In any case, this release has incorporated all of the changes with IB’s 9.51 release, the decimal conversion, and a series of bug fixes.

As always, goto the utilities page to download here, or download directly from here.

9.4.0.9 Bug Fix and Clean up - 2/10/08

• Made all EventArgs Serializable as well as the new enumeration FATypes.
• Fixed bug in OrderType.MarketOnClose - changed Description from "MKTCLS" to "MOC"
• Fixed RequestExecution method to allow you to pass a null or empty filter to get all executions.
• Changed HistoricalRequest Response. Added two parameters to the event args that lets the user know how far the download is. Also no longer calls function after download completed with null entries, since you can determine that the call is complete by the Record Number / Record Count properties.
• Made EnumDescConverter Static, as all methods were static.

As usual, download it from the utilities page here, or directly here.

Please note this release has breaking changes, not to functionality, but you will have to update your events and function calls to the correctly spelled equivalents.

• 9.4.0.8 Code Clean up - 1/31/08
  • Ran Vs2008 Code Analysis Wizard / FxCop and implemented cleanup
    • Numerous Spelling Changes
      • All Mkt references went to Market
      • All Req references went to Request etc.
      • All Lmt references went to Limit
      • All Indice references went to index
    • Added a lot of CultureInfo related fixes, making sure to provide invarient parsing
  • Fixed VB Client, used old contracts, and changed contract references to equity/future

As always, please go to the utility page here to get the latest release, or directly from here.

The following is the change log from the release notes

• 9.4.0.7 Bug Fix Release - 1/26/08
  • Changed FAMethod to Enumeration
  • Changed OrderState.Status to enumeration
  • Fixed several data parsing problems related to empty strings
  • Added Visual Studio 2008 solution, all files are still C# 2.0 compliant.

As I mentioned above, I now develop in Visual Studio 2008 against .net 3.5, but have been careful to keep this library C# 2.0 compliant. Let me know what platform you are using, if everyone has switched to .net 3.5, I may consider using new feature in future releases.

Without further ado, goto the utilities page to download the latest version or download directly from here.

• 9.4.0.6 API and Bug Fix Release - 12/9/07
  • Updated to support 9.40 Interactive Brokers API Release
    • What-If Order Support
    • Commission Data
    • Contract/Contract Details Refactored
  • Fixed Historical Request 1 day limitation
  • Changed TickSizeEvent Args to use TickType instead of TickerType
  • All Enums / Container classes are now marked serializable
  • Fixed bug on Stop Limit Orders "STPLMT" -> "STP LMT"

As always please post on the with any questions.

Please precede to download from the utilities page, or directly here.

So today I completed my expiration roll over (better late than never!) and even traded a round trip. I have been ridiculously busy at work lately, which has kept me from getting to trading, but I will try to make time next week again.

Rolling over isn’t as bad as I though - in quote tracker you just add the symbols, and then drag and drop the new symbols onto the current chart, and wallah!

Button trader was a little more work as you had to add the symbols and recreate the containers. No big deal really. I just had to request a new password from these guys, their license scheme is a little annoying, but very reliable software!

In any case, no additional indicators today, I have to run to work early. Hopefully this post works from Beta 3!

Various sites report implementations, but always define it in terms of indicators which have varying definitions. Namely FxStreet defines the general concept here, but only in terms of DI+/-, TR and DM+/-, each of which has varying definitions. ForexReal defines ADX here, but uses a completely different concept of TR. Stockwiz has a good overview of all of the variables used (at least they define all of their variables) here. I will be defining the ADX all the way down to price action (what you need when you are coding this…) as best I can to the original definition by J Welles Wilder.

Lets start by defining the Directional Move indicators

Directional Move Indicator

         = the Positive Direction Movement Indicator

          = the Negative Direction Movement Indicator

We use two helper variables to track the delta extreme price changes from yesterday

If today’s range is entirely within yesterday’s range, or the range is the same, then there has been no directional movement.

If the range moved up, then there has been a positive directional move.

If the range moved down, then there has been a negative directional move.

Average Directional Move Indicator

          = the Average Positive Direction Movement Indicator for N periods

          = the Average Negative Direction Movement Indicator for N periods

The Welles Wilder Average is used here to stay true to form, but this average introduces a lot of latency, so I will also implement an exponential moving average.

Alternatively, the formula for the ADM with an exponential moving average is shown below.

True Range

          is the true range for a given period. It is a measure of volatility and takes into account any overnight gap in the period’s price.

Average True Range

          is the average true range for N periods.

The Welles Wilder Average is used here again to stay true to form, but for my C# implementation I will be using the exponential moving average.

Alternatively the ATR can be calculated with the exponential moving average as shown below.

Directional Index

          is the average positive directional movement indicator normalized by the average true range.

          is the average negative directional movement indicator normalized by the average true range.

The directional index calculation is very straight forward and shown below.

Directional Movement Index

          - the directional movement index is the difference of the directional indices over the sum directional indices.

Average Directional Movement Index

          is the average directional movement calculated over N periods.

Staying true to form again, the Welles Wilder Average is used below.

Again, you can alternatively use the exponential moving average as shown below.

C# implementation

So after the laborious research to determine exactly what the ADX is and should be (exponential vs Welles Wilder Average), here is the C# implementation of this indicator.

    //The Average Directional Indicator

    if(barHistory[timePeriod].Count > 1)

    {

        //Directional Movement Indicator

        double deltaHigh = cBar.High - barHistory[timePeriod][barHistory[timePeriod].Count - 2].High;

        double deltaLow = barHistory[timePeriod][barHistory[timePeriod].Count - 2].Low - cBar.Low;

        if((deltaHigh < 0 && deltaLow < 0) || (deltaHigh == deltaLow))

        {

            sig.DmPlus = 0;

            sig.DmMinus = 0;

        }

        else
if(deltaHigh > deltaLow)

        {

            sig.DmPlus = deltaHigh;

            sig.DmMinus = 0;

        }

        else
if (deltaHigh < deltaLow)

        {

            sig.DmPlus = 0;

            sig.DmMinus = deltaLow;

        }

        //Average Directional Movement Indicator

        if(barHistory[timePeriod].Count <= 2)

        {

            sig.AdmPlus = sig.DmPlus;

            sig.AdmMinus = sig.DmMinus;

        }

        else

        {

            double a = (double) 2/(double) (calc.DMIPeriod + 1);

            sig.AdmPlus = sig.DmPlus * a +

                symbolHistory[timePeriod][symbolHistory[timePeriod].Count-2].AdmPlus * (1-a);

            sig.AdmMinus = sig.DmMinus * a +

                symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].AdmMinus * (1 - a);

        }

        //True Range Indicator

        sig.TrueRange = Math.Max(Math.Abs(cBar.High - cBar.Low),

                                 Math.Max(

                                     Math.Abs(cBar.High - barHistory[timePeriod][barHistory[timePeriod].Count - 2].Close),

                                     Math.Abs(barHistory[timePeriod][barHistory[timePeriod].Count - 2].Close - cBar.Low)));

        //Average True Range Indicator

        if(barHistory[timePeriod].Count <= 2)

        {

            sig.AverageTrueRange = sig.TrueRange;

        }

        else

        {

            double a = (double)2 / (double)(calc.ADXPeriod + 1);

            sig.AverageTrueRange = sig.TrueRange * a +

                symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].AverageTrueRange * (1 - a);

        }

        //Directional index Indicator

        if (sig.TrueRange != 0)

        {

            sig.DiPlus = 100 * sig.AdmPlus/sig.TrueRange;

            sig.DiMinus = 100 * sig.AdmMinus/sig.TrueRange;

        }

        else

        {

            sig.DiPlus = symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].DiPlus;

            sig.DiMinus = symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].DiMinus;

        }

        //Directional Movement Index Indicator

        if ((sig.DiPlus + sig.DiMinus) != 0)

            sig.Dx = Math.Abs((sig.DiPlus - sig.DiMinus)) / (sig.DiPlus + sig.DiMinus) * 100;

        else

            sig.Dx = symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].Dx;

        //Average Directional Movement Indicator

        if (barHistory[timePeriod].Count <= 2)

        {

            sig.Adx = sig.Dx;

        }

        else

        {

            double a = (double)2 / (double)(calc.DMIPeriod + 1);

            sig.Adx = sig.Dx * a +

                symbolHistory[timePeriod][symbolHistory[timePeriod].Count - 2].Adx * (1 - a);

        }

    }

Sample Data

This is a sample data set consisting of the NYSE A/D 1-min bar data (”Close”) from August 28, 2007 and the 14 period ADX in red.

You can download the new release here. Or go to the utilities page here for all releases.

The release notes for changes are below - enjoy!

9.3.0.5 Bug Fix Release
* Fixed Historical Data Requests (had improperly formatted parameter and timestamps)
* Fixed Disconnect call to properly kill the reader thread
* Added support for additional contracts (Forex, Futures, Indices)
* Began Order Classes, incomplete for now, but started a Limit Order class.
* Fixed Current Time call, it now returns a date time instead of a string.

9.3.0.4 Bug Fix Release
* Added Market On Open enumeration to Time in Force

The Kaufman Adaptive Moving Average is a great low latency moving average filter. It technically has an infinite tail, but cleverly weights the amount of signal for each new bar based on the historical trendiness. If the past data has been choppy, then each new bar is weighed very low in the average, however if the past data has offered a strong direction (regardless of magnitude) then the average weighs new signal very heavily.

There aren’t too many sites discussing the actual formula - I based my implementation on the MetaStock code found here.

I started writing this post in windows Live Writer, and found that it does not keep Visual Studio’s source formatting, so I will try to post this from Word 2007. Word is much better at formatting, but terrible with images, while Live is great with images and managing the site, but terrible with formatting.

//Direction is just present over previous price

double direction = cBar.Close - BarHistory[timePeriod][BarHistory[timePeriod].Count - cnt].Close;

double vol = 0;

//Vol is the sum of all differences in the past period

for (int ix = 1; ix < cnt; ix++)

{

vol +=

Math.Abs(BarHistory[timePeriod][BarHistory[timePeriod].Count - ix - 0].Close -

BarHistory[timePeriod][BarHistory[timePeriod].Count - ix - 1].Close);

}

//if not enough data, or there has been no price change, then AMA is price.

if ((direction == 0 && vol == 0) || cnt == 1)

{

sig.Ama = cBar.Close;

}

else

{

//Elastic ratio

double ER = Math.Abs(direction/vol);

double FastSC = 2/(calc.AMAFastEMA + 1);

double SlowSC = 2/(calc.AMASlowEMA + 1);

double SSC = ER*(FastSC - SlowSC) + SlowSC;

//This is the magic scaling/smoothing constant.

double conC = SSC*SSC;

if (cnt == 2)

{

sig.Ama = BarHistory[timePeriod][0].Close + conC*(cBar.Close - BarHistory[timePeriod][1].Close);

}

else if (cnt > 2)

{

sig.Ama = BarHistory[timePeriod][barHistory[timePeriod].Count - 2].Close +

conC*(cBar.Close - BarHistory[timePeriod][barHistory[timePeriod].Count - 2].Close);

}

}

This is easily my favorite indicator, and with a lot of tweaking can actually be made to have a lot lower latency. The key thing about noise removal, is that signals are noisiest when their trending derivative is lowest. This fact allows a lot of clever hacks to lower the latency of filters like the ATX. That being said, it is often important to use an indicator unscathed, as so much of the market uses it, its performance is a self fulfilling prophesy.

No Trading again today. I have been very actively working on an Auto Trading System, and spent this morning refining my historical data. I realize I owe everyone an updated C# IBAPI release, as I have found numerous bugs.

I also hate the way IB’s historical data works, and have spent a lot of time working out the details on how it should be parsed. I think I have the time zone stuff worked out well, but I can’t decide what the best way to call historical data is.

This was too perfect picture to not post about - the macd cross at 12:30, the stochastics at 12:35, and that was the sell signal. Lead to 4 pt profit!

Not the best way to kick off September, but given how many contracts I traded, I guess I can be grateful I didn’t lose more. Again my problem is that my average loss is much larger than my average win. This is because of my trading style, and needs to be evaluated. I have been scalping a few ticks each time, and when I brought my stop in to two ticks, I got stopped out very frequently (hence the last hour of my trading were all small losses). I need to mechanize this strategy if it will ever work. I am working now on how to download historical data. It appears I have a bug in my implementation, and will likely have to spend some time going over it. I will keep you posted!

I made up to $50 today! Then it was all gone in a single bad quick move trade…

So call your card companies and push down your rates - easiest $150/month I have ever made!

So this month there is at least a green square above! I made money before fees this month, which doesn’t mean anything, except that I have improved over my last month.

As you can see my average loser was almost twice my average winner, hence the losing money problem. I need to develop a system to cut short losing days, as I always let them grow. My win:loss ratio is exactly 50:50 (9 positive days, 9 negative).

This chart illustrates the problem, you can see several strings of positive days, but they are all for small amounts. I need to let my profits run and cut my losses short, a lot easier said than done.

Here we see the problem of fees. The gross sales accumulate very quickly, but I just whipsawed between positive and negative every day. I need to get my winners up, and my losers down.

This month, the number of contracts correlated with my net profits with a ratio of 0.0067, which is incredibly low, in fact it would be difficult for them to be less correlated. This change is especially prevalent from mid august on, as I stopped placing large orders, and kept my bets generally to single contracts.

Next month, I am going to work on a strategy to at least get my winners to be the same size as my losers.

So this post is a month late, but I think it is important to have something to compare myself to before I calculate August’s totals. This was my first month of trading, and as such I did a lot of experimenting. My undoing was that I was trading too many contracts per trade. I was entering with a minimum of two and often three contracts each time. This was my first chance to begin to get a “feel” for the market.

I averaged a daily loss of $85.50 over ten days of trading, trading an average of 45 contracts per day. This will certainly have to turn green before I consider trading real money, but it was a valuable learning experience.

This chart shows my day by day performance, I was profitable for my last two days, which finally began to dig me out of my hole. These charts are net of fees, next I will show the gross to demonstrate the problem of fees.

Here we can see that I was on a healthy clip to breaking even for the month. In fact, had I done the exact opposite of every trade I did, I would be positive! Clearly my overtrading skewed this graph in my net, as you can see days with high contract counts were made that much worst.

Here we can see a light correlation between the number of contracts and the net profit per day,  -0.58732 to be precise. This just emphasizes that I need to be more careful with my bet sizing, as it is costing me heavily.

Next Month I will work heavily on controlling my bet sizing - we will see how I did in my next post.

Sorry about these posts. For some reason Live Writer has been unable to upload - giving me a strange “XMLPC is unreachable” error, when I could easily visit my site in Internet Explorer. I just got things fixed by restarting my computer. I was out for work on Friday, and out of town yesterday, so I did not get a chance to trade the pre-labor day market. I will work on my monthly review this weekend and hopefully get those up by Tuesday.

Have a good weekend everyone!

So I blame experimentation and mistakes on my losses, well today I blame them for my gains. I lost money on the ER2 which is what I was primarily trading, but accidentally punched a forex trade in the wrong direction and left it because it immediately moved against me… I wasn’t watching it but 10 minutes later it was $75 in my favor and I came out profitable for the day!

What I am really spending my morning on is looking for some automated strategies. I am exploring relationships between raw ticks and seeing if I can find 2+tick moves that have some small predictability. I want a consistent low profit strategy, and am making progress.

Do yooooou see anything here?

So we are coming up on the end of the month, and I am beginning to think about doing a monthly review. Maybe I should do one for July and then do a comparison. In any case, today was another very experimental day. I started out scalping like I did yesterday, but yesterday the A/D’s were not breaking 1.0, today they had a hard time falling below 4, and I should have taken it as a sign to follow trends. I kept trying to call a top on the way up, and kept failing. Towards the end of the morning I began trading USD.EUR, my first day in Forex. I actually made money in FOREX, but learned that you need at least two pips in your favor just to cover fees. It was these profits that actually caused the delay in this post, as I had to update my excel profit tracker to parse the forex prices and total them.

What a noisy day - I started down, and while I never fell too far, I just couldn’t catch up. Before my last trade I was at $(10) and decided to make a hail Mary to get positive for the day, and unfortunately lost out.

What a scalpers day! I have to run to work so this will be quick - but I spent today just scalping the VERY low volume ER2 with a few trades on YM and ZN. Just very low volumes (sub 500 contracts/min ER2!) The A/D’s have been staying below 0.2 this is 5:1 decliners to advances! Will be an interesting market to keep learning in!

As you can see I did a lt more frequent trades with smaller profits and cut my losses early. Works well wen your win to loss ratio is high… wish I could do that all the time!

Today was an OK day, my first two trades today managed to catch my ideal signals in exactly opposite orientations. Unfortunately my setup is simply good at picking points at which a high rate of change will occur, and it is unable to determine price direction well. I am in the middle of three different books, and I am trying to learn the best possible optimization techniques. I will post some reviews once I get through them.

My first two trades were the large direction movement strategy, which caught the swing in the wrong direction both times. My last two trades were an oscillation strategy, which appeared to fair better. This will certainly guide which strategies I pursue.