dam5h

sierra has a market profile package and it supports OEC

lol, my bad. wasn't aware such a thing existed; i'm always just clicking on the latest posts section and rarely take note of the forum category. my apologies.

you'll need to specify your charting package to get a hand on this one. it likely has documention/support forum that would describe this basic functionality as well.

there are 2 quinto videos in the mirus futures archive, which can be found here: Trading Education. MIRUS FUTURES. Trade the markets like an elite trader.

how has this data looked of late. to my chagrin things seem to have slowed down again.

1 tick stop seems like suicide to me, esp if its a hard stop on your platform, but i have no real experience with market maker strats.

these guys prob have it... FreeStockCharts.com - Web's Best Streaming Realtime Stock Charts - Free

i would be interested to get this data going further back, where can I access it? great post and i agree with your prediction.

this info is according to jack schwager's "getting started in tech analysis", there may be other interpretations that i am unaware of and there are certainly more than 2 ways to deal with rollover, some use proprietary methods. a continuous series uses a constant offset to each previous contract. that offset is determined by the difference in the 2 contracts at rollover. a perpetual, or "constant forward", series uses a time period and weights the 2 contracts in a ratio based on the distance to rollover and the arbitrary time period. as you get closer to the next contract it is weighted more and the current one is weighted less in the price shown. to me the later is confusing since the current price does not match the current contract's price, i prefer continuous since the only prices that are off are in the old contracts and they are simply "normalized" to the current one.

i see no denominations in the file like you describe. i was also unaware that somehting could be both perpetual and continuous, thought they were 2 separate methods for compensating for rollover.

is it continuous, perpetual, or no adjustment made to the prices at rollover? many thanks for submitting the file.

taxes are paid on the "net" amount, gross minus commissions (750 in your example). the 60/40 rule (a bone thrown to chicago 30 years ago) is likely going to get overturned this year or next and futures will be taxed like stocks. i hope it remains, but it doesn't look good.

yes, always best to be on exchange servers rather than broker (or even local on your machine) server. in super liquid markets like es it would be rare that it would make a difference, but it does in certain situations.

2 ticks often is horrible. i trade the tf often, and sometimes use stop entries on breakouts and usually don't experience slippage. occasionally i see 1 tick slippage, and only if at a big level. with IB i used to experience 2 ticks at big levels. with infinity its not really a problem. you should set up your platform to use "stop limits" rather than just "stops", these rest on the exchange servers not on the brokers servers, the result is better fills, just be sure to allow for an offset for the limit portion that will still get you filled.

here's something i like to use, very simple but it can be fairly aggressive when trading well 1. determine a daily stop loss where you stop trading. "x" pts 2. determine a number of days that you will allow this to happen without scaling down. "y" days 3. build a profit base of at least enough to cover that number of days at that stop loss level at the NEXT scale size (x*y*cts at next level), then scale up; if you then hit -x*y pts in pnl, then scale down, at least you not in hole. 4. repeat if you are starting out on sim, make a sim base of x*y*1 before going live. if you then lose that amount once live, go back to sim and repeat if once live with 1 ct you build up a base of x*y*2 then you are ready to scale up. this system has an interesting relationship with how well you need to trade to scale up. you actually have to do your best in the beginning, that is if you scale up 1 ct at a time and start with 1 lot.

i'm sure there are one or 2 plugins for matlab based trading; though i am not aware of any specifically as i've really only used matlab back in grad school for fluid dynamics simulations. i can tell you i wish sage had been around back then. the syntax for numpy (one of the tools built into sage) is pretty much identical; whatever is different is very easy to adjust to. NumPy for Matlab Users - fwiw, matlab is a numerical only engine, why limit yourself to that when you can have both an analytical (think maple/mathematica type solvers) as well as numerical (matlab) engine at your fingertips. last i checked there are 14 or so engines included in sage; that's pretty ridiculously powerful. allowing you to use the best tool for each unique problem you face. in the long run you will likely find sticking with a proprietary language/engine such as matlab to be limiting vs. an open source solution implemented in a major programming language when it comes to building it out with additional features that you may not be envisioning quite yet. just my .02

i would check these out, these 2 tools used together should be able to get you what you're looking for; while sage is not matlab it offers similiar syntax and should be more capable/powerful (plus it's free and open source). since sage's scripting language is python you should be able to use it with ibpy which is just a python wrapped version of the interactive broker's TWS api. Sage: Open Source Mathematics Software ibpy - Project Hosting on Google Code

i really like the date/time module in python, it handles all that timezone, hour, and day of week stuff. not saying that you would, but if you ever wanted to do historical testing specific to days of week, you're covered without any tedious coding on your end.

DISCLAIMER: i'm not very familiar with sql, though i've used it once or twice. so i'm just throwing this out there for anyone as an fyi for anyone interested in a similar project to this thread that make seek an alternative framework. what i have used and really liked for historical backtesting is pytables, it's pretty awesome--can natively treat a portions (amount currently in RAM) of a database as a numpy array and has some real speedy and easy to use c based find/matching functions. i've used TA-Lib wrapped in python (but actually run in c) to populate the tables in the case that i wanted some indicators plus, its python ; so we talking rapid development times. matplotlib and scipy have some cool charting capabilities including candlesticks in the finance module. not sure if it can be used with ms .NET's iron python distribution, i've only used it with linux PyTables - Getting the most *out* of your data An Introduction to PyTables video tutorial - PyTables Tutorials - Learn: programming_tools, interface, extremely_large_datasets, pytables, HDF5, efficient, tutorial, tools, cover, data, solution, interfaces, free, videos, video, fast, features, infor Numpy Home Page matplotlib: python plotting — Matplotlib v0.98.6svn documentation TA-Lib : Technical Analysis Library - Home

hellweek, i am currently test driving the platform. i like it, i was wondering what language it is developed in. if .net 2.0 based then it may run on linux via mono. have you all ever tested it on linux, or do you know of anyone running it sucessfully on linux? thanks

options are the only way i know of to trade the volatility that you are describing, perhaps that is why the spreads are wide here; no free lunch. also the other poster has a very good point in regards to gap exposure, did you include that in your investigation of range?