perth based quant and algorithmic traders, page-59

hi Mat
I had to re-read my earlier post ... but it might need clarifying. FIX is a communications protocol (not data) and is considered standard for most IBs. The data itself is insto data and not free ... but I also have "retail" purchased tick data which is no where near the resolution of the insto data (Eg insto EURJPY 2 months = 17 million ticks, retail EURJPY 2 months < 1million ticks). I went through many free data providers and at the time their purpose was good enough .. but not good enough for what I now need - mostly because its not realistic (ie for short term trading .. long term is fine).

I manually trade equities etc using CFDs but my platform is currently for the algo FX markets only.

Ah optimisation .. the great deceiver. I dont optimise .. you would be surprised how much luck you can find when you optimise ... over optimise that is. I dont really want to go into it here but there is a massive luring trap that needs to be avoided at all costs and for those that have seen it from their own experience of when you optimise the results look great and then forward test / go live and the results tank ... its called data mining bias. You can still do some very minor optimisation but its more like a blunt knife random attack approach.

I haven't yet looked at applying the algo to equities because the market times are discrete and not continuous .. the gaps on open leave too much risk on the table.

By the way you mentioned CUDA ... do you really need that much processing power? Simulating millions of scenarios would require that much power but thats the dark world of optimisation. When you upgrade to C# the increase in speed is massive.

cheers
S