Search found 83 matches

by 7432
Thu Jul 29, 2010 10:53 am
Forum: Futures Markets
Topic: Rough Rice and Interactive Brokers
Replies: 5
Views: 2875

IB actually has decent service lately, try the chat or message center. but a better way is to use the cme's website to adjust your futures dictionary, then test the orders with IB's paper trading thing. which kind of sounds like what you are doing. cme says the tick size is 1/2 cent, so my previous ...
by 7432
Thu Jul 29, 2010 8:59 am
Forum: Futures Markets
Topic: Rough Rice and Interactive Brokers
Replies: 5
Views: 2875

the last digit seems to be your problem.
try xxx5 rather than xxx6.
by 7432
Fri Jun 25, 2010 8:47 am
Forum: Futures Markets
Topic: CSI Mini Dow Error
Replies: 2
Views: 2041

I remember something about a contract change for the mini dow, but not specifics.
I adjusted the 'date range' in csi to start spring of 2002 so as to get rid of the problem.
by 7432
Fri Jun 04, 2010 9:55 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6320

some people refer to what techtrader89 has written as the 'wrong way' as data burning. a very serious issue for a one person trading operation. once you've tested out of sample its tough to go back to testing in sample with out knowing what happened out of sample and adjusting your testing. in fact ...
by 7432
Tue Jun 01, 2010 10:00 am
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6320

I can think of at least 2 dozen extremely curve fit parameter sets for a trading system that I've used and people I know still use for trading different markets. the sets are curve fit to specific markets, time periods, price, volume, season.... the big issue is directly related to sluggo's post of ...
by 7432
Fri May 14, 2010 10:20 am
Forum: Brokers
Topic: What brokerage company do you use?
Replies: 10
Views: 6948

IB has improved dramatically. 2 years ago if you made a mistake and traded a contract that expired shortly or was too close to first notice day for IB's taste your position would be liquidated and you would be informed the next day. currently a window pops up before you confirm the order letting you...
by 7432
Mon Apr 26, 2010 9:27 am
Forum: Testing and Simulation
Topic: How did you go about picking rollover timing triggers?
Replies: 40
Views: 20786

here is an IB info page that dictates their customers' contract rolls.
some of your work can be simplified by finding a broker and finding out what their rules are.
by 7432
Sat Apr 24, 2010 3:46 pm
Forum: Stocks
Topic: Stocks with necklines.
Replies: 3
Views: 4425

lots of websites out there now that will screen patterns for you. leapfrog posted the link to the finviz.com website some time ago referencing their heat map. they also have a nice stock screener for some technical patterns http://www.finviz.com/screener.ashx?v=111&s=ta_p_headandshoulders autocharti...
by 7432
Wed Apr 14, 2010 10:11 am
Forum: Stocks
Topic: Do I need to pay capital gains tax?
Replies: 4
Views: 3762

are there individual investors that aren't income tax sensitive? anyway, important topic and worth paying a tax lawyer to explain the issues to you. for stocks, you can claim mark to market status with the irs and pay taxes on your monthly statement gains and losses. or you can leave it as is and pa...
by 7432
Mon Mar 29, 2010 2:57 pm
Forum: Data Providers and other non testing software
Topic: Rougth Rice Roll
Replies: 5
Views: 2872

you could also test out the confirmation signals for low volume contracts. rolling on the 2nd 3rd or 4th consecutive trigger can fix a data error that causes an unwanted roll.
by 7432
Tue Mar 02, 2010 1:08 pm
Forum: Futures Markets
Topic: CSI symbols MW, MW1, MW2 confusion
Replies: 3
Views: 2200

for the benefit of customers csi has broken up the data into the mw, mw1 and mw2. this way you could compare electronic vs pit trading data. but red winter wheat futures are all electronic now as are lots of other markets. so while there is no difference for mar10, there would be a difference for pa...
by 7432
Sun Feb 21, 2010 8:59 pm
Forum: Futures Markets
Topic: How to get the Futures interest rate on different month?
Replies: 3
Views: 1853

my guess(on how they know the probability) is that the nov fed funds is trading one interest rate hike higher than say march fed funds.
http://www.cmegroup.com/trading/interes ... -fund.html
by 7432
Sat Feb 20, 2010 3:05 pm
Forum: Futures Markets
Topic: How to get the Futures interest rate on different month?
Replies: 3
Views: 1853

if you are asking about using different interest rates to calculate option values for different expiration months, you don't need to use that particular month's interest rate, but set up more of a term structure for the lengths of the option expirations. if you buy a 6 month out dated option, you wo...
by 7432
Fri Feb 12, 2010 6:15 pm
Forum: Data Providers and other non testing software
Topic: ICE Food & Fiber futures
Replies: 3
Views: 2404

the globex data reflects the (old)NYMEX contracts, which are non liquid contracts from the days when NYMEX and NYBOT were trying to merge. the ICE data, which is listed as NYCE, is the old CSCE and NYCE which merged to form NYBOT and then became NYCE which ICE bought. anyway, sort the markets by nam...
by 7432
Wed Feb 10, 2010 7:47 pm
Forum: Testing and Simulation
Topic: Warning: Potential CSI Data Problem - March Corn Low
Replies: 5
Views: 2231

when checking for correct prices as reported by the CME keep in mind that the daily bulletin is reporting regular trading hours only, so compare the daily bulletin against Corn C or Corn #9, floor only. when you select a commodity, corn, then settlements on CME's webpage it is supposed to reflect a ...
by 7432
Thu Jan 14, 2010 12:10 pm
Forum: Testing and Simulation
Topic: Platform to Trade Foreign Markets
Replies: 11
Views: 4616

thanks AFJ Garner. kianti's post is possibly the reason IB won't let customers acces LME, IB does not seem to like complications. I reposted the 1996 CFTC letter to IB and ask them to have another look. in 1996 the CFTC posted a list of futures markets they approved of, all equity index contracts, b...
by 7432
Tue Jan 12, 2010 10:42 am
Forum: Testing and Simulation
Topic: Platform to Trade Foreign Markets
Replies: 11
Views: 4616

so no answers on the MATIF contracts? ages ago when I cleared Man Int they told me they would trade any contracts for me, even physicals, acting as a sort of bucket shop if an actual futures market didn't exist. AFJ Garner, it would be interesting if you could ask MF if they would let you trade the ...
by 7432
Mon Jan 11, 2010 2:50 pm
Forum: Testing and Simulation
Topic: Platform to Trade Foreign Markets
Replies: 11
Views: 4616

the reason IB won't let you trade those markets is because the CFTC hasn't approved them for US residents. you can get a list of approved non-US markets at the bottom of the IB product listings page. I've tried for years to get a straight answer from the CFTC about how to trade those markets. nobody...
by 7432
Thu Dec 10, 2009 12:02 pm
Forum: Data Providers and other non testing software
Topic: Comparing price data between CSI, Pinnacle and TradeStation
Replies: 3
Views: 2714

interesting. here's eurex data for the 25th, http://www.eurexchange.com/market/statistics/market_statistics/online.html check out volume and OI, pinnacle seems to know a day in advance, TS knows day of, and csi knows volume day of and OI day before. TS looks like it rolled to MAR on the 7th but repo...
by 7432
Tue Nov 10, 2009 1:22 pm
Forum: Testing and Simulation
Topic: CSI and number of markets
Replies: 5
Views: 2660

CSI new price package

I was on CSI's pricing page(am going to try out their correlation studies) and saw a new to me subscription. the deluxe world futures package, about $300 more to upgrade, not only increases the number of markets to 150 from the standard 69 but gives you access to the full history of the database for...