Tag Archives: Optimize

How to optimize Interactive Brokers Java JVM

How to optimize Interactive Brokers Java JVM

This was a comment for one of my videos. I need to do this for my Linux environment

Interactive Brokers TWS can be quite slow, especially if you follow a lot of instruments at the same time.  This article provides some useful tips for increasing Java memory size for TWS, which significantly improves performance. http://www.tradinggeeks.net/2014/05/interactive-brokers-performance-optmization/

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Optimize Portfolio with CVaR in Matlab

Optimize Portfolio with CVaR in Matlab

Conditional value at risk with Matlab demos. Also, includes theorotical segment which shows payoff diagram with distribution and slippage plots. They payoff diagrams are important to me as they focus on risk and tolerance of expected premium, break even, etc which was taught in that UCS futures & options course I did a month ago.

http://www.mathworks.com/videos/analyzing-investment-strategies-with-cvar-portfolio-optimization-in-matlab-81942.html?form_seq=conf1008

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Optimize Portfolio with Matlab 1

Optimize Portfolio with Matlab 1

A video of the first demo of portfolio optimization with Matlab using their Finance Toolbox

http://www.mathworks.com/videos/using-matlab-to-optimize-portfolios-with-financial-toolbox-81806.html

http://www.mathworks.com/matlabcentral/fileexchange/31290-using-matlab-to-optimize-portfolios-with-financial-toolbox

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Why you should not optimize or use curve fitting on your trading strategies for forex or futures? Metatrader and C++ source code

Why you should not optimize or use curve fitting on your trading strategies for forex or futures?  Metatrader and C++ source code

This made me think when you hear the pros not to use either on your trading strategies. Explanations with sample source included

http://www.forexfactory.com/showthread.php?t=263380

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How should non-HFT algo traders optimize their data handling capability?

How should non-HFT algo traders optimize their data handling capability?
With exchanges increasing their trading engine capacity, the frontend and data pipes of non-HFT traders are increasingly being choked by the vast amount of data grnerated by high frequency quotes. What is considered optimum data feed for non-HFT algo traders?
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the issue you’re addressing sounds a bit farfetched. Could you elaborate on your understanding of what is HFT and what is non-HFT? Normally I don’t see any problems with retail datafeeds for anything which tolerates a latency of 500+ ms.
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I came across a case which required a new trading instrument to be added to the trading system. There was a pipe size constraint for the price data. A recommendation was to remove another instrument of comparable data intensity so that the new instrument could be added. I wonder there are alternative solutions, eg., by way of data optimization, instead of a one-for-one replacement,
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First, which kind of pipes do you refer to? Second, do you really need to use pipes if you are into non-HFT? I highly doubt that you need unfiltered tick data with the least latency possible. Third, do you need order book information and if yes, which depth? How many instruments do you use, and how many exchanges do you need to be connected to simultaneously? Also I would repeat my request to give your definition of “non-HFT”. In other words, let’s first understand your demand for data and then compare it with the current load.
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The data pipe refers to the conduit from the exchange to the server of the market participant. It involves a leased line between the two ends. The leased line is dedicated to one exchange group, which consists of several exchanges. Data are taken from the exchanges without filtering. As you have rightly mentioned, the lowest latency should not be a requiremenr. There are a good number of instruments to access to, as there are quite a number of traders who each has his own set of requirements. Order book depth is 5 or 10 levels depending on the exchange. For this discussion, non-HFT may be taken as anything between click trading to algo trading that generates not more than 500 order messages per instrument per day by a trader.

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Next TASSQ Event on May 24th….James Campbell presents: Optimize Your Testing

Next TASSQ Event on May 24th….James Campbell presents: Optimize Your Testing

Do you know how to take your Testing from average to world-class? In this session, James will discuss the winning formula for taking your Testing to the next level. Understand how to sell and grow your Test Team/ Practice. To “up your game,” it is important to remain relevant to the business and show ongoing value and efficiency savings. Learn to examine the business aspects related to running a successful Test Practice. James will discuss the value levers and cost savings that can be measured and achieved through testing. He will talk about the ‘extra’ non-testing activities required to be implemented to motivate teams, and empower rapid growth and maturity. Finally, he will reveal how to remain competitive and relevant to the organization

 

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