any data or studies/indicators on any data to Excel. The platform comes with decades of 1 minute data on both stocks and futures.
UB
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Hello,I tested my strategy with two emini (ESH11 and ESZ10) for 150 days back, but the result was so different on the same month. I was down about $1100 in Oct on ESZ10, but only down $15 on ESH11 in Oct. I am thinking TradeStation couldn't let you download historical data for too far. The test result is not accurate if you do that. Has anyone expericed this before? Thanks
There is not 150 days of useful data for any single contract. Use the continuous/perpetual symbol @ES.
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UrmaBlume, I have several neural net programs that I would like to run your data on. Would you be willing post your data from your indicators and charts to do some testing on?Thank you for the consideration.
We also have several neural network development tools but find that we often get better results from MARS (Multivariate Adaptive Regression Splines) from Salford Systems.
If you will refer to this thread on the Practical Application of Intelligent Agents and several others I have written on this subject you will note the value we place on preprocessing.
As to sharing our data - It wouldn't do you much good without the code for the preprocessing algorithms that produced it. Also it is the preprocessing that is the primary key to success in any such modeling endeavor and ours is proprietary.
You will find many clues to the types of inputs we use from my threads on this board but as to the work of preprocessing that will have to be up to you.
Running the data through the neural networks and building the algorithm is the easy party. What separates the models that work and those that don't is the preprocessing before and the optimizations and rules generation after.
good luck
UB
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I just within the last few days started getting tons of data disconnects. If this keeps up I won't be able to run TS on auto. Problem seems to be on TS's end, disconnecting all the time. For a company who's "claim to fame is auto trading this is a real disappointment and something they should have worked out a long time ago. i'm pissed.The problem is NOT w/TS. It is with your setup.
It can be that your firewall and anti virus software have not been set to not scan and allow the proper TS .exe files. It can be a slow machine or most probably it is a connection issue.
I run as many as 8 different workstations all running different TS accounts. They are all quad core chips w/8 gigs of ram and with 1 cable connection at 50 mps and one 5 mps dsl connections ported through a load sharing router and get nor than a couple disconnects per month, and sometimes none.
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I normally play on PokerStars but this weekend I opened an account at Full Tilt to test their new Rush Poker.
In a fast online game you will get around 70 hands per hour. In rush poker you get 200 or more hands per hour. They have it set up so that everybody is in that particular game is in a pool and as soon as you fold you are seated at another table and another hand begins.
Besides lots of action, the speed very quickly exposes any weaknesses in your game. As in trading a high number of trades/hands quickly demonstrates a normalized result.
I believe that it is gimmicks like this that allow players to see so many hands in such a short period of time that the 20 somethings that really have it together are able to quickly gain the experience that enables them to beat the old pros so often.
Online poker is the nuts. You can learn in free games or for stakes as low as nickle/dime all the way up to nose-bleed stakes. While I have done some consulting for some of these sites in the past, I have no affiliation with any of them and would be happy to help any TLers get started.
Even though I live in Vegas I only play online because every day there is unlimited money up for grabs, the competition is mostly weaker than in the Vegas cardrooms, you can change games/poker rooms with a click, you can play in as many games and tournaments at the same time as you can handle and you never have to tip the dealer.
cheers
UB
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I got one UB - having been on both sides (poker/trading) - what do you think is the easiest to make it in? I realize that may be relative, but you asked for questions and here's one.If an eager protege came up to you and said teach me, your choice, where do you start? And why?
In the markets there is no ante or rake until you have a hand you want to play - in other words no cost to wait for best possible starting hand.
When you get the best possible starting hand in poker the other players can fold - in the markets - all market orders are filled.
When you have the best hand you can raise, can even raise yourself with more market orders and your opponent can never fold and must always call. Not so in poker.
With stops you never lose the whole pot, can protect gains and not so in poker.
Maybe best of all is that if you go to the Bellagio to play it takes a certain level of skill to beat the $1 - $2 game but it takes another whole level of skill to beat the $1,000 - $2,000 game but in very liquid markets like ES the skill required to bet the market with a 2 lot can beat it with a 100 lot.
While rates of success for both are about the same, in the markets your opponent can never fold, never bet and never raise you - in poker your opponent can do all of that including bluffs.
In poker it is really tough to find/play the really big games but in the markets - any size you want is available 24/7 to anybody who cares to step up.
Both are great opportunities because anybody can play for almost any stakes and you don't need a license, permission or be member of a club to play either.
One aspect of online poker that resembles the markets is that if your size/frequency is big enough you can, through rebates, make a lot of money even if your play is only break-even.
For our traders we teach both and are not much interested in those who don't enjoy the challenges of both.
All of our trader enjoy and play both. As I have been outed as the author and the cover posted elsewhere in this forum you can see on the back cover of my book how we value poker skills in our traders.
Browns - the short answer to your question is that I think the markets are easier than poker, I wouldn't teach the protoge either, I would teach both because the skills of each compliment the other.
cheers
UrmaBlume
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haha. Makes sense when you think about it. I guess like traders, the biggest and best dont want to go anywhere near the TV or media in general.You got it. And with traders it is even more so. So many have their funds based offshore and that's not just because of lower or no taxes.
For some poker players the media attention can offer them great leverage whereas the reverse is often true for a certain type of trading.
Do you play and what is your game and venue of choice? Even though I live in Vegas I only play online and play mostly PL Omaha H/L.
UrmaBlume
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Can I wear sunglasses when I trade like those fat mugs who play poker on TV?Sure you can, but if you look a little closer you will find that the best of them, the biggest winners, never wear sunglasses, the same for traders.
UrmaBlume
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There are so many apt comparisons between poker and trading that as a long time poker player, consultant to online poker sites, published poker author, software developer and manager/director of a small trading fund, I would like to start a discussion and answer any questions I can on poker as it relates to trading as well as poker in general.
Today's online poker sites offer so many deals/rakebacks & specials that smart, hard working, competent players can make six figures a year just by breaking even in their play. Kind of like the volume rebates given high frequency traders - they can break even on the trades and still make a killing.
cheers
UB
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I'm building a new trading computer and all my trading programs are available in a 64/bit version. The closer I get to D-day the more I fear this change over. My question is, if I install a fresh new 64 bit OS and reinstall all my programs in their 64 bit versions, will I have to re-enter ALL the parameters to ALL my indicators ?? I'm aware of the XP mode in Windows 7 pro but I really want to "try" to run everything in 64 bit in this new box. Any experiences making the switch ?We recently made such a switch. We switched on several older machines and started with Windows 7 - 64 bit on several new machines.
For us there has been no difficulty as all of our manual trading is done in TradeStation and it has a backup feature that will allow you to back up everything, install the TS software anew and then when you restore all of your indicators, screens and code modules are there - but TradeStation is 32 bit.
Our other code is mostly hard coded into exe files so there was no issue there.
While I did indeed really like XP Pro - bigger, faster and the ability to use more ram won out.
cheers
UB
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Hi all :)I began trading recently as trainee. I was trying to make some plan for me on how to choose a stock and how to create rules. I include fundamental analysis (such as following news, market announcements, industrial news and business frames, financial statements analysis etc.) and technical analysis as well.Sometimes I just don’t see any confirmation of received information. Sometimes I just feel lost and don’t understand what is going on :crap:People around me keep telling that it’s just a sort of gambling. As I don’t like gambling at all I feel lost even more.
Can anybody please help me with this point?
If you start a new business there is risk so you are taking a gamble. If you start a new relationship there is an emotional risk so it is emotional gambling. For a scientist to put forth a new concept he gambles with his reputation.
This applies all the way down to what we chose for dinner. Without risk, gambling, there is not much life for anyone.
"Information = Equity"
The great mitigators of any gamble are understanding and learning. In your case you are a beginner with not much understanding of either the markets or how to trade them so your risk is huge in a world where less than 5% know success - you are taking a bigger gamble than someone who is both knowledgeable and experienced.
Learn more and risk less. Learn nothing, risk nothing and you might as well stop breathing.
UB
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1) Trades that occur inside the spread2) Trades that occur above the best Ask
3) Trades that occur below best Bid.
I think BlowFish is asking for the best Bid/Ask to note where the last trade was filled.
In ES and other very liquid markets where the spread is 1 tick #1, #2 & #3 happen some small fraction of 1% of trades. IMHO as useless as tick bars.
UB
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Hey UB, do you know if they plan to offer historical best bid / best ask data (or at least flag trades that occurred at BB/BA)?I don't undersand. Doesn't every trade take place at either the best bid or best asked? What trade doesn't take place at either the top bid or bottom asked?
UB
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Am I the only one who understands (misunderstands?) what you are asking for?You don't want just ordinary tick data, you want price change data? I don't know of any company that provides this sort of information. You would have to capture it or figure it out for yourself, but I could be wrong. There may be some company that does this even though I think it's utterly useless data, although you must obviously have a need for it.
I too think tick bars are entirely useless as they treat each transaction with equal weight regardless of whether it is for 1 contract or 1,000
However, I think he wants tick bar information, but no matter as the tick data from TS can be combined/downloaded/charted in almost any combination of formats; ticks/time and sales, tick bars, volume bars, range/tick bars, range/volume bars. These formats can include almost any combination of ticks, volume, price data or price range data.
UrmaBlume
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UB please do not mind. But honestly, that sounds too good to be true.All it will take is a check of the website:
Also they maintain continuous/perpetual data for most futures contracts even at the tick level of granularity.
Try getting 6 mos futures continuous tick data from any other data service or 10+ years of 1 minute futures, index or stock data. It comes with the platform all you have to do is add exchange fees.
Over 18 years of domestic intraday Equities data.
Up to six months of tick, intraday and daily Options data
Over 27 years of domestic intraday Futures data
Over 6 years of intraday Forex data
Over 9 years of Eurex Futures and Index Data
Over 5 years of German Stock Data
cheers
UrmaBlume
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Index futures and stocksso index tick volume or future contracts tick volume would be helpful
so far my only option is to sum the tick data
tick data isn't widely available or cheap
You can get six months tick data in any format including; tick charts, tick bars, volume bars plust time and sales for any symbol with a basic subscription to TradeStation.
Almost none of the other data sources provide more than a few weeks of historical tick data.
TradeStation basic subscription comes with 6 mos tick data and 20 or more years for 1 minute data and up - plus exchange fees.
With the new TS 9.0 and the millisecond time stamp it is rumored that they will maintain a 1 yr tick data base available to all subscribers.
cheers
UB
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Hi And what are those orders on Easylanguage?They are not so much about easy language per se as they are objects and properties in the new tool box in TS 9.0. Of the tools/objects of interest here are accounts providers, position providers and order providers.
Coupled with the price series providers (PSPs) they make a powerful set of tools for automating trading strategies.
cheers
UB
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OK, I've tried to state my problem in a easy way. I can't switch it.The real think I want to do is pair trading, executing orders on data1 and data2 at once.
For example buy data1 and sellshort data2.
I know how to execute orders on data1, now I just need to know how to execute on data2
TradeStation 9.0 has smart order objects that will let you issues orders not only to any instrument but to any account that you are linked to and do it from any chart on any market in any time frame.
cheers
UB
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For us NNs are usually not enough to do the whole job.
The most effective models we have built come from a cascade of technologies. An example of such a cascade would be a model developed by first optimizing input preprocessing and input selection with genetic algorithms.
Then input data is used to develop a model using technologies that develop their models through what is called feed back mathematics, machine learning. Neural Networks and certain regression packages are used for this phase. Genetic algorithms can be used in this process to select and optimize such parameters and the number of nodes in middle layers of NNs and the transfer fuctions that weigh and pass the data between them. Our most used inter-nodal transfer function is the long-tailed sigmoid.
After the model is developed its output can be further optimized using decision trees or rules generators.
This site is a good place to find articles on and vedors of such tools. Every year that have a competition that ranks tools according to class.
For genetic optimizations we have written our own.
For the modeling process we like MARS® (Multivariate Adaptive Regression Splines) from Salford Systems in San Diego. We have built an application that converts the final MARS function to Trade Station's Easy Language so that we can deploy these models so that they can make their predictions in real time with just a cut and paste.
For rules generation we use CART, again from Salford Systems described on their website as "a robust, easy-to-use decision tree that automatically sifts large, complex databases, searching for and isolating significant patterns and relationships." We also use WizWhy from WizSoft. WizWhy cost around $4k and has served us very well.
Our process is described here which is an update and rewrite of this thread here on TL.
Good Luck
UB
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A hosted service has a higher uptime than your clunky home PC and internet connection. The have redundant pipes, power, etc.Some of us have dual pipes/power and don't run PCs at home - so again, why Marlyland and not where the exchange is?
UB
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I run my own fully automated trading system. ......... I run my system in a small co-location facility in Maryland and I pay $150 per month for my co-location service..................I don't get co-location in Maryland - why not where the exchange is? I thought the whole purpose of co-location was to reduce latency?
UB
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One place you's may want to try for food, off the beaten track in Las Vegas is Batista's :Battista's Hole in the Wall - Italian Restaurant - Las Vegas - Home Especially if you like listening to an accordion player while you are eating
erieIMHO Battistas = dump, food ng, ripoff - for great Italian and old time Las Vegas service check out the Bootlegger way south on the stip, near Blue Diamond.
The Bootlegger Bistro Las Vegas | Authentic Italian Restaurant | Home
cheers
UrmaBlume
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Steve,
By all means please send a copy to Kiwi - I would love to hear his opinion of your work.
For me, I thank you for the kind offer of volume II and I will PM you my address with the caution that I believe that I fully understand your approach and believe that what you consider to be so ground-breaking is already being done by many and being done with greater efficacy by other methods.
One of the tools we use to determine the condition of the market is shown below. It gives me net commercial buying and selling, the local velocity of trade, commercial cash being commited to the market, the time of day normalized percentage of normal balance/imbalance of trade, market bias in 7 time frames and specific buy, sell, scalp and stop prices in those same 7 time frames. This shot was taken during this early morning sell off. This app is not for sale or lease and is shown as an example of how some other operators do the same thing your method attempts. We wrote this app in C++, it receives its data via dll and is updated every tick.
UrmaBlume
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this is the most UNPROFESSIONAL promotion I have ever seen.all the BS without any substantiation.it is only a matter of time before the authority finds out and put a stop to this.Looks to me like this guy has paid to have three of these published, 2 on the markets and 1 on golf. He has had to pay to get all 3 published and Amazon doesn't seem to want to stock even a few of them.
I would imagine that this is heartbreaking for an author who has put in a lot of heart and in this case money too. But I would think that by now that he should be getting a clue about how low level his approach, his writing and his promotion efforts are perceived by the market.
Steve - again all of this is just my opinion but if after 2 or 3 books you can't find a real publsher, maybe the market is telling you something.
UrmaBlume
Ask Me About Poker
in General Discussion
Posted
Successful Rush Poker players have developed algorithms/systems for successful play to the point where they play rush very selectively and very aggressively. They base their actions on their cards and the actions of their opponents.
As to multi-tabling Rush Poker, Yes the best play 4 Rush tables all day long - getting as many as 800 hands per hour. Rush Poker is to poker as High Frequency Trading (HFT) is to the markets except that the volume rebate is higher in poker than it is in the markets because in poker you collect rake back for every hand even if you commit nothing to the pot.
In poker with an account the same size as what would make a minimal starting account for a beginning futures trader, a very successful player can earn low six figures a year even if he only breaks even in his play from rake back and other rewards for high volume play.
The best of these guys sit in front on multi-monitor setups and play in as many as 4 Rush Tables or more than 20 standard tables. If a future trader breaks even in his trades he is still down commission. If these poker players play enough hands and break even in their play they still take home a couple of hundred thousand dollars per year.
I have done some consulting for one of the biggest online sites and have written a successful book on the odds, probabilities and advanced game theory in Holdem and Omaha H/L and have learned that about the same percentage of players succeed in poker as succeed in futures trading and that the characteristics of methods and understanding are much the same for both groups.
One point that makes the markets harder for the uninitiated is that it is harder to calculate both pot odds and implied odds and one point that makes trading a lot easier is that when you have a great hand there is always someone to call your bet no matter how large.
In poker if you make a huge hand and place an all-in (market order) bet, you only win money if someone calls. In the market if you hold the nuts and make a market order you will always be called.
Information = Equity
Another big difference is that the money earned by the most successful poker players including endorsement, books, etc., is chump change compared to what is earned by the most successful traders.
There are more than a few successful traders that play successful poker but very few successful poker players that have migrated to the markets. I think the best new hire for a trading operation with stronger than average trade decision support technologies is a successful poker player, unafraid of technology and willing to learn and who has never traded anything.
cheers
UrmaBlume