tag:blogger.com,1999:blog-35364652.post7540053347751873883..comments2024-03-15T10:28:18.248-04:00Comments on Quantitative Trading: Trading with Estimize and I/B/E/S earnings estimates dataErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger81125tag:blogger.com,1999:blog-35364652.post-58213987026421826632017-12-15T17:41:26.862-05:002017-12-15T17:41:26.862-05:00I've been using a new quant platform that both...I've been using a new quant platform that both connects to IB and to the DTN/IQFeed service. It's called AlgoTerminal, and can be found at www.algoterminal.com<br />You can develop and backtest trading strategies using historical data from IQFeed.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-86243759490175556852015-02-22T10:33:32.929-05:002015-02-22T10:33:32.929-05:00Thanks Ernie, that clarifies.
Regards, BThanks Ernie, that clarifies.<br />Regards, BAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-28056475647785981632015-02-20T16:47:15.501-05:002015-02-20T16:47:15.501-05:00Hi B,
All returns reported are based on net P&...Hi B,<br />All returns reported are based on net P&L divided by account NAV. In other words, they are levered returns. <br /><br />As the fine print says "This account has a leverage of approximately 10, and the client’s managed account will need similar leverage to achieve comparable results as the pool’s account."<br /><br />The client can dictate whatever leverage they prefer. But in general, instead of investing $1M and ask us to trade at x1 leverage, we recommend just invest $100K, so we can trade at x10 leverage.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78152920247359563262015-02-20T15:05:13.011-05:002015-02-20T15:05:13.011-05:00Hi Ernie,
Impressive return for the program, cong...Hi Ernie,<br /><br />Impressive return for the program, congratulations!<br /><br />I´ve Always wondered if such figure was meant to be with or without taking leverage into account? I.e. is that applicable to a client who opted to use 1:1 leverage for the year ?<br /><br />Thanks, BAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-22742545691812884782015-02-20T13:40:17.094-05:002015-02-20T13:40:17.094-05:00My question is: why shouldn't it be quiet?
Se...My question is: why shouldn't it be quiet?<br /><br />Seriously, we need only explain volatility, not the absence of volatility.<br /><br />Ernie<br />Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-36778168067177662502015-02-20T13:08:32.212-05:002015-02-20T13:08:32.212-05:00Hi Ernie,
US stocks markets are quiet today.
Do y...Hi Ernie,<br /><br />US stocks markets are quiet today.<br />Do you know why?<br /><br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-17825938865644806512015-02-12T19:15:06.336-05:002015-02-12T19:15:06.336-05:00I have not used IQfeed personally, so I can't ...I have not used IQfeed personally, so I can't tell you how easy their API is. I just learned from someone that this is the feed to use if you want true tick data.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-18132125689019795202015-02-12T18:46:43.608-05:002015-02-12T18:46:43.608-05:00Hi Ernie,
Thank you for response.
I used IQfeed ...Hi Ernie,<br /><br />Thank you for response.<br /><br />I used IQfeed data before, but I did not use their API.<br /><br />Have you have tried IQFeed API before? Is it easy to use Java to call their API because I use IB Java API?<br /><br />It seems they charged extra $324/year upfront for their API.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-66099024526711773682015-02-12T18:38:09.657-05:002015-02-12T18:38:09.657-05:00Rather than trying to disentangle what exactly IB&...Rather than trying to disentangle what exactly IB's volume is, just subscribe to IQFeed, which provides ticks. You can add up the trade sizes to create a bar volume yourself.<br /><br />That would not be identical to historical volume bars due to various corrections, but that's all you can get in live trading.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-9921991687961204012015-02-12T18:33:56.988-05:002015-02-12T18:33:56.988-05:00Hi Ernie,
Thank you for response.
I just chatted...Hi Ernie,<br /><br />Thank you for response.<br /><br />I just chatted with IB API support.<br /><br />I asked about the difference between <br />their snapshot data and 5s bars.<br /><br />In the beginning, I thought if we accumulate trading volume in 250ms bars, then we can get volume in 5s bars, but he told me this is not the case in IB data.<br /><br />That is what he told me.<br /><br />IB does not provide tick data,<br />and Primary Exchange update trading volume every 30 seconds, so their trading volume in snapshot data will not be consistent with that in 5s bars. And 5s bars will not be consistent with historical 1 mins bars because there is bust and cancellation. <br /><br />Basically, I am quite confused with what "snapshot" means in IB data. (250ms update)<br /><br />For many stocks, there may be no trades even in 1 min bars.<br />How often do they update trading volume for their snapshot data? every 30 seconds ??<br /><br />Thanks.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-569084127502305362015-02-12T18:14:31.391-05:002015-02-12T18:14:31.391-05:00The exchanges data feed is tick-based: it reports ...The exchanges data feed is tick-based: it reports every trade and quote updates, so I am not sure how it can update volume every 30s. If you have the reference to your statement, please post it here.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-57951085440047707052015-02-12T16:50:34.139-05:002015-02-12T16:50:34.139-05:00Hi Ernie,
However, in IB, it seems that accumulat...Hi Ernie,<br /><br />However, in IB, it seems that accumulated volume in 250ms bars will NOT be consistent with that in 5s bars.<br /><br />And 5s bars will not be consistent with historical 1 mins bars since Primary Exchange update their volume officially every 30 seconds.<br /><br />Is that right?<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-22237084077423364402015-02-12T08:10:58.130-05:002015-02-12T08:10:58.130-05:00I don't see why snapshots data have missing vo...I don't see why snapshots data have missing volume. IB's snapshots are basically 250ms bars.<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-42611901371621759752015-02-12T02:29:02.552-05:002015-02-12T02:29:02.552-05:00Hi Ernie,
I want to build an indicator using trad...Hi Ernie,<br /><br />I want to build an indicator using traded volume.<br /><br />Do you believe that it is better to use <br />5 seconds bars instead of ticks data in IB (snapshot data) because there may be some traded volume missing in snapshot data, but 5s bars have all traded volume?<br /><br />Many thanks.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-24940622373964231542015-02-11T22:20:22.596-05:002015-02-11T22:20:22.596-05:00I have used that before, but we generally use tick...I have used that before, but we generally use ticks these days.<br /><br />Stocks volume should be consolidated across all exchanges.<br /><br />Ernie Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-79458655584844171532015-02-11T19:19:09.549-05:002015-02-11T19:19:09.549-05:00Hi Ernie,
In IB API, they provide 5 seconds bars ...Hi Ernie,<br /><br />In IB API, they provide 5 seconds bars for market data, did you use that before?<br /><br />Does its traded volume cover all Exchanges in IB?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-84790443741731356322015-02-11T15:33:04.614-05:002015-02-11T15:33:04.614-05:00Yes I have. If you use volume bars, the distributi...Yes I have. If you use volume bars, the distribution is close to normal. <br />Ernie Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-92127897395741124632015-02-11T15:24:25.853-05:002015-02-11T15:24:25.853-05:00Hi Ernie,
Did you compute VPIN?
Do you use t dis...Hi Ernie,<br /><br />Did you compute VPIN?<br /><br />Do you use t distribution or Z (normal)<br />distribution to compute CDF?<br /><br />Is there any difference?<br /><br />Thanks.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-71319460198815224592015-02-11T14:22:48.286-05:002015-02-11T14:22:48.286-05:00No, Leo, I haven't.
ErnieNo, Leo, I haven't.<br />Ernie Ernie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-3193565754544514672015-02-11T13:40:34.940-05:002015-02-11T13:40:34.940-05:00Hi Erine
Have you ever traded FX at Lmax? Any Com...Hi Erine<br /><br />Have you ever traded FX at Lmax? Any Comment?<br /><br />Thanks<br /><br />leoAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-91954443231585749022015-02-07T11:36:22.052-05:002015-02-07T11:36:22.052-05:00Hi JM,
We have made continuous improvement to the ...Hi JM,<br />We have made continuous improvement to the strategy since 2010, but it has been stable since 2012.<br />We cannot disclose exactly what data we used, for obvious reasons.<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-4181785109035984932015-02-07T09:51:33.643-05:002015-02-07T09:51:33.643-05:00thanks Ernie!
you said "For the FX strategy,...thanks Ernie!<br /><br />you said "For the FX strategy, we have been running it live since 2010, so that is better than a walk forward test. Prior to 2010, we backtested it since 2008, and probably walk forward tested it for a couple of months before trading live. "<br /><br />So you have the same strategy parameters since 2010? or you change parameters for example month to month?<br /><br /><br />you said:<br />"We don't generate signals using bar data. We use tick data. Of course, on IB tick data really just means 250ms bars."<br /><br />do you use <br />1.bid/ask size data <br />2.direction of tick change data <br />3. deep level of bid/ask size data (5 best bid ask levels)?JMnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-82128327234048080422015-02-06T15:50:36.729-05:002015-02-06T15:50:36.729-05:00Hi Ernie, thanks for this information. I do plan t...Hi Ernie, thanks for this information. I do plan to come and will hopefully meet you folks.<br /><br />-RB<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-75347275726449749272015-02-06T15:09:46.812-05:002015-02-06T15:09:46.812-05:00Hi RB,
Outline: "It is commonly believed that...Hi RB,<br />Outline: "It is commonly believed that low frequency strategies require only low frequency data for backtesting. We will show that using low frequency data can lead to dangerously inflated backtest results even for low frequency strategies. Examples will be drawn from a closed end fund strategy, a long-short stock strategy, and a futures strategy."<br /><br />This is about sometimes we have to use 1-min bar data or even tick data to backtest a strategy that trades just once or twice a day. <br /><br />Don't come to NY just to listen to me! Come because there are other speakers you like (see their talk outlines at the bottom of quantcon.com)<br /><br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-3318710495267108412015-02-06T15:01:11.214-05:002015-02-06T15:01:11.214-05:00Hi Ernie, I meant to ask you about your planned ta...Hi Ernie, I meant to ask you about your planned talk on low frequency data at quantcon. I am considering whether to travel to NY for this but not sure. If you can share, can you give a high level description beyond whats mentioned there - is this in regard to a problem with per-minute data, and other time frames, or is it something else?<br /><br />Thanks,<br />-RB<br />Anonymousnoreply@blogger.com