BlowFish

You can use the code tag That might help ? sample code

You also have to consider where an order is held and how it is elected. For example stop orders are often supported by the exchange natively so most brokers will send them to the exchange immediately. e.g. if the ES is trading at 853.25 and your system wants to get long at 860.00 it is far better to send a stop order at 860 that will be elected and matched at the exchange as soon as that price is traded at. If you wait for the signal at PC you might have a stale price by the time the price reaches you. Not only that you have to send the order back to your broker then on to the exchange. Price can move several ticks in those couple of hundred milliseconds. Also consider MiT's (Market if Touched) (if you want to buy below price or sell above price but want to be sure of a fill so ruling out a limit order). Whilst the exchange wont handle that natively it will usually be handled by your brokers system which is a big step closer to the exchange.

This is one advantage of volume distributions. As the profile grows by volume rather than by time, out of hours sessions can be included without worry as the volume done there is negligible (if it is not that is significant in itself). Doesn't answer your question really but it does uncover a weakness with time base profiles. Personally I'd plot both and see which I preferred.

2 ticks on ES is pretty rare (unless you are on a satellite internet connection ). Of course better to err on the side of caution. Mind you with recent volatility it is more common than when it traded in an 8 point daily range. As zdo says a lot depends on how your system works. If your system allows it using stops (to enter break out style) or limits (to buy against price movement) will likely improve things especially if your connection is not particularly low latency.

What Svensa said. It is arguable that the only thing account size should influence is position size. With mini lots and micro lots its absolutely feasible to start with $1k. Just don't expect to be making a living with 10p bets! Having said that compounding will get you there albeit later than if you start with more.

Actually Ami might be an inexpensive possibility for the OP's original requirement.

7. IB offers a Java API. Ninja does not, therefore it does not satisfy the OP's single main requirement. Incidentally I use both.

He wasn't asking about the delivery date but the terms of delivery, which depends on his clearing house/broker. This is because you deal with them not the exchange.

They aggregate ticks as you probably know. If you don't need tick charts or sub 200ms charts (there aggregation period, unless it changed) they are fine for accuracy timeliness and completeness of traded volume. Back fill is slow if you need historical data. There is no better for the breadth of traded instruments available. Of course if you only trade a couple of exchanges that wont bother you.

As of last Tuesday the COT showed fairly heavy net short positions. It will be interesting to see if that has changed much today.

Good luck with the forum look forward to it with interest. Another great asset for TL!

Fischer covers it too. Many years ago I wrote some ELA's to detect fib time 'clusters' to be honest I didn't find much value in it. Thats not to say there is none....I just couldn't find it. Maybe I should look again see if I can spot anything I missed.

" I can catch both trade volume (as well as ticks) and order volume (from DOM)." I don't think you can? How can you differentiate between someone 'pulling' an order and a trade taking place? All you can see is bid ask changes isn't it? That is the big problem with spot FX.

So in essence range and volume are closely correlated (which most know empirically). When they are not, that is the time interesting things happen. When they are correlated and at statistical extremes interesting things happen too.

All bar the last book I mentioned (The Futrues Game..) have strategies or ideas. Katsz takes some of the better known types of system and tests them. He also provides c code he used to test (you used to be able to send of for a free disc). He also talks about how exits can turn marginal systems into good systems. He tests a few of those (exits) too. Dunigan is great for a variety of things including how to quantify price structure. If you can quantify it you can write a system to trade it (which is what the one way formula is all about).

A lot depends on the nature (frequency) of your trading. Does one really need to watch every bar form? Watch every tick if you like. if you are taking many trades an hour that last from seconds to minutes, maybe. Under those circumstances it's not too hard o focus though momentary distractions (like a phone) can be a problem. If however, you are trying to catch the main intraday swings, set some alarms on your platform and go and do something else. How do you trade do you really need to concentrate all the time or just at key junctures? I have to ask is there some psychological issue going on. I often used to find that I was looking at email or doing something else right around places I needed to take action (usually to enter). It was a subtle avoidance mechanism the old subconscious doing its best to 'protect me'. Could that be going on with you? Just a couple of thoughts.

Doesn't that just shift the 'problem' to the 3 minute chart Mav? How do you define trend on your 3 min? Just curious. Of course if you can determine trend one simple definition of sideways movement is absence of trend.

Hi Etnik, I must look at my settings. The thread description does not show for me by default, just get the title and text. You might enjoy John Ehlers books, he comes from a signal processing background and he applies that discipline to trading. His systems (that he sells separately) seem to have decent (and more importantly consistent) results from ratings sites like futures truth. I rather like Dunnigans work. It is as applicable to learning to read price action as it is to designing systems based on price action. You can get "New Blueprints for Gains in Stocks and Grains" & "One-Way Formula for Trading in Stocks & Commodities" as a combo. I should say right now that I am not a 'system' trader, though do have a few books on the subject. Some are a bit esoteric. I can't think of a good 'how to design and test' type book off the top of my head...... actually Katsz's Encyclopedia of Trading Strategies is not bad at all. At some stage you will need to think about risk, position sizing and all that malarkey. Van Tharp is well thought of for that sort of thing, i quite like "The Futures Game, Who Loses, Who Wins, and Why. That is good on risk and also has a section on monte carlo simulations which might be of interest. As I eluded to before, the problem probably won't be getting recommendations it will likely be focusing down on what is important to realise your goals. There are many good trading books that will no doubt increasing your knowledge but might not get you that much closer to your goal. Cheers.

Do you want to make trading systems or find a methodology to trade in a discretionary fashion? If the latter having a clear idea of what you want to do and focusing on that is likely to shorten your journey. Of course there is a catch 22 there as you need enough background to make that choice. Read here....take a look at 'the best of TL' and start reading those threads. See if anything resonates. Seems to me you are wasting a resource that many would kill for and that's the expertise at your firm. Take traders for beers and pump them for as much info as you can without being annoying. Hell, be annoying as long as you buy the odd round I am sure they will indulge you.

http://tinyurl.com/bstvql I've been dying to use that for a while now There are some decent threads here at Traders Lab also.

I would have though greater than 66% would be profitable? Absolutely nothing wrong with 2:1 risk reward. Interesting system I like how it compares opening range with yesterdays range. It seems to have several nuances how these two parameters will place your triggers. Do you play first touch only? Will you reverse if an opposite trigger is hit?

I think the stuff he presents is applicable regardless of your trading methodology. A real trader that writes clearly about trading.

I may be way of mark but wouldn't your clearing firm dictate the terms of settlement? They would deal with the exchange and expect you to make things square with them. This is more educated guesswork than hard knowledge. Would be worth a call to your broker I rekon....get them to earn there crust for a change

Your results don't look at all like those you would expect from the turtle trading rules? Actually they don't look like a typical trend following system at all. I have to say I am confused. Typically you would get about 30% maybe 35% winners with the odd 'home run' now and then. The key to the turtle system is not the trigger (which is a simple donchian break out from memory) but how you pyramid into running trades, that is what makes it work.

Another new article. http://marketgeometry.com/ This one is how he uses price action and drawn lines to 'frame' the market and how selecting a set of lines can alter your perceptual bias. Another good one and worth the few minutes it takes to read. (imho)