c*******y 发帖数: 1630 | | s**r 发帖数: 685 | 2 This is useful. Taking a look. Thanks! | x**********g 发帖数: 618 | | c*******y 发帖数: 1630 | 4 我有定prorealtime.com 的data, 他们有x-tick的图,但是我觉得不便宜,
也没有API。 但是关于两者的比较可以看看。
http://www.prorealtime.com/en/x-tick-charts
不必全信。我没有足够的时间来验证,不知道有没有edge。只是顺手就买了。
【在 x**********g 的大作中提到】![](/moin_static193/solenoid/img/up.png) : Thanks for sharing
| c*******y 发帖数: 1630 | 5 现在对我来说比较困难的是,
实时x-tick图,并且标注trades,并自动截图。这样测试比较直观。
如果谁有好的例子或者library推荐,请email我。 | n**x 发帖数: 606 | 6 Can you share some more details about how you do forex scalping? I have no
experience with forex trading, appreciate if you can share some ideas..
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 花了些时间写了一个例子,给有心人看看。 : http://code.google.com/p/ib-ats-mitbbs/ : POSIX C++ API
| a*s 发帖数: 425 | 7 btw, how to download it?
Thanks
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 花了些时间写了一个例子,给有心人看看。 : http://code.google.com/p/ib-ats-mitbbs/ : POSIX C++ API
| c*******y 发帖数: 1630 | 8 subversion
【在 a*s 的大作中提到】![](/moin_static193/solenoid/img/up.png) : btw, how to download it? : Thanks
| c*******y 发帖数: 1630 | 9 doesn't have to be forex scalping,
normally, I use doji_at_ema20, then place MKT order on BO in trend.
I shared a book list not long ago. it uses
70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking.
winning% is like 60%, he introduces some tipping techniques,
which brings average stop loss down to 6 pips, but TP is the same.
nothing very new to me, but writing style is good, thinking as a scapler.
【在 n**x 的大作中提到】![](/moin_static193/solenoid/img/up.png) : Can you share some more details about how you do forex scalping? I have no : experience with forex trading, appreciate if you can share some ideas..
| a*s 发帖数: 425 | 10 Thanks, I got it
很好奇scalping的策略
通常的scalping都是一天交易多少次啊
还有胜率达到多少,才可以用在real account
我看到很多scalping的自动交易,都是backtest赚
但是实际一用,就是亏
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : subversion
| | | c*******y 发帖数: 1630 | 11 可多可少,看你的strategy,我个人是希望越多越好,
200-1000 是我的期望值。
不要以为scalping上不了台面,
JP Morgan几个不同的品种的Trading Revenue,Currency是最多的之一。
平均每笔交易,Currency赚70刀。
我不知道他们一般用什么size,70刀是scalping to HFT范围无疑了。
http://www.bloomberg.com/news/2012-02-28/jpmorgan-says-credit-s
Equity swaps and options, which produce about $200 million a quarter, had the highest revenue-per-trade of the products listed, at $30,000. Interest-rate swaps produced $12,000 per transaction, with about 30,000 trades per quarter. Foreign- exchange spot and forwards generated $70 per trade, while North American cash equities charged about 1.5 cents per share.
【在 a*s 的大作中提到】![](/moin_static193/solenoid/img/up.png) : Thanks, I got it : 很好奇scalping的策略 : 通常的scalping都是一天交易多少次啊 : 还有胜率达到多少,才可以用在real account : 我看到很多scalping的自动交易,都是backtest赚 : 但是实际一用,就是亏
| a*s 发帖数: 425 | 12 是一天200-1000?
这个胜率和spread很相关吧
the highest revenue-per-trade of the products listed, at $30,000. Interest-
rate swaps produced $12,000 per transaction, with about 30,000 trades per
quarter. Foreign- exchange
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 可多可少,看你的strategy,我个人是希望越多越好, : 200-1000 是我的期望值。 : 不要以为scalping上不了台面, : JP Morgan几个不同的品种的Trading Revenue,Currency是最多的之一。 : 平均每笔交易,Currency赚70刀。 : 我不知道他们一般用什么size,70刀是scalping to HFT范围无疑了。 : http://www.bloomberg.com/news/2012-02-28/jpmorgan-says-credit-s : Equity swaps and options, which produce about $200 million a quarter, had the highest revenue-per-trade of the products listed, at $30,000. Interest-rate swaps produced $12,000 per transaction, with about 30,000 trades per quarter. Foreign- exchange spot and forwards generated $70 per trade, while North American cash equities charged about 1.5 cents per share.
| n**x 发帖数: 606 | 13 Thanks for that! btw, what live feed to you use? you know IB doesn't have
real time tick..
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : doesn't have to be forex scalping, : normally, I use doji_at_ema20, then place MKT order on BO in trend. : I shared a book list not long ago. it uses : 70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking. : winning% is like 60%, he introduces some tipping techniques, : which brings average stop loss down to 6 pips, but TP is the same. : nothing very new to me, but writing style is good, thinking as a scapler.
| c*******y 发帖数: 1630 | 14 none is good for forex, I use ib anyway,
100ms VWAP is good enough for me.
【在 n**x 的大作中提到】![](/moin_static193/solenoid/img/up.png) : Thanks for that! btw, what live feed to you use? you know IB doesn't have : real time tick..
| a*s 发帖数: 425 | 15 what do you mean BO in trend?
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : doesn't have to be forex scalping, : normally, I use doji_at_ema20, then place MKT order on BO in trend. : I shared a book list not long ago. it uses : 70 tick chart, EMA20. 10 pips stop loss, 10 pips profit taking. : winning% is like 60%, he introduces some tipping techniques, : which brings average stop loss down to 6 pips, but TP is the same. : nothing very new to me, but writing style is good, thinking as a scapler.
| c*******y 发帖数: 1630 | 16 breakout in the direction of current trend.
I fixed some bugs in the code, considering to commit it.
but it seems there is no one wants to be part of contributors.
【在 a*s 的大作中提到】![](/moin_static193/solenoid/img/up.png) : what do you mean BO in trend?
| m***b 发帖数: 265 | 17
please commit it. thanks
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : breakout in the direction of current trend. : I fixed some bugs in the code, considering to commit it. : but it seems there is no one wants to be part of contributors.
| m***b 发帖数: 265 | 18 什么是tipping techniques? 能给个连接 谢谢--- | c**t 发帖数: 9197 | 19 牛人。
这里大多人谈鱼。
你却在谈渔。
不过个人感觉还是需要多参数,才能胜率高。 | S******t 发帖数: 8388 | 20 我要是会写程序就好了.
哎!
我很久以前自学过一点点C++, 早忘了.
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 花了些时间写了一个例子,给有心人看看。 : http://code.google.com/p/ib-ats-mitbbs/ : POSIX C++ API
| c*******y 发帖数: 1630 | 21 made more changes now, and will try to add an interactive chart myself.
fixed some bugs, there are at least two more bugs(I knew for sure).
I will commit the code after my happy friday.
Tested the code on a paper account this morning, on functionality, not
profitability.
On this NFP morning, it performs soso.
All using market orders, so I don't expect worse/better in real trading due
to slippage.
【在 m***b 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 什么是tipping techniques? 能给个连接 谢谢---
| m***b 发帖数: 265 | 22
due
---profit ,loss动态的, 大小根据什么确定的?
【在 c*******y 的大作中提到】![](/moin_static193/solenoid/img/up.png) : made more changes now, and will try to add an interactive chart myself. : fixed some bugs, there are at least two more bugs(I knew for sure). : I will commit the code after my happy friday. : Tested the code on a paper account this morning, on functionality, not : profitability. : On this NFP morning, it performs soso. : All using market orders, so I don't expect worse/better in real trading due : to slippage.
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