Traders' Roundtable

Has anyone experience in porting existing c++ code to the .NET framework using managed extensions for wrapping unmanaged classes? Some feedback is higly welcome! *g*

I am also using individual contracts (even tick by tick) for backtesting trading systems. Cleaning the data and removing "outliers" is really a time consuming and burdensome work. Some exchanges (like EUREX) have excellent tickdata. Using tickdata gives you an advantage in designing and testing ...

@ AFG Garner

Where can I find the TR List?

@ garryboor

Which system did you use in VeriTrader? Have you also tested your parameters for robustness?


In Trend following we basically dont know wich market(s) will perform well in the coming year. Of course your backtesting will tell you that the ...

I am using an Int64 as Type for Date/Time. This way I can express any date/time (in msec resolution for tickdata) in a single value and can also use these number for calculations. (add, subtract,...)

The advantage over a Double (64Bit Floating Point) is eliminating rounding errors. You can also ...

I agree with c.f. using Float (32Bit Decimal) for price data is a good idea and saves you a lot of memory.

But using Float for calculations/quantitative algorithms is problematic, because of Rounding errors and far less precision. Using Double (64Bit Decimal) you can also check for floating point ...

My personal dream testing system:

Is capable of backtesting and realtime trading (forex, futures, equities)

Can collect/store/process tick by tick and daily data

Filters for cleaning tick by tick data (realtime)

Multiple timeframes per instrument based on tick or daily data

Synthetic timeseries ...

A great Software for Trading System development has to be able to do both. This ensures you are really trading what you have backtested. But is there really a commercial software which can do this? (capable of using a portfolio of systems/markets and Position/Money-Management)

I have built a synthetic futures contract, which is based on the tick by tick return (yield) of the real individual contracts. On Rollover (known by Date/Time) i use the return between the previous tick and the current tick of the next contract. (so the gap does not effect the synthetic)

Yield ...