Check out the google code site at http://code.google.com/p/ib-csharp/

We are looking for independant traders – people who are generally using interactive brokers to trade their own money, and are consistent but perhaps have to keep a day job to pay the bills or are still in school.

If this is you, and you are interested in working with us, please drop me a line email hidden; JavaScript is required

So today I completed my expiration roll over (better late than never!) and even traded a round trip. I have been ridiculously busy at work lately, which has kept me from getting to trading, but I will try to make time next week again.

Rolling over isn’t as bad as I though – in quote tracker you just add the symbols, and then drag and drop the new symbols onto the current chart, and wallah!

Button trader was a little more work as you had to add the symbols and recreate the containers. No big deal really. I just had to request a new password from these guys, their license scheme is a little annoying, but very reliable software!

In any case, no additional indicators today, I have to run to work early. Hopefully this post works from Beta 3!

You can download the new release here. Or go to the utilities page here for all releases.

The release notes for changes are below – enjoy!

9.3.0.5 Bug Fix Release
* Fixed Historical Data Requests (had improperly formatted parameter and timestamps)
* Fixed Disconnect call to properly kill the reader thread
* Added support for additional contracts (Forex, Futures, Indices)
* Began Order Classes, incomplete for now, but started a Limit Order class.
* Fixed Current Time call, it now returns a date time instead of a string.

9.3.0.4 Bug Fix Release
* Added Market On Open enumeration to Time in Force

No Trading again today. I have been very actively working on an Auto Trading System, and spent this morning refining my historical data. I realize I owe everyone an updated C# IBAPI release, as I have found numerous bugs.

I also hate the way IB’s historical data works, and have spent a lot of time working out the details on how it should be parsed. I think I have the time zone stuff worked out well, but I can’t decide what the best way to call historical data is.

This was too perfect picture to not post about – the macd cross at 12:30, the stochastics at 12:35, and that was the sell signal. Lead to 4 pt profit!

Not the best way to kick off September, but given how many contracts I traded, I guess I can be grateful I didn’t lose more. Again my problem is that my average loss is much larger than my average win. This is because of my trading style, and needs to be evaluated. I have been scalping a few ticks each time, and when I brought my stop in to two ticks, I got stopped out very frequently (hence the last hour of my trading were all small losses). I need to mechanize this strategy if it will ever work. I am working now on how to download historical data. It appears I have a bug in my implementation, and will likely have to spend some time going over it. I will keep you posted!

I made up to $50 today! Then it was all gone in a single bad quick move trade…

So call your card companies and push down your rates – easiest $150/month I have ever made!

So this month there is at least a green square above! I made money before fees this month, which doesn’t mean anything, except that I have improved over my last month.

As you can see my average loser was almost twice my average winner, hence the losing money problem. I need to develop a system to cut short losing days, as I always let them grow. My win:loss ratio is exactly 50:50 (9 positive days, 9 negative).

This chart illustrates the problem, you can see several strings of positive days, but they are all for small amounts. I need to let my profits run and cut my losses short, a lot easier said than done.

Here we see the problem of fees. The gross sales accumulate very quickly, but I just whipsawed between positive and negative every day. I need to get my winners up, and my losers down.

This month, the number of contracts correlated with my net profits with a ratio of 0.0067, which is incredibly low, in fact it would be difficult for them to be less correlated. This change is especially prevalent from mid august on, as I stopped placing large orders, and kept my bets generally to single contracts.

Next month, I am going to work on a strategy to at least get my winners to be the same size as my losers.

So this post is a month late, but I think it is important to have something to compare myself to before I calculate August’s totals. This was my first month of trading, and as such I did a lot of experimenting. My undoing was that I was trading too many contracts per trade. I was entering with a minimum of two and often three contracts each time. This was my first chance to begin to get a “feel” for the market.

I averaged a daily loss of $85.50 over ten days of trading, trading an average of 45 contracts per day. This will certainly have to turn green before I consider trading real money, but it was a valuable learning experience.

This chart shows my day by day performance, I was profitable for my last two days, which finally began to dig me out of my hole. These charts are net of fees, next I will show the gross to demonstrate the problem of fees.

Here we can see that I was on a healthy clip to breaking even for the month. In fact, had I done the exact opposite of every trade I did, I would be positive! Clearly my overtrading skewed this graph in my net, as you can see days with high contract counts were made that much worst.

Here we can see a light correlation between the number of contracts and the net profit per day,  -0.58732 to be precise. This just emphasizes that I need to be more careful with my bet sizing, as it is costing me heavily.

Next Month I will work heavily on controlling my bet sizing – we will see how I did in my next post.

Sorry about these posts. For some reason Live Writer has been unable to upload – giving me a strange “XMLPC is unreachable” error, when I could easily visit my site in Internet Explorer. I just got things fixed by restarting my computer. I was out for work on Friday, and out of town yesterday, so I did not get a chance to trade the pre-labor day market. I will work on my monthly review this weekend and hopefully get those up by Tuesday.

Have a good weekend everyone!

So I blame experimentation and mistakes on my losses, well today I blame them for my gains. I lost money on the ER2 which is what I was primarily trading, but accidentally punched a forex trade in the wrong direction and left it because it immediately moved against me… I wasn’t watching it but 10 minutes later it was $75 in my favor and I came out profitable for the day!

What I am really spending my morning on is looking for some automated strategies. I am exploring relationships between raw ticks and seeing if I can find 2+tick moves that have some small predictability. I want a consistent low profit strategy, and am making progress.

Do yooooou see anything here?

So we are coming up on the end of the month, and I am beginning to think about doing a monthly review. Maybe I should do one for July and then do a comparison. In any case, today was another very experimental day. I started out scalping like I did yesterday, but yesterday the A/D’s were not breaking 1.0, today they had a hard time falling below 4, and I should have taken it as a sign to follow trends. I kept trying to call a top on the way up, and kept failing. Towards the end of the morning I began trading USD.EUR, my first day in Forex. I actually made money in FOREX, but learned that you need at least two pips in your favor just to cover fees. It was these profits that actually caused the delay in this post, as I had to update my excel profit tracker to parse the forex prices and total them.

What a noisy day – I started down, and while I never fell too far, I just couldn’t catch up. Before my last trade I was at $(10) and decided to make a hail Mary to get positive for the day, and unfortunately lost out.

What a scalpers day! I have to run to work so this will be quick – but I spent today just scalping the VERY low volume ER2 with a few trades on YM and ZN. Just very low volumes (sub 500 contracts/min ER2!) The A/D’s have been staying below 0.2 this is 5:1 decliners to advances! Will be an interesting market to keep learning in!

As you can see I did a lt more frequent trades with smaller profits and cut my losses early. Works well wen your win to loss ratio is high… wish I could do that all the time!

Today was an OK day, my first two trades today managed to catch my ideal signals in exactly opposite orientations. Unfortunately my setup is simply good at picking points at which a high rate of change will occur, and it is unable to determine price direction well. I am in the middle of three different books, and I am trying to learn the best possible optimization techniques. I will post some reviews once I get through them.

My first two trades were the large direction movement strategy, which caught the swing in the wrong direction both times. My last two trades were an oscillation strategy, which appeared to fair better. This will certainly guide which strategies I pursue.

So today actually could have been a good day. I was watching the market all morning, but didn’t pull the trigger as I was working on  a stats reader for my new historical files. I spent last night configuring my desktop to run on autopilot, so that every morning I should be able to just come to the computer and start trading, this involves a nightly restart, and a sequential start and stop of TWS, Quote Tracker, and my historical program, as well as my computer radio. It didn’t quite work this morning, but I am optimistic next week will be very productive.

Have a great weekend everyone!

So today doesn’t look good on paper again, but I am still having a hard time with my trading style. Scalping was working well for me, but the markets are so noisy that I had to have huge stops, and take my profits quickly, which meant that it just took one bad trade to destroy 3-4 good ones, and I kept losing money. Now I make a lot on my winners, but I lose a lot more on my losers, and today there weren’t any good setups, but I still let myself trade. The best setup today was the very first one on the ER2 at about 6:32 after the run up, it was a clean sell signal, but yesterday I got screwed on this because it dipped and then blasted north.

I have written a new program to record all of the raw ticks from IB so I can make a really good simulation, and begin back testing these new strategies. It will take some time as I need to do the collection, but better late than never!

So my result graph looks not so shabby… just a zero crossing problem. I really need to do some strategy back testing.

Today was still a good day despite my negative P&L. I am tuning my new strategy, and made a critical mistake at the start of the day by trying to catch the first bounce of the day. This is ridiculously difficult as the initial volumes are so random that my peak caller is easily fooled. Tomorrow I will try wait half an hour to do a market calibration, then step in and apply my strategies.

What was I thinking here? Just before the last green bar, I interpreted a sell signal due to the crossing MACD’s… how wrong was I…

Look at those charts they are just big lines going back and fourth over the VWAP… talk about choppy!

So today I finally socked home some big winners without any losers. I only did two round trips, and the first round trip I scaled into with two contracts, hence it was my biggest winner of the day for $390.40. I have developed a strategy which built on yesterday’s discoveries, but I was better about limiting my trades to only use ticks after everything else said it was ok to enter. This showed me a lot of promise, I look forward to what tomorrow brings!

Pretty Boring Equity Chart for the day! (Just the way I like it!)

So today was a highly experimental day. As you can see on my equity chart, I threw in a single trade at around 6:30 for a small loser, then didn’t trade until around 8:00 AM. I spent the hour and a half resetting up my screens and adding in stochastic indicators (Fast, RSI, and MFI) and learning the MACD. That being said my trading strictly based on these indicators was terrible. These seem to work best around the 5 minute time frame, and if you look below the wicks on the 5 minute bars (even the 1 minute bars!) were huge! This was a highly oscillatory market with very little momentum. Once I began to use the ticks in conjunction with the new indicators I was lobbing away with quite a bit of success until my last trade which indicated it was time to quit. I wasn’t using my new indicators to invalidate a good tick stochastic, and got myself caught on a huge down jump. Live and learn, tomorrow I will focus on appropriate ranges for the indicators where-in the ticks will provide the best entry/exists.

As you can see I was doing quite well recovering from my losses for a little while, then lobbed in a bad one… must work on consistency and use enough capital to allow for bet sizing.

Look at the wicks on these ticks! Hugely oscillatory market! Great day to actually use the raw ticks, they seem to be more valuable when there aren’t strong trends.

Whew – so a lot of things went wrong very quickly. I was doing well for the first 10 minutes, and then I went short on a contract, and doubled down right before it rocketed up. (You can see this trade at about 7:45. I was then at -300, and dug my hole deeper, to then dig out with a lot of choppy trading.

It is clear that a $100 target will no longer be sufficient, as days like this wipe out what would have been a week and a half of gains.

This is the whole story. I started out with nice simple small tick gains with approximately a 3:1 win:loss ratio, which is an excellent target. Then I just blew up at 7:45, and began to trade frantically to get out of the hole, at first digging deeper, then finally lifting myself. Frustrated at how long it was taking me to get out, I increased my scalp size to two contracts and just began bleeding despite a few good trades (see 8:00). I will need to rethink all of my targets, including a loss target to quit for a day.

This chart is just a blow up of my first 10 minutes of trading. Things were going well, I thought I would hit my hundred dollar target early at this rate!

So I was doing well right until here. As you can see above, I went short right before a rocket ship ride up, and had my stops pretty wide. Worst than that, since it had retraced a small amount on the bar that I went short on, I took the opportunity to short from an even higher level, figuring it was a great opportunity to add to my sure fire profits. Then it rocketed both trades to the top, and stopped out

If only all days could be this good. I started off with a quick lousy trade which put me in the hole $75, but then I bagged 6 winners in a row to get out for a nice $100 profit day. I hit my target quickly, and it took every ounce of strength to resist continued trading (though after this post, I will play with some more simulations).

I traded the ZN for the first time today, and had to update my profit tracker to handle 32nds (who thought that was a great idea? ). I also added a tracker for my ratio. This is the average profit or loss per contract. My sub-goal in addition to consistent profiting, is to raise my ratio as high as possible. This is effectively saying I want a high win/loss ratio, but taking the stance of I want a high profit/cost ratio.

Nice steady profitable trades and a trending profit for the day – doesn’t get better than that!

Beautiful ticks today, a lot of tradable volatility!

 Here is the volatility – ok volume too!

Today was a pretty mediocre day. I have a new profit target of $100 a day. So my last trade took me over the target, and I quit before I found a way to lose it all.

I updated my daily equity chart to place dots on every trade, so you can see how often I traded. I can’t believe I still traded 40 contract today in single lots. As you can see for the entire morning, I was living trade to trade, just treading water until I got one good sized move. I would much rather reduce my round trips and be more selective about my trades (who wouldn’t).

As you can see on this chart, these 25 minutes were not fun, the  ER2 just stayed wedged in a +/-0.7 point chop. I must fight the resistance to trade these. It eventually broke down and I could have made a lot of money!

I think tomorrow I am going to try to combine these screens. I don’t like looking at one computer to execute trades, and one to monitor the market.

So today was another horrible day. I should change my equity curve graphs to be dot based, as you can’t tell from the graph how my capital fell so rapidly around 7:30, but I started trading very rapidly, at about $(100) per trade, I just blew it for the day. That being said, it was part of a learning exercise. I think I need two accounts to properly track my trading. I am developing an exit method for a tick based strategy, and its is remarkably difficult to do so profitably. I will keep you posted on my results, in the mean time I may setup a different account for tracking my trading results.

Have a good weekend!

The key here today is that I was down ~$1,000 half way though the day, I then fought my way all the way back to profitability, but to do so had to raise my contract size, which then backfired and allowed me to lose more quickly as well. Tomorrow I will investigate a system based on the Ticks. I don’t think they predict price targets, but I think the derivative of price action is highly related to the ticks.

Today was a much better day then yesterday. I racked up enormous fees because I spent the day scalping, but I started off with 1 contract round trips, and then I started getting some successes (A/D > 3 on both the Nasdaq and NYSE!!) and scaled up to 3 contract round trips, then lost everything on two losses at 6 ticks each x 3 contracts, and worked my way back with some slightly larger swing trades, starting at one contract and coming up to 3 contracts, and then quit while I was ahead. (that was one long run on sentence, no time to fix it thought!) I will try to keep this up, I think one of my new keys will be quitting while I am ahead, I was up $400 at one point! Good luck everyone – wild day today after the FED!

So today was another loser. I started out doing OK (not great) with small scalps on the ER2 and the YM. Unfortunately I then was stopped out on four trades in a row for ~$100/trade bringing me most of today’s losses. Clearly I have a problem of being stopped out for huge losses, while my wins are very small ($20/each). I pulled another hail Mary like yesterday, by leveraging up to two contracts on the ER2 to dig my way out, but ultimately lost it today on all of the losers in a row. I will work out a betting strategy for tomorrow to avoid such large losses.

This is my first post from Windows Live Writer. I switched because it is smart enough to upload both thumbnails of of my images and then to link them to full resolution copies. The images below should be much easier to see.

That being said, my trading today wasn’t bad. What the contract information above doesn’t show is that I reduced my contract size to 1 lot, so that 84 contracts was 42 round trips, for a very exciting hour and a half of trading. As you can see in my equity chart (which does include expenses now), I stayed in the green/right around year until 7:15, when I tried to trade the ES, which appears to have poor liquidity compared to the ER2, and I lost a bunch of money. Then I did a terribly thing which was to use leverage to dig myself out, I was so deep after that loss I decided to take a 3 contract swing trade long on the ER2. Lucky for me, it worked out, and I ended today profitably. That being said, I did not earn a “consistent” day that I need to begin trading real money.

I have also made several improvements to the C# Beta API relating to order management. I am in the process of creating a new ATS and am thoroughly testing all of my functions.

Look at the wicks on these ticks! I couldn’t make heads nor tails of the tick action as it would most certainly retrace before you could trade on the information. Interactive Broker’s tick information is so latent, I wonder if there is any strong correlations between some 50 of the Russell 2000 stocks and the real ticking pattern of the Russell 2000.

So today I learned the risk of a large trend day. I traded the same way as I have been the past couple of days, but lost huge on an opening trend down. As of right now the ER2 is down 11.2+ PTS! It swung above the VWAP, then went below and stayed well below all morning. As a result I went long three contracts at a retraction from the bottom (which previously indicated a rise to above the VWAP), and the bottom just kept falling out. Didn’t trade much after that, as I couldn’t tell if each dip was a dip or a trend. Will keep learning tomorow

Whew – So today was spent entirely in the negative. I fixed up my equity charts to display the running P/L “Equity after costs” to include costs (before it did not), as well as to show the individual profits after each execution. I started out just chopping up with a 50/50 win rate and just buried myself in fees. Then towards the end I took three swing trades at about 10 minutes each, which brought me up $200, $400, and then another $200 to finally get me out of my hole. Clearly swing trading is more profitable for me. I am also investigating a scalping methodology using a tool I wrote to identify premiums between the ER/IWM as well as the ES/SPY. I will keep you posted on how this performs.

This is a new utility I threw together to show the running premium between the ER and the IWM. I believe there is a scalping opportunity here if I can execute fast enough.

Stupid was the name of the game today. Today would have been very profitable, but I managed my trades very poorly. The ER2′s noise level was a little over 2 points today, and I had all of my trailing stops protecting one point. So as I called a bottom at around 11:00 am (accurately I might add) I still lost money because I walked away, letting my strategy roll, and the trailing stops kicked in early. I exasperated things by trying to scalp my way back to profits, and it just didn’t work out well. The lesson I learned is that I will use stops as a protective measure (so I don’t lose more than $200 / trade and more than $1000 / day), but I will not roll them in a strategy.

Short day today coupled with high patience = low volume for me today. I did very well on six contracts though, can’t complain about keeping fees down. I am trying very hard to wait for the markets to very clearly be out of balance before entering; and when I enter, there has to be clear indication that the market will correct back to the VWAP for me to enter.

So today I played with longer term trading again (5 minute time frame) and was more successful. As you can see most of my profits were made off a single swing on the ES with three contracts. I am playing with Button Trader to learn how to use trailing stops as my end condition, as I feel my large swings could be even more profitable if I let them ride. I need to determine how to differentiate a swing day from a trend day before I could take this strategy live.

So today I learned a big lesson in catching longer swings. I have been trying to scalp a couple of ticks here and there, and started out doing ok on this, but lately have been doing terribly. Today, midway through my trading, I noticed again that the VWAP and the prices tend to converge, so when I noticed that the ER2 was well above the vwap, and began a decent, I shorted two contracts and made $640 on a single trade. This almost dug me out of my hole from the morning. See my equity chart for what I mean. I will be writing a program to track the ER2 premium, and see if this triggers any buy/sell programs.

No time to trade today, had to run to work early, here is a screen shot though – the markets were insane today – would have liked to try my hand at it.

So today is another day I am glad to be a paper trader. I kept calling bottoms and tops prematurely. The noise on the ER2 is very large for the scalping strategies I am deploying. I may be better off on the ES, and deploying a higher frequency tick signal, as the S&P is heavily dependent on the top volume stocks.

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.

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

I have decided that I will keep all the downloads on the utilities page, download the latest release here.