The online ramblings of a young dinosaur
So I owe everyone two days of trading history, and will post it shortly. In the mean time Scott Gu just posted here that Visual Studio 2008 Beta 2 is available. Download it here, or the smaller express edition here.
It is important that you also apply this patch after install, as it will inadvertently place a .net 3.5 dependency on .net 2.0 ajax applications. I am 10% complete on my download, and am uninstalling Beta 1 now. I will keep you posted on the upgrade process.
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Gross: |
$ (300.00) |
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Fees: |
$ (364.80) |
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Net: |
$ (664.80) |
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Contracts: |
152 |
Today is another day I am glad to be trading paper. I noticed a pattern today, in order to overcome market noise and order slip, I cannot maintain a stop much tighter than 4 ticks. At two contracts per round trip, this means that every loss is ~$100. Now contrast this with my average win of 2 ticks. My win to loss ratio is actually around 2:1, but with a 1:2 reward payoff, I actually have an expectancy of -33%, so the longer I traded, the more money I lost. I did notice a significant relationship between the vwap and longer term price movements (approximately 2 hours). I think pure scalping is going to be difficult to sustain unless I can get my win/loss ratio way up.
My equity chart shows my day started off well, but the longer I traded the deeper I got…
QuoteTracker Screen
ButtonTrader Screen
So I have updated the documentation site to the latest 9.1.0.3 comments, and have added a new beta site. This site is updated with the documentation for the latest IB Beta, currently corresponding to version 9.3.0.1. I will try to keep these sites up to date as I release new versions of the API, and as always if you see any problems, please shoot me a message at email hidden; JavaScript is required.
View the new documentation sites here
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Gross: |
$ (250.00) |
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Fees: |
$ (153.60) |
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Net: |
$ (403.60) |
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Contracts: |
64 |
So today was the hallmark of "overtrading". One look at my equity curve explains the morning.
I began with a big hit by forcing a trade at 7:09 am, and after catching a small break, I forced another trade at 7:52 am, again without an adequate stop (read none at all). By 8:10 am, I got back in the groove, but just did not have time to make up for my mistakes. My first problem was forcing the large trades; I need to wait for the price to withdraw from resistance/support levels before finally executing (rather than simply hitting these levels). Once executed, I need an efficient way of setting stops, a fixed tick amount above / below the entry price. I will begin working on my ATS to do this, but in the mean time I will evaluate Button Trader, as well as Bracket Trader to allow me to better manage my brackets manually.
Please note the above screenshot was actually taken a while after the market closed (forgot to press print screen earlier).
Whew – two releases in a row, I had not been checking IB’s site to see when they released a new API, but apparently they just did, so here is an update. In addition to the usual IB changes, which are documented here, I included some changes submitted by RLaumeyer to make creating contracts easier. Right now there is only an Option class and an Equity class, please submit classes you have created, and I will fold them in. The same goes for any other user changes, submit them, and I will try to incorporate them.
Please download release 9.3.0.3 here.