c*******y
发帖数: 1630 | | s**r
发帖数: 685 | 2 This is useful. Taking a look. Thanks! | x**********g
发帖数: 618 | | c*******y
发帖数: 1630 | 4 我有定prorealtime.com 的data， 他们有x-tick的图，但是我觉得不便宜，
也没有API。 但是关于两者的比较可以看看。
http://www.prorealtime.com/en/x-tick-charts
不必全信。我没有足够的时间来验证，不知道有没有edge。只是顺手就买了。
【在 x**********g 的大作中提到】
: Thanks for sharing
| c*******y
发帖数: 1630 | 5 现在对我来说比较困难的是，
实时x-tick图，并且标注trades，并自动截图。这样测试比较直观。
如果谁有好的例子或者library推荐，请email我。 | n**x
发帖数: 606 | 6 Can you share some more details about how you do forex scalping? I have no
experience with forex trading, appreciate if you can share some ideas..
【在 c*******y 的大作中提到】
: 花了些时间写了一个例子，给有心人看看。
: http://code.google.com/p/ib-ats-mitbbs/
: POSIX C++ API
| a*s
发帖数: 425 | 7 btw, how to download it?
Thanks
【在 c*******y 的大作中提到】
: 花了些时间写了一个例子，给有心人看看。
: http://code.google.com/p/ib-ats-mitbbs/
: POSIX C++ API
| c*******y
发帖数: 1630 | 8 subversion
【在 a*s 的大作中提到】
: btw, how to download it?
: Thanks
| c*******y
发帖数: 1630 | 9 doesn't have to be forex scalping,
normally, I use doji_at_ema20, then place MKT order on BO in trend.
I shared a book list not long ago. it uses
70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking.
winning% is like 60%, he introduces some tipping techniques,
which brings average stop loss down to 6 pips, but TP is the same.
nothing very new to me, but writing style is good, thinking as a scapler.
【在 n**x 的大作中提到】
: Can you share some more details about how you do forex scalping? I have no
: experience with forex trading, appreciate if you can share some ideas..
| a*s
发帖数: 425 | 10 Thanks, I got it
很好奇scalping的策略
通常的scalping都是一天交易多少次啊
还有胜率达到多少，才可以用在real account
我看到很多scalping的自动交易，都是backtest赚
但是实际一用，就是亏
【在 c*******y 的大作中提到】
: subversion
| | | c*******y
发帖数: 1630 | 11 可多可少，看你的strategy，我个人是希望越多越好，
200-1000 是我的期望值。
不要以为scalping上不了台面，
JP Morgan几个不同的品种的Trading Revenue，Currency是最多的之一。
平均每笔交易，Currency赚70刀。
我不知道他们一般用什么size，70刀是scalping to HFT范围无疑了。
http://www.bloomberg.com/news/2012-02-28/jpmorgan-says-credit-s
Equity swaps and options, which produce about $200 million a quarter, had the highest revenue-per-trade of the products listed, at $30,000. Interest-rate swaps produced $12,000 per transaction, with about 30,000 trades per quarter. Foreign- exchange spot and forwards generated $70 per trade, while North American cash equities charged about 1.5 cents per share.
【在 a*s 的大作中提到】
: Thanks, I got it
: 很好奇scalping的策略
: 通常的scalping都是一天交易多少次啊
: 还有胜率达到多少，才可以用在real account
: 我看到很多scalping的自动交易，都是backtest赚
: 但是实际一用，就是亏
| a*s
发帖数: 425 | 12 是一天200-1000？
这个胜率和spread很相关吧
the highest revenue-per-trade of the products listed, at $30,000. Interest-
rate swaps produced $12,000 per transaction, with about 30,000 trades per
quarter. Foreign- exchange
【在 c*******y 的大作中提到】
: 可多可少，看你的strategy，我个人是希望越多越好，
: 200-1000 是我的期望值。
: 不要以为scalping上不了台面，
: JP Morgan几个不同的品种的Trading Revenue，Currency是最多的之一。
: 平均每笔交易，Currency赚70刀。
: 我不知道他们一般用什么size，70刀是scalping to HFT范围无疑了。
: http://www.bloomberg.com/news/2012-02-28/jpmorgan-says-credit-s
: Equity swaps and options, which produce about $200 million a quarter, had the highest revenue-per-trade of the products listed, at $30,000. Interest-rate swaps produced $12,000 per transaction, with about 30,000 trades per quarter. Foreign- exchange spot and forwards generated $70 per trade, while North American cash equities charged about 1.5 cents per share.
| n**x
发帖数: 606 | 13 Thanks for that! btw, what live feed to you use? you know IB doesn't have
real time tick..
【在 c*******y 的大作中提到】
: doesn't have to be forex scalping,
: normally, I use doji_at_ema20, then place MKT order on BO in trend.
: I shared a book list not long ago. it uses
: 70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking.
: winning% is like 60%, he introduces some tipping techniques,
: which brings average stop loss down to 6 pips, but TP is the same.
: nothing very new to me, but writing style is good, thinking as a scapler.
| c*******y
发帖数: 1630 | 14 none is good for forex, I use ib anyway,
100ms VWAP is good enough for me.
【在 n**x 的大作中提到】
: Thanks for that! btw, what live feed to you use? you know IB doesn't have
: real time tick..
| a*s
发帖数: 425 | 15 what do you mean BO in trend?
【在 c*******y 的大作中提到】
: doesn't have to be forex scalping,
: normally, I use doji_at_ema20, then place MKT order on BO in trend.
: I shared a book list not long ago. it uses
: 70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking.
: winning% is like 60%, he introduces some tipping techniques,
: which brings average stop loss down to 6 pips, but TP is the same.
: nothing very new to me, but writing style is good, thinking as a scapler.
| c*******y
发帖数: 1630 | 16 breakout in the direction of current trend.
I fixed some bugs in the code, considering to commit it.
but it seems there is no one wants to be part of contributors.
【在 a*s 的大作中提到】
: what do you mean BO in trend?
| m***b
发帖数: 265 | 17
please commit it. thanks
【在 c*******y 的大作中提到】
: breakout in the direction of current trend.
: I fixed some bugs in the code, considering to commit it.
: but it seems there is no one wants to be part of contributors.
| m***b
发帖数: 265 | 18 什么是tipping techniques？ 能给个连接 谢谢--- | c**t
发帖数: 9197 | 19 牛人。
这里大多人谈鱼。
你却在谈渔。
不过个人感觉还是需要多参数，才能胜率高。 | S******t
发帖数: 8388 | 20 我要是会写程序就好了.
哎!
我很久以前自学过一点点C++, 早忘了.
【在 c*******y 的大作中提到】
: 花了些时间写了一个例子，给有心人看看。
: http://code.google.com/p/ib-ats-mitbbs/
: POSIX C++ API
| c*******y
发帖数: 1630 | 21 made more changes now, and will try to add an interactive chart myself.
fixed some bugs, there are at least two more bugs(I knew for sure).
I will commit the code after my happy friday.
Tested the code on a paper account this morning, on functionality, not
profitability.
On this NFP morning, it performs soso.
All using market orders, so I don't expect worse/better in real trading due
to slippage.
【在 m***b 的大作中提到】
: 什么是tipping techniques？ 能给个连接 谢谢---
| m***b
发帖数: 265 | 22
due
---profit ,loss动态的， 大小根据什么确定的？
【在 c*******y 的大作中提到】
: made more changes now, and will try to add an interactive chart myself.
: fixed some bugs, there are at least two more bugs(I knew for sure).
: I will commit the code after my happy friday.
: Tested the code on a paper account this morning, on functionality, not
: profitability.
: On this NFP morning, it performs soso.
: All using market orders, so I don't expect worse/better in real trading due
: to slippage.
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