tag:blogger.com,1999:blog-9614628970345784502024-08-28T05:01:00.550-07:009machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-961462897034578450.post-64884789790097123702009-12-04T20:15:00.000-08:002009-12-05T08:02:50.607-08:00This is fast enough to use on a 5-second chart. No-loop calculation of <a href="http://blog.tipster.ca/2009/10/vwap.html">VWAP </a>and standard deviation, from <a href="http://www.traderslaboratory.com/forums/46/vwap-indicator-1sd-2sd-bands-2175-8.html#post55266">Head2K</a> at traderslaboratory:<br /><br />ND = Day() != Ref(Day(), -1);<br /><br />P = (H + L) / 2;<br />VWP = P * V;<br />BI = BarIndex();<br /><br />BeginBI = ValueWhen(ND, BI);<br />BeginBI = BeginBI[BarCount -1];<br /><br />if ( BeginBI &lt; BarCount -1 )<br />{<br />Inrange = BI &gt;= BeginBI;<br />CumV = Cum(V * InRange);<br />CumVWP = Cum(VWP * InRange);<br />VWAP = CumVWP / CumV;<br />S = Cum(Ref(CumV, -1) * V * (P - Ref(VWAP, -1))^2 / CumV);<br />Variance = S / CumV;<br />SD = sqrt(Variance);<br />VWAP = IIf(InRange, VWAP, Null);<br /><br />Plot(VWAP, "VWAP", colorYellow, styleNoTitle );<br />Plot(VWAP + SD, "+1SD", colorGreen, styleDashed + styleNoTitle );<br />Plot(VWAP - SD, "-1SD", colorRed, styleDashed + styleNoTitle );<br />Plot(VWAP + 2*SD, "+2SD", colorSeaGreen, styleDashed + styleNoTitle );<br />Plot(VWAP - 2*SD, "-2SD", colorOrange, styleDashed + styleNoTitle );<br />}<br /><br />Plot(Close, "C", colorGrey40, styleLine);9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-24686678429680800522009-12-02T16:56:00.000-08:002009-12-02T17:36:14.403-08:00<blockquote></blockquote><br /><ul><li><a href="http://www.amazon.com/Long-Short-Market-Dynamics-Strategies/dp/0470057289/">Long/Short Market Dynamics</a>, Clive Corcoran, 2007</li><li><a href="http://www.quantitativetradingsystems.com/">Quantitative Trading Systems</a>, Howard Bandy, 2007</li><li><a href="http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889">Quantitative Trading</a>, Ernest Chan, 2009</li><li>EliteTrader chats on scalping: <a href="http://www.elitetrader.com/ch/transcripts/emini_scalping.cfm">e-mini</a> * <a href="http://www.elitetrader.com/ch/transcripts/scalping_nasdaq.cfm">nasdaq</a></li><li><a href="http://www.amazon.com/gp/product/0195144708/">Trading and Exchanges: Market Microstructure</a>, Larry Harris, 2002<br /></li></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-90852437124887413252009-02-13T22:29:00.000-08:002009-02-13T22:50:16.547-08:00<ul><li>Error messages and symptoms<br /></li><ul><li>Found New Hardware Wizard<br /></li><ul><li>"Cannot install this hardware"</li><li>"Wizard cannot find the necessary software"<br /></li></ul><li>Yellow exclamation icon next to devices in Device Manager</li><li>Driver not found<br /></li></ul><li>General troubleshooting</li><ul><li><a href="http://www.uwe-sieber.de/usbtrouble_e.html">USB drives on XP and Vista</a></li></ul><li>Possible cause/solution (in order of increasing desperation)<br /></li><ul><li>INF files corrupt or missing from c:\windows\inf<br /></li><ul><li><a href="http://www.experts-exchange.com/OS/Microsoft_Operating_Systems/Windows/Windows_64-bit/Q_22918886.html">Copy </a>from another XP machine<br /></li></ul></ul><ul><ul><ul><li>usb.inf</li><li>usbport.inf</li><li>usbprint.inf</li><li>usbstor.inf</li><li>usbvideo.inf</li></ul></ul><li>INF cache corrupted<br /></li><ul><li>Delete c:\windows\inf\infcache.1</li></ul><ul><li>Scan for new hardware in device manager</li><li>Windows will re-create the INF cache</li></ul><li>USB hub powered off<br /></li><ul><li><a href="http://support.microsoft.com/kb/817900">Disable USB power management</a></li></ul><li>Corrupt Config value in HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Network</li><ul><li><a href="http://forum.sysinternals.com/forum_posts.asp?TID=17609&amp;PID=89804">solution</a></li></ul><li>Export/Import device registry settings<br /></li><ul><li><a href="http://www.annoyances.org/exec/forum/winxp/t1221504308">procedure</a></li></ul></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-76062203379623617302009-02-06T19:27:00.000-08:002009-02-06T20:10:28.622-08:00<ul><li>Software<br /></li><ul><li><a href="http://synergy2.sourceforge.net/">synergy</a>: share keyboard-mouse with multiple computers (free)</li></ul><ul><li><a href="http://www.ultramon.com/">ultramon</a>: power tools for multiple monitors<br /></li><li><a href="http://www.maxivista.com/multi_monitor.htm">maxivista</a>: use screen of 2nd laptop as external monitor on 1st laptop<br /></li></ul><li>LCD monitors</li><ul><li><a href="http://www.xbitlabs.com/articles/monitors/display/lcd-guide.html">LCD guide</a></li><li><a href="http://aryarya.net/wassyoi/lcdmemo.html">Panel list1</a></li><li><a href="http://www.widescreengamingforum.com/wiki/index.php?title=Master_Monitors_List">Panel list2</a></li></ul><li>Examples</li><ul><li><a href="http://blog.stocktickr.com/2009/01/06/should-you-trade-with-multiple-monitors-heres-how-to-tell/">stocktickr (blog)<br /></a></li><li><a href="http://www.multi-monitors.com/">multi-monitors (vendor)</a><br /></li></ul><ul><li>Laptop<br /></li></ul><ul><ul><li><a href="http://www.tradersworld.com/computers/ThinkpadT60pwithAdvancedDockingStation1.htm">review</a>: Thinkpad T60p with dock and multiple monitors<br /></li></ul><ul><ul><li>T61 problem with dock</li></ul><ul><ul><li><a href="http://forum.lenovo.com/lnv/board/message?board.id=T_Series_Thinkpads&amp;thread.id=41&amp;view=by_date_ascending&amp;page=1">lenovo forum<br /></a></li></ul><ul><li><a href="http://www.carltonbale.com/2007/07/my-new-laptop-a-thinkpad-t61/">blog posting</a></li></ul></ul></ul></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-52716494255165143332009-02-04T18:03:00.000-08:002009-02-04T18:46:13.757-08:00<ul><li>Vendor</li><ul><li><a href="http://www.amibroker.com/guide/">Users Guide</a><br /></li></ul><ul><li><a href="http://www.amibroker.com/kb/">Knowledge base</a></li><li><a href="http://www.amibroker.com/library/list.php">AFL library</a></li><li><a href="http://www.amibroker.com/newsletter/">Newsletter (archived)</a><br /></li><li><a href="http://www.amibroker.org/boards/viewforum.php?f=20">How-To articles (archived)</a></li></ul><li>Community<br /></li><ul><li><a href="http://www.mail-archive.com/amibroker@yahoogroups.com/">Users mailing list</a></li><li><a href="http://www.amibroker.org/userkb/">Users' knowledge base</a></li><li><a href="http://www.traderji.com/amibroker/">Traderji AmiBroker forum</a></li><li><a href="http://finance.groups.yahoo.com/group/AmiBroker-at/">Autotrading mailing list</a></li></ul><li>Tips</li><ul><li><a href="http://www.elitetrader.com/vb/printthread.php?threadid=125961">OpenQuant + AmiBroker</a></li><li><a href="http://www.mail-archive.com/amibroker@yahoogroups.com/msg36145.html">AFL execution frequency</a><br /></li></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-28521678468267532482009-02-04T15:07:00.000-08:002009-02-04T15:34:07.941-08:00<ul><li><a href="http://widgets.yahoo.com/widgets/inspiration">inspiration</a>: display motivational quotes from text file</li><li><a href="http://widgets.yahoo.com/widgets/day-planner-calendar">day planner</a>: 3-month calendar for goal tracking</li><li><a href="http://widgets.yahoo.com/widgets/jc-sticky-deluxe">jc-sticky-deluxe</a>: electronic post-it notes<br /></li><li><a href="http://widgets.yahoo.com/widgets/world-clock-pro">world clock pro</a>: multiple time zones, day/night tracking<br /></li><li>stock quotes</li><ul><li><a href="http://widgets.yahoo.com/widgets/scuttlebutt"></a><a href="http://widgets.yahoo.com/widgets/scuttlebutt">scuttlebutt</a>: mini chart</li><li><a href="http://widgets.yahoo.com/widgets/xrstockgain">xrstockgain</a>: portfolio gain/loss</li><li><a href="http://widgets.yahoo.com/widgets/yahoo-finance">yahoo finance</a>: stock watchlist</li></ul><li><a href="http://widgets.yahoo.com/">install yahoo widgets</a><br /></li></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-8539606046957250992009-01-16T15:44:00.000-08:002009-01-18T16:55:17.214-08:00<ul><li>Paintbar samples<br /></li><ul><li><a href="http://www.movethemarkets.com/blog/2007/01/31/quotetracker-paintbars-tutorial/">Tutorial</a></li><li><a href="http://highprobability.blogspot.com/2008/01/how-to-setup-paintbar-audible-alerts.html">Audible alerts</a></li><li><a href="http://www.research.att.com/%7Ettsweb/tts/demo.php">AT&amp;T text-to-speech generator for audio alerts</a><br /></li><li><a href="http://highprobability.blogspot.com/2008/11/how-to-make-free-automated-trading.html">Poor man's ATS<br /></a></li></ul><li>Charts<br /></li><ul><li>Sample <a href="http://highprobability.blogspot.com/2008/12/hpts-quotetracker-chart-setup-video.html">charts - QT backup<br /></a></li><li><a href="http://highprobability.blogspot.com/2007/04/block-trade-signals.html">Block trade signals</a></li><li><a href="http://highprobability.blogspot.com/2007/04/my-chart-setup.html">Sample monitors</a></li><li><a href="http://highprobability.blogspot.com/2007/03/high-probability-trade-setups.html">More charts</a><br /></li></ul><li>Documentation</li><ul><li><a href="http://www.quotetracker.biz/QTHelp/index.html?paintbars.htm">Paintbars and Alerts</a></li><li><a href="http://www.quotetracker.com/help/techind.shtml">Technical indicators</a><br /></li><li><a href="http://boards.quotetracker.com/qt-board/ubbthreads.php?ubb=postlist&amp;Board=10">Support forum</a></li><li><a href="http://www.forum.qtusers.com/index.php/board,15.0.html">QTusers</a></li><li><a href="http://www.quotetracker.com/help/ib.shtml">IB setup</a></li><li><a href="http://www.quotetracker.com/help/QTStreamingAPI.shtml">Streaming API</a><br /></li></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-68810774629388942392009-01-15T22:59:00.000-08:002009-12-02T16:54:31.354-08:00<ul><li>IB<br /></li><ul><li><a aiotitle="API and sample code" href="http://www.interactivebrokers.com/en/p.php?f=api&amp;ib_entity=llc">API and sample code</a></li><li><a aiotitle="API Reference" href="http://individuals.interactivebrokers.com/php/apiUsersGuide/apiguide.htm">API Reference</a><br /></li><li><a aiotitle="Yahoo Group TWSAPI" href="http://finance.groups.yahoo.com/group/TWSAPI/">Yahoo Group TWSAPI</a></li><li><a aiotitle="IB Forum" href="http://www.interactivebrokers.com/smf/index.php?board=2.0">IB Forum</a></li><li><a aiotitle="TWSStart" href="http://twsstart.free.fr/">TWSStart</a></li><li><a href="http://www.trade-commander.org/twslink/twslink.htm">TWSLink </a>(middleware, API abstraction layer)</li><li>ATS <a aiotitle="sample architecture" href="http://www.bearcave.com/software/market_trading/resources_and_notes/Architecture%20of%20an%20Interactive%20Brokers%20Based%20Trading%20System.html">sample architecture</a></li><li><a aiotitle="TREE data server" href="http://tree.sourceforge.net/">TREE data server</a> (real-time data capture)</li><li><a aiotitle="IB demo site" href="http://www.interactivebrokers.com/en/p.php?f=tws&amp;p=d&amp;ib_entity=llc">IB demo site</a></li><li><a aiotitle="Data feed quality" href="http://finance.groups.yahoo.com/group/amibroker/message/117539">Data feed quality</a><br /></li></ul><li>Excel</li><ul><li><a aiotitle="Beginner Guide" href="http://www.interactivebrokers.com/download/ExcelApiBeginners.pdf">Beginner Guide</a><br /></li></ul><ul><li>Wiki: <a href="http://www.chuckcaplan.com/twsapi/">TWS API *</a>* <a href="http://twsdde.wikispaces.com/">TWS DDE</a></li><li><a href="http://www.cyberxpert.com/downloads.html">IB-Excel adapter</a></li><li><a href="http://exceldna.typepad.com/">ExcelDNA</a><br /></li><li><a href="http://exceltrader.blogspot.com/">exceltrader.blogspot.com</a><br /></li><li><a href="http://www.tradewright.com/testprograms.htm">tradewright.com</a><br /></li></ul><li>Python</li><ul><li><a href="http://code.google.com/p/ibpy/">IbPy</a></li><li><a href="http://www.scipy.org/">SciPy</a></li><li><a href="http://itrade.sourceforge.net/">iTrade</a></li><li><a href="http://code.google.com/p/profitpy/">ProfitPy </a>(includes IB data collector)</li><li><a href="http://ta-lib.org/">TA-Lib</a><br /></li></ul><li>C#</li><ul><li><a href="http://www.codeplex.com/ibcsharp">WinForms trading program (Ms-PL)<br /></a></li><li><a href="http://www.dinosaurtech.com/utilities/">IB C# API library<br /></a></li><li>Live data <a href="http://www.stockbotprogramming.com/sharpcibtutorial5.php">tutorial</a></li><li><a href="http://code.google.com/p/tradelink/">Tradelink ATS</a> (open-source)</li><li><a href="http://code.google.com/p/tickzoom/">TickZoom </a>(backtesting)<br /></li><li><a href="http://www.centerspace.net/">NMath</a><br /></li></ul><li>Java</li><ul><li><a href="http://www.interactivebrokers.com/download/inst/JavaAPIQuickReference.pdf">API quick reference</a></li><li><a href="http://www.stockbotprogramming.com/java.php">Historical data via API</a></li><li><a href="http://www.bearcave.com/software/market_trading/resources_and_notes/IB%20API%20Software%20Architecture.html">Class architecture</a></li><li><a href="http://groups.google.com/group/jsystemtrader">JSystemTrader</a><br /></li><li><a href="http://sourceforge.net/projects/jopencomponents/">JOpenComponents</a></li></ul><li>Perl</li><ul><li><a href="http://www.geniustrader.org/">GeniusTrader</a></li><li><a href="http://cpan.uwinnipeg.ca/dist/Finance-InteractiveBrokers-TWS">Finance::InteractiveBrokers::TWS</a></li></ul><li>C++</li><ul><li><a href="http://www.geniustrader.org/"></a><a href="http://www.trading-shim.com/">trading-shim</a><br /></li></ul><li>R</li><ul><li><a href="http://cran.r-project.org/web/packages/IBrokers/index.html">IBrokers</a></li><li><a href="http://www.quantmod.com/">Quantmod</a></li></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-41508600030834499112009-01-15T22:31:00.000-08:002009-08-21T10:50:28.697-07:00<ul><li>Forums<br /></li><ul><li><a aiotitle="http://tickerforum.org" href="http://tickerforum.org/">tickerforum.org</a></li><li><a aiotitle="http://elitetrader.com" href="http://elitetrader.com/">elitetrader.com</a></li><li><a href="http://www.traderslaboratory.com/forums/">traderslaboratory.com</a><br /></li></ul><ul><li><a aiotitle="http://fattail.org" href="http://fattail.org/">fattail.org</a></li><li><a href="http://kreslik.com/forums/index.php">kreslik.com</a><br /></li><li><a aiotitle="http://www.trading-lab.com" href="http://www.trading-lab.com/">trading-lab.com</a></li><li><a aiotitle="http://www.traderslog.com/forum/" href="http://www.traderslog.com/forum/">traderslog.com/forum</a></li><li><a href="http://www.amichel.com/forums/viewforum.php?f=13">tradery.com</a><br /></li></ul><li>Blogs<br /></li><ul><li><a href="http://zerohedge.com">Zero Hedge</a><br /></li><li><a aiotitle="dealbreaker.com" href="http://dealbreaker.com/">dealbreaker.com</a></li><li><a aiotitle="nakedcapitalism.com" href="http://www.nakedcapitalism.com/">nakedcapitalism.com</a></li><li><a aiotitle="paul.kedrosky.com" href="http://paul.kedrosky.com/">paul.kedrosky.com</a><br /></li></ul><li>Vendors<br /></li><ul><li><a aiotitle="Interactive Brokers" href="http://www.interactivebrokers.com/smf/">Interactive Brokers</a></li><li><a aiotitle="http://finance.groups.yahoo.com/group/ButtonTraderGroup/" href="http://finance.groups.yahoo.com/group/ButtonTraderGroup/">ButtonTrader</a><br /></li><li><a href="http://forums.neoticker.com/">NeoTicker</a></li><li><a href="http://www.mjtnet.com/usergroup/">Macro Scheduler (auto-start BT strategy)</a><br /></li></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-18866165221669600032009-01-12T23:46:00.000-08:002009-12-02T16:56:09.513-08:00<ul><li>General</li><ul><li>"High Probability Trading", Marcel Link</li><li>"Trading for a Living", Alexander Elder<br /></li></ul><li>Psychology</li><ul><li>"The Disciplined Trader", Mark Douglas</li><li>"Trading in the Zone", Mark Douglas</li><li>"Fooled by Randomness", Nassim Taleb<br /></li></ul><li>Markets</li><ul><li>"Reminiscences of a Stock Operator", Edwin Lefevre</li><li>"Market Wizards", Jack Schwager (1992)<br /></li><li>"New Market Wizards", Jack Schwager (2008)</li><li>"The Stock Trader: How I Make a Living Trading Stocks", Tony Oz (2000)<br /></li></ul><li>Trading Systems</li><ul><li>"Way of the Turtle", Curtis Faith (2007)<br /></li></ul></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0tag:blogger.com,1999:blog-961462897034578450.post-40345208729886014172009-01-10T10:00:00.001-08:002009-01-10T11:53:15.692-08:00<ul><li>Libraries<br /></li><ul><li><a href="http://www.quantmod.com/">Quantmod (Jeff Ryan)</a><br /></li></ul><ul><ul><li>financial charting</li><li>market data retrieval from Yahoo, Google, IB and others</li><li>July 2008 <a href="http://www.rmetrics.org/Meielisalp2008/Presentations/Ryan.pdf">presentation</a><br /></li></ul><ul><li>R-SIG-Finance query for <a href="http://markmail.org/search/?q=quantmod&amp;q=list%3Aorg.r-project.r-sig-finance">"Quantmod"</a></li></ul></ul><ul><li><a href="http://cran.r-project.org/web/packages/IBrokers/index.html">IBrokers (Jeff Ryan)</a></li></ul><ul><ul><li>interface to Interactive Brokers TWS API</li></ul><ul><li>R-SIG-Finance query for <a href="http://markmail.org/search/?q=ibrokers&amp;q=list%3Aorg.r-project.r-sig-finance">"IBrokers"</a></li></ul></ul><ul><li><a href="http://chartsgraphs.wordpress.com/">Excel migration to R</a><br /></li></ul><li>Overview<br /></li><ul><li>Community<br /></li><ul><li><a href="http://markmail.org/browse/org.r-project.r-sig-finance">R-SIG-Finance mailing list</a></li><li>Quantitative finance: <a href="http://www.wilmott.com/index.cfm?NoCookies=Yes&amp;forumid=1">Wilmott forums</a></li><li><a href="http://www.quantnet.org/">Quantnet</a></li><li><a href="http://www.fattail.org/">fattail</a></li><li><a href="http://finviz.com/">FINVIZ</a><br /></li></ul></ul><ul><li><a href="http://cran.r-project.org/">CRAN </a>task views<br /></li></ul><ul><ul><li><a href="http://cran.r-project.org/web/views/Finance.html">Empirical Finance</a></li></ul><ul><li><a href="http://cran.r-project.org/web/views/Econometrics.html">Econometrics</a><br /></li></ul><ul><li><a href="http://cran.r-project.org/web/views/TimeSeries.html">Time Series</a></li></ul></ul><ul><li><a href="http://www.rmetrics.org/">Rmetrics - Financial Engineering and Computational Finance</a></li></ul><ul><ul><li>package <a href="http://www.rmetrics.org/rmetricsPackages.htm">overview</a></li></ul><ul><li>workshop presentations: <a href="http://www.rmetrics.org/Meielisalp2008/Presentations/">2008</a>, <a href="http://www.rmetrics.org/Meielisalp2007/Presentations/">2007</a><br /></li></ul></ul><li>Introduction to R data analysis<br /></li><ul><li>NY Times, Jan 2009, <a href="http://www.nytimes.com/2009/01/07/technology/business-computing/07program.html?pagewanted=all">"Data Analysts Captivated by R's Power"</a><br /></li></ul><ul><li><a href="http://cran.r-project.org/doc/manuals/R-intro.pdf">R for Beginners (Emmanuel Paradis)</a></li><li><a href="http://cran.r-project.org/doc/manuals/R-intro.pdf">Introduction to R (core dev team)</a><br /></li><li><a href="http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm">R time-series tutorial (Shumway &amp; Stoffer)<br /></a></li><li><a href="http://cran.r-project.org/other-docs.html">CRAN contributed docs</a></li></ul><li>Google Books preview, <a href="http://books.google.com/books?q=financial%20time%20series%20analysis">"financial time series analysis"</a><br /></li></ul>9machttp://www.blogger.com/profile/03256114059862908203noreply@blogger.com0