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I used to have a system broker who had to use multiple data feeds, depending
on the systems (mostly publicly available) in order to make them work as
they were supposed to for various clients. Systems written using Signal
data would not be profitable used on Bonneville (back when Bonneville
worked), but they would with Signal.
One trick of writing systems is to learn how to minimize the datafeed
differences. For example, use averages based on midpoint instead of on
close. Despite things like that, one of the largest losses I ever had when
I had someone run intraday systems for me was on a Friday when I got a
reversal signal at the close, and my broker didn't. He did nothing wrong,
just got a tick a second or two faster than I did, negating the signal.
Sometimes you are going to have bad days, esp. with intraday systems.
Chris
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