Search found 392 matches

by RedRock
Mon Jul 19, 2010 8:55 pm
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10282

Starting to become peeved::: no longer simply concerned... Good evening, It is 8:35 PM EST, and I am typing this note instead of processing my daily trades. There has been a disturbing trend recently in the timeliness of your futures data release. The 8PM "good to go" now seems to be coming availabl...
by RedRock
Wed Jul 14, 2010 2:50 pm
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10282

Stevo: Do you have wait for everything in UA itself? If I remember correctly you must have it set via UA for it to impact EZ... If a few markets are missing, could impact equity and sizing for other markets new orders. And lately, its been most all futures data, not just the 800 set and revisions. ...
by RedRock
Wed Jul 14, 2010 2:42 pm
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10282

Upon enquiring last night about yet another late issuance of yesterday's data, the friendly and helpful folks at CSI provided the following response. That's a pretty good answer I think and one I can work with. Thanks for the answer from our horses mouth.. oooooo I suddenly imagine Mr Ed answering ...
by RedRock
Tue Jul 13, 2010 2:59 pm
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10282

Move to the Pacific timezone and finish all your downloading + system trading activities before dinnertime. And feel free to enjoy a glass of locally made wine with your meal, without worrying that it may interfere with your after-dinner trading activities. BTW there's no state income tax (and no g...
by RedRock
Mon Jul 12, 2010 8:51 pm
Forum: Futures Markets
Topic: CSI running l a t e
Replies: 25
Views: 10282

CSI running l a t e

Anyone else notice the 45-60 min delay on the 8:00 est release over the last week of two? Hope this isn't a new trend...

there 8:51 and now downloading tonight.
by RedRock
Sun Jun 20, 2010 1:04 pm
Forum: Futures Markets
Topic: Report casts doubts on new commodity futures rules
Replies: 1
Views: 1603

Report casts doubts on new commodity futures rules

Report casts doubts on new commodity futures rules By Gregory Meyer Published: June 17 2010 11:53 | Last updated: June 17 2010 22:31 There is no evidence that passive investors affect commodities prices, according to a study published by the Organisation for Economic Co-operation and Development, ca...
by RedRock
Wed Jun 16, 2010 1:27 pm
Forum: Brokers
Topic: What brokerage company do you use?
Replies: 10
Views: 6887

Re: Interactive Brokers and FX

Hi, Ive only toyed with forex so cant comment first hand in a meaningful way. I'd suggest taking a demo account and try turning the knobs... The IB API is quite strong, I enter about a hundred orders daily without issues... I believe LeviF on the forum and others specialize in forex and hopefully wi...
by RedRock
Fri May 14, 2010 2:02 am
Forum: Brokers
Topic: What brokerage company do you use?
Replies: 10
Views: 6887

IB still isn't much loved for Customer Service but is solid for everything else (most wouldn't consider their charting to be an important part of their offering and use Ninja, Sierra Chart, or another charting program with TWS). In looking back 10 years I can say that IB has offered superb support ...
by RedRock
Mon May 03, 2010 10:37 pm
Forum: Testing and Simulation
Topic: Editing CSI files
Replies: 5
Views: 2402

HighSierraTrader wrote: After a few days of this, I develop a cut-and-paste approach to speed things up. Since CSI fixes the data I have no further problems.
Thanks for helping clean up the graffiti !
by RedRock
Fri Apr 23, 2010 12:28 am
Forum: Forex
Topic: Where does money go?
Replies: 5
Views: 3838

At this current moment, money goes nowhere, not going to stock market, not going to currency market, not going to CRB market, not going to Bond market, Is CASH the king at this moment? Does anyone have any suggestions? Thanks in advance for any suggestions Eric It goes to washington in higher taxes...
by RedRock
Wed Apr 21, 2010 12:17 pm
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

In moving the O&C around for best profitability, curve fitting dangers surly arise? I understand the desire to locate times of liquidity... If only to define a time to place an order with the best chance of coming close to that synthetic close via tight spreads. Although such times may be different ...
by RedRock
Sun Apr 18, 2010 1:21 pm
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

One thought I had was to harvest the B/A from some point (a few seconds?) before the technical close. Adding this info as extra fields in my csi output files. And then use this info to price what my actual fill would have been at the 'close'. In some markets such as Lumber, the spread can be fairly ...
by RedRock
Sun Apr 18, 2010 12:47 pm
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

Ah Redrock - I remember those old Pit days too .. I did too, was it called 'kerb trading' (you could close your trades after the bell) ??? best regards, as ever kianti, I do seem to remember some process for making a resolution trade just after the close at the agreed settlement price. This was don...
by RedRock
Sun Apr 18, 2010 12:45 pm
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

Ahh RedRock - I remember those old Pit days too - how we miss those good old days huh? The closes, and the opens, were such fun. I remember cocoa, for example, with their rotational openings. They would open each month for about 5 minutes each until they had put some trades through on each month. B...
by RedRock
Sun Apr 18, 2010 12:30 pm
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

Seems like a promising candidate for algorithmic trading -- assuming you're doing enough size to smear out your order into multiple little nibbles. Something like the time weighted average price of the 180 seconds before "The RedRock Close" (an arbitrary moment chosen by you and communicated to you...
by RedRock
Sat Apr 17, 2010 6:00 am
Forum: Testing and Simulation
Topic: MOC order in E futures. Backtesting vs reality...
Replies: 13
Views: 3774

MOC order in E futures. Backtesting vs reality...

While using the MOC as an entry or exit point in backtesting is great, issues arise when taking a system live. In the pit days, when markets actually closed and humans slept at night... there was a liquidity surge and a clear closing range. The pit broker would usually, in my experience, deliver a f...
by RedRock
Wed Apr 14, 2010 10:29 am
Forum: Futures Markets
Topic: CME launches www for tracking market CHANGE and REGULATION
Replies: 0
Views: 1893

CME launches www for tracking market CHANGE and REGULATION

http://openmarkets.cmegroup.com/

Yessssss We Can - bankrupt America philosophically...
by RedRock
Sat Apr 03, 2010 11:44 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 5627

Algonquin wrote:I would note that other systems, such as the Donchian and Bollinger Band systems, have been showing similar performance degradation over the past decade, and may have a very difficult time in the coming years.
What is the basis for this prediction? I neither agree nor disagree, just curious.
by RedRock
Wed Mar 24, 2010 1:54 pm
Forum: Testing and Simulation
Topic: Number of Parameters
Replies: 16
Views: 5627

TK wrote:
But walk-forward testing, if done properly, is a dream-shattering experience. Perhaps that's why so many (if only subconsciously) choose to eschew it.
I walk fwd and bkwd in early proof of concept testing. But use different periods for before beginning trading.