<t>I need help and hopefully someone here can provide it. I’m not a hedge fund nor do I have access to a lot of the technology the big boys have but I have several high frequency trading models that trade both listed and Nasdaq securities. The stocks it trades generally trade anywhere from 500K to 5...

<t>QuoteOriginally posted by: crowlogicI dont know what software you use, but I wrote my own stuff and I can burn thru a few million quotes a day, across 10 symbols, in ~30 minutes on my laptop.QuoteOriginally posted by: Proptraderugggh, I just typed out a mouthful and somehow my browser didn't post...

<t>ugggh, I just typed out a mouthful and somehow my browser didn't post it. 2nd attempt.I am doing some automated trading on equities and currently i test on 3 intervals. 1 min, 15 sec and 1 sec(tick) data. Obviously the amount of processing power and time it takes to test on tick data is much more...

How about using a sniper order or something where you sit on the bid or offer but if the spread collapses you go get it. Isn't that more of the problem not just paying the spread but paying a wide spread. Even in trends the spreads gonna widen and contract so you might focust there.

<r><URL url="http://www.programtrading.com/hlc.htmHas">http://www.programtrading.com/hlc.htmHas</URL> anyone attended one of their seminars or dealt with them? also ran into this while trying to find some info on them: <URL url="http://edgar.sec.gov/litigation/litreleases/lr15489.txt">http://edgar.s...

<t>"First of all, hedging stock against stock by equal dollar weights is incorrect. In fact, you will guarantee failure. "Would you elaborate on that. Many firms are buying a basket of stocks according to their model and shorting futures against that basket. It may not be equal weight but they are o...

What do mean they cancelled it? you mean the odd lot thing or the whole deal.

<r><URL url="http://biz.yahoo.com/prnews/050418/dam087.html?.v=1OKLAHOMA"><LINK_TEXT text="http://biz.yahoo.com/prnews/050418/dam0 ... =1OKLAHOMA">http://biz.yahoo.com/prnews/050418/dam087.html?.v=1OKLAHOMA</LINK_TEXT></URL> CITY, April 18 /PRNewswire-FirstCall/ -- Kerr-McGee Corp. (NYSE: KMG - News...

<t>I have been doing some automated equtiy trading and am finding that Volume isn't always the best measure of liquidity because sometimes the system will get into stocks that might trade 500K shares a day but 1/2 of the volume is always from a couple of big block trades or crosses.Does anyone know ...

I tried to implement the ocean indicator............either i coded it wrong or it didn't work.

<t>Could you elaborate? Thusfar what i've done is netting out 3-4 cents per share most days. If there is a better way to do it I would like to learn. I've started weighting the baskets a little differently based on whether the market is up or down from the open but on days when we trade above then b...

<t>Greetings Quants. Haven't posted her but a few times because most of the discussions are way over my head but I picked up Paul's book ".....Introduces Quantative Finance" and logged intoday for the first time in a while to see if there were any tradable ideas here.Have one of my own that has been...

<t>QuoteOriginally posted by: newquantDoes anybody have insights into what is the best way to test whether an equity trading algorithm would generate realistic returns if implemented in the real world? (I am not looking for what good benchmarks are. For now I compare the returns generated to just ho...

<t>If anyone here is using tradeoptimizer's backtesting and trading platform I would be interested in comparing notes. I have messed around with tradestation, metastock, and esignal over the last year and am FINALLY getting some pretty good trading results. If you don't want to post here, shoot me a...

<r>Guys I have two problems that I need help with. I have built some trading systems that I have automated that would work except they use the opening price in the calculation. What I really need is the true NYSE print but with all the ECN's trading NYSE stocks lately, comstock, hyperfeed and even t...