Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by Adamus Stupid newbie error. IB closes the NZD pairs from 13:00 NY time so they say - ...

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Old Nov 11, 2010, 10:33pm   #561
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Re: Pass me the axe

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Originally Posted by Adamus View Post
Stupid newbie error. IB closes the NZD pairs from 13:00 NY time so they say - although I'm sure I traded it at 15:00. Whatever, that was why I suffered such immense slippage - my stop wasn't executed until IB re-opened the NZD/USD pair at 17:15.

I don't think I can trade that.
That's BS. Your IB is BS. Watch around 5pm EST. They done you bad. You should pull stops for 15mins from 5pm EST to 5:15pm EST Monday to Friday, you could see massive slip around these times. NZDUSD is tradable 24 hours. You should really ask your IB what the hell is going on there. They screwed you bad there when they shouldnt have.
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Old Nov 12, 2010, 12:52am   #562
 
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Re: Deadline June

Adamus started this thread There's really jack **** I can do about it now. They just state simply that the market isn't open. In fact that's the case for all the forex pairs in that time window you give - 5pm EST to 5:15.

I'm not too fussed about it as it can cut both ways. I've had a few dollars from gap openings before. No surprise that I'll give them back.

I just pulled NZD/USD from my basket of forex pairs.

Shame IB can't sort it out better. They must have some crazy old reasons for it.
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Old Nov 15, 2010, 7:14pm   #563
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Re: Deadline June

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Originally Posted by Adamus View Post
There's really jack **** I can do about it now. They just state simply that the market isn't open. In fact that's the case for all the forex pairs in that time window you give - 5pm EST to 5:15.

I'm not too fussed about it as it can cut both ways. I've had a few dollars from gap openings before. No surprise that I'll give them back.

I just pulled NZD/USD from my basket of forex pairs.

Shame IB can't sort it out better. They must have some crazy old reasons for it.
Hey Adam

Do you have access to FTSE 100 Cash Intraday data, or have any idea where i can get it from?

Brett
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Old Nov 16, 2010, 8:50am   #564
 
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Re: Deadline June

Adamus started this thread I don't. Cash intraday? You mean the index? My advice would be to go direct to the source. FTSE or LIFFE I guess.
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Old Nov 19, 2010, 1:24pm   #565
 
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Re: Deadline June

Adamus started this thread Have to post a link to this interesting article here (thanks to NVP for pointing it out): learning to become a successful trader

Otherwise, still living in whipsaw land as far as trading goes, and getting my bollox squeezed in the vice that is NinjaTrader. I should commit myself to the 10 days or month that it takes to swap over to Amibroker but I keep thinking NinjaTrader will improve and that Amibroker will have a bunch of its own issues with IB, with data, with anything imaginable, plus of course it wouldn't take just ten days to learn all the quirks and tricks in Amibroker that I know for NinjaTrader. I need to clone myself.
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Old Nov 19, 2010, 1:58pm   #566
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Re: Deadline June

Cut your losses and move to Amibroker NOW. You'll pick up the code in no time and the amount of information related to it on the internet is immense.

I recently finished coding a "drawdown limit" feature into my longer term trend system. The idea is that if drawdown exceeds x% from the most recent peak, then cut all positions, and then wait for new signals to re-enter (although note that you'll only get a new signal after the original trade ran its course).

To code this you need to use the "Custom Backtest Interface" which is about as complex as it gets (for what is a fairly simple idea). The point is, I am not a computer programmer yet I managed it, partly through emailing questions to Amibroker, but also by using the resources on the net.

As for trading pairs like NZD/USD - don't bother. Just stick to the pairs which are truly liquid, which is probably fewer than 10.
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Old Nov 19, 2010, 2:11pm   #567
 
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Re: Deadline June

Adamus started this thread Oh man, if only you knew. My relationship with NinjaTrader is like one of those dumb relationships with girlfriends I use to have who would abuse me to hell but I would love them more for it. Mmm, the pain and the martyrdom.

Seriously though if I'm going to change I've got to check out Neoticker as well as Amibroker and others and even weigh up the time and effort it will require to do what I need to do in java myself.

The drawdown limit feature should be a cinch - I'm not sure I get your point.

I dropped NZD/USD on Monday or was it Tuesday. Crazy messed up system that is IB wouldn't let me trade it past 13:00 NY time. Everything else, fine. Even Singapore Dollars or Swedish Krona.

I've got 2 levels of currency pairs: a core set of about 10 which is what you mean, and the extended set of 20 which is tradeable for some systems, but it's wild. I should post some stories. Sometimes for instance on AUD/CAD, the price on the chart can jump 10 points either way without a tick in between, and the bid and the ask, forgeddabout.

Someone said that IB don't actually do those cross-trades, that they're just synthetic and IB would buy AUD/USD and then USD/CAD to give you the AUD/CAD trade. I thought that was crap when I first heard it but sometimes I think it might be true.
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Old Nov 19, 2010, 2:31pm   #568
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Re: Deadline June

I think we had this discussion many, many pages ago but here it is again. There are real currency pairs, e.g. EUR/USD, and synthetic currency pairs, e.g. GBP/JPY.

A currency pair which is actively traded, and (usually) relates to two countries which do a reasonable amount of trade with each other, is what you should apply your mechanical system to.

EUR/USD, GBP/USD, EUR/CHF, USD/JPY, AUD/USD, USD/CAD for example.

Now - as I recall, you explained to me that your system's edge was that it followed trends. There have been some fairly clear trends in EUR/USD and AUD/USD this year, but less so in USD/CAD. Nonetheless, you're only likely to get trends in pairs that people actually look at ----- people bought AUD/USD above parity because they felt they had missed the party (thereby extending the move). Who looks at AUD/CAD? One or two people, but it's not the DRIVER.

I would suggest that mechanical systems only work on the driving (or "real") currency pairs. GBP/JPY is certainly not a driving currency - it is occasionally looked at but let's be honest, the real drivers there are GBP/USD and USD/JPY, so trade them instead.

In addition, GBP/JPY is illiquid so you'll get more slippage than you would like.

Now, is NZD/USD a real currency pair or is it AUD/NZD? Probably a bit of both, but NZ is a tiny economy with an illiquid currency, so watch out.

USD/CHF? Not a real currency pair, it's just a function of EUR/USD and EUR/CHF.

AUD/CAD - definitely not. This is just a function of AUD/USD and USD/CAD, and to trade it you'll have to cross those two spreads.
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Old Nov 19, 2010, 11:48pm   #569
 
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Re: Deadline June

Adamus started this thread It wasn't that long ago at all, in fact it's quite fresh in my memory that we discussed this, although I don't think the conversation went anywhere because I see no reason except the additional costs for not trading those crosses.

AUD/NZD has costs that make it untradeable, but the others are OK on the probable returns forecasted by my testing. In fact it was also you who said I should trade systems that have a high enough return per trade to make the costs of trading irrelevant (more or less).

Tell me again why I should worry whether a particular currency pair is a 'driver' or not, or just a function of another couple of pairs? Isn't it a bit like saying, don't trade futures, only trade cash?
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Old Nov 21, 2010, 12:42am   #570
 
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Adapt and survive

Adamus started this thread This made me think all the way through of life as a trader.

Life - Hunter and Hunted
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