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by axe
May 3rd, 2012, 4:44 pm
Forum: Trading Forum
Topic: Most liquid (non-US) Indexes
Replies: 4
Views: 13905

Most liquid (non-US) Indexes

Thanks Hansi. Sorry, my criteria actually is daily average $ volume traded, so I guess index futures might be more appropriate, I will look it up.
by axe
May 3rd, 2012, 3:56 pm
Forum: Trading Forum
Topic: Most liquid (non-US) Indexes
Replies: 4
Views: 13905

Most liquid (non-US) Indexes

Thanks acastaldo. Could you please suggest what instruments are most preferred (liquidity as criteria) to trade in these. Thanks.
by axe
May 3rd, 2012, 1:12 pm
Forum: Trading Forum
Topic: Most liquid (non-US) Indexes
Replies: 4
Views: 13905

Most liquid (non-US) Indexes

Hi,I was wondering which are the most actively traded non-US index's instruments. For example, KOSPI 200 i think is very liquid.Thanks in advance.
by axe
April 16th, 2012, 4:20 pm
Forum: Trading Forum
Topic: Guaranteed vwap for smaller order sizes
Replies: 1
Views: 14427

Guaranteed vwap for smaller order sizes

<t>I have seen many brokers require minimum order size for vwap based orders. I was wondering how could one get a guaranteed vwap for smaller order sizes. Are there any brokers who provide such a service. I am trying to do this in futures markets, since the contracts are huge ($$) I cannot trade lar...
by axe
March 15th, 2012, 2:00 pm
Forum: Programming and Software Forum
Topic: Reuter's slow datafeed in Matlab
Replies: 5
Views: 51130

Reuter's slow datafeed in Matlab

Wondering, how is the Reuters datafeed for Matlab these days. I heard there are other vendors too. Trying to find the best one for real time feed into Matlab.Thanks in advance.
by axe
December 19th, 2011, 7:00 pm
Forum: Programming and Software Forum
Topic: Capturing Live Tick Data
Replies: 2
Views: 16905

Capturing Live Tick Data

Thank you
by axe
December 16th, 2011, 7:41 pm
Forum: Programming and Software Forum
Topic: Capturing Live Tick Data
Replies: 2
Views: 16905

Capturing Live Tick Data

<t>Hi,I am searching for a software that can help capture tick data. I want to avoid purchasing a database software like OneTick, Vhayu etc which do both capturing and databasing the data very well. But, these all seem to be priced 100k+. Is there a software in the market that enables to capture liv...
by axe
June 29th, 2011, 10:38 pm
Forum: Trading Forum
Topic: Estimating Capacity- Trading Strategy
Replies: 4
Views: 20669

Estimating Capacity- Trading Strategy

Thank you skip!
by axe
June 28th, 2011, 5:59 pm
Forum: Trading Forum
Topic: Estimating Capacity- Trading Strategy
Replies: 4
Views: 20669

Estimating Capacity- Trading Strategy

Thanks skip. I was wondering as my orders would basically be MOO and MOC, is it possible to make some crude approximations for capacity based on recent volumes. Is there a quick dirty way. Thanks.
by axe
June 27th, 2011, 12:49 pm
Forum: Trading Forum
Topic: Estimating Capacity- Trading Strategy
Replies: 4
Views: 20669

Estimating Capacity- Trading Strategy

<t>Hi,I am working on a research topic and am considering a strategy which is buy (sell) open and sell (close) for SPY. What aspects should I be considering while trying to estimate the capacity of this strategy (just on NYSE). What could be a good way to approximate the capacity.Thanks in advance. ...
by axe
June 27th, 2011, 2:46 am
Forum: Technical Forum
Topic: Estimating Capacity- Trading Strategy
Replies: 0
Views: 18287

Estimating Capacity- Trading Strategy

deleted
by axe
June 15th, 2011, 9:34 pm
Forum: Trading Forum
Topic: Calculating Sharpe Ratio - Not trading everyday
Replies: 17
Views: 24067

Calculating Sharpe Ratio - Not trading everyday

Thanks a lot everybody.
by axe
June 10th, 2011, 9:43 pm
Forum: Trading Forum
Topic: Calculating Sharpe Ratio - Not trading everyday
Replies: 17
Views: 24067

Calculating Sharpe Ratio - Not trading everyday

<t>crmorcom, your explanation is very good, I think now I have a much better understanding of Sharpe ratio, thanks everyone for your comments! Sorry to diverge from the thread, I was wondering what would be a good Sharpe ratio for equities based strategies. If we break down strategies into three- (1...
by axe
June 9th, 2011, 2:55 am
Forum: Trading Forum
Topic: Calculating Sharpe Ratio - Not trading everyday
Replies: 17
Views: 24067

Calculating Sharpe Ratio - Not trading everyday

<t>Thanks Marine, I don't carry positions overnight, just buy (sell) MOO and sell (buy) MOC. I base my decision to trade on a day or not depending on the strength (> some threshold) of my signals.I found an old thread on this board, and felt the following argument was quite compelling for not includ...
by axe
May 28th, 2011, 4:23 pm
Forum: Trading Forum
Topic: Calculating Sharpe Ratio - Not trading everyday
Replies: 17
Views: 24067

Calculating Sharpe Ratio - Not trading everyday

Got it. Thanks a lot!
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