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Search: Posts Made By: MXASJ
Forum: Options June 25th, 2012, 08:15 AM
Replies: 6
Views: 2,393
Posted By MXASJ
Where do you take issue with the Black (1976)...

Where do you take issue with the Black (1976) model? Your answer to that might provide an insight to the answer of what other models to consider.

Haug's book is really good to see how and why some...
Forum: NinjaTrader February 4th, 2012, 08:40 PM
Replies: 8
Views: 6,564
Posted By MXASJ
I'm guessing its because I use that in the...

I'm guessing its because I use that in the Strategies tab and enable/disable to export the data, and not as a backtest. It works fine here. Tested on ES 3/12.
Forum: NinjaTrader January 28th, 2012, 09:19 PM
Replies: 8
Views: 6,564
Posted By MXASJ
This is where the ExportData code was left off....

This is where the ExportData code was left off. Not sure which version you have, but there was a bug fix that might have addressed that issue:

// 15 December 2010: ver 3.31 Minor bug fix where...
Forum: Tech Support December 27th, 2011, 08:46 PM
Replies: 9
Views: 6,165
Posted By MXASJ
You are pretty much there. ROUTE ADD <HOST>...

You are pretty much there. ROUTE ADD <HOST> <SUBNET MASK> <GATEWAY> -p is the command to add a static route. The -p switch makes it persistant i.e. if you reboot your computer it will still be there....
Forum: Options December 22nd, 2011, 10:12 PM
Replies: 21
Views: 9,902
Posted By MXASJ
There are some pretty good resources here:...

There are some pretty good resources here: Options Education | Strategy Papers & Trading Tools - CME Group (http://www.cmegroup.com/education/options.html)

Depending on who you clear with, you...
Forum: Commodities August 20th, 2011, 12:20 AM
Replies: 24
Views: 13,901
Posted By MXASJ
VWAP: VWAP - Wikipedia, the free encyclopedia...

VWAP: VWAP - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/VWAP)
TWAP: Time Weighted Average Price - Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/TWAP)
Iceberg:...
Forum: Commodities August 18th, 2011, 10:56 AM
Replies: 24
Views: 13,901
Posted By MXASJ
kronie from a trader (you) talking to a developer...

kronie from a trader (you) talking to a developer (me) standpoint I still don't understand your question. My understanding of the phrase "sweeping the book" is taking out n levels. Looking at the 6E...
Forum: Brokers August 18th, 2011, 10:02 AM
Replies: 39
Views: 33,242
Posted By MXASJ
International Incentive Programs...

International Incentive Programs (http://www.cmegroup.com/company/membership/international-incentives.html#IIP)
Forum: NinjaTrader May 24th, 2011, 08:36 PM
Replies: 5
Views: 3,013
Posted By MXASJ
By "number of strings" do you mean consecutive...

By "number of strings" do you mean consecutive winners and losers? You can use the TradesPerformance objects MaxConsecXxx.

int myStringOfLosers =...
Forum: NinjaTrader May 24th, 2011, 09:06 AM
Replies: 11
Views: 7,708
Posted By MXASJ
Its the plot called BA. Then use Market Analyzer...

Its the plot called BA. Then use Market Analyzer rules to do what you want. The column I have set up is Red/Blue/Black based on the -1/+1/0 value of that DataSeries.
Forum: Commodities May 20th, 2011, 10:23 PM
Replies: 184
Views: 42,255
Posted By MXASJ
Looks like VXSLV is indeed a decent proxy for SLV...

Looks like VXSLV is indeed a decent proxy for SLV IV. I'll be working on closing that short vol position next week. Have a great weekend everybody!
Forum: Commodities May 18th, 2011, 02:20 AM
Replies: 184
Views: 42,255
Posted By MXASJ
I'm still in the trade as neither profit target...

I'm still in the trade as neither profit target nor stop loss has been hit. It is taking longer than I wanted, but short premium == long theta so time is on my side. You are right about the IV... the...
Forum: Commodities May 17th, 2011, 10:37 PM
Replies: 184
Views: 42,255
Posted By MXASJ
... and a chart from TOS looking at IV and HV on...

... and a chart from TOS looking at IV and HV on SLV. Looks like that VXSLV index is a good proxy for IV, which means I now have a great quick-and-dirty way to access IV in Ninja.
Forum: Commodities May 17th, 2011, 10:10 PM
Replies: 184
Views: 42,255
Posted By MXASJ
Update on SLV vol. Just realized that IQFeed...

Update on SLV vol. Just realized that IQFeed supports many of the new CBOE VX series indexes on selected ETFs and Equities. Sort of a "VIX of SLV". URL: CBOE - Micro Site...
Forum: NinjaTrader May 17th, 2011, 01:48 AM
Replies: 8
Views: 3,049
Posted By MXASJ
How about something like: ...

How about something like:

if(DonchianChannel.Lower(n)[0] < DonchianChannel.Lower(n)[1]) Print("Its headed south!!!");

Haven't tried it but that should work with COBC true or false.
Forum: NinjaTrader May 16th, 2011, 05:40 AM
Replies: 9
Views: 2,954
Posted By MXASJ
If you are trading CME products through Ninja you...

If you are trading CME products through Ninja you will want to migrate from 6.5 to 7 ASAP.

NinjaTrader Advisory 1 (http://www.ninjatrader.com/Advisory/Advisory1.php)

7 is a much better...
Forum: Traders Hideout May 16th, 2011, 01:38 AM
Replies: 24
Views: 16,972
Posted By MXASJ
Note sure if I'm answering your question...

Note sure if I'm answering your question correctly, but the data is there if you want it... if you are writing to an API. If you wanted a timestamp from R|API but only needed 1 second accuracy for...
Forum: Traders Hideout May 16th, 2011, 12:53 AM
Replies: 24
Views: 16,972
Posted By MXASJ
Rithmic's R|API. TimeStamps are expressed two...

Rithmic's R|API. TimeStamps are expressed two ints... Seconds Since Beginning Of Epoch and Microseconds.

Looking at XT_API it looks like I can get timestamps in .Net DateTime.Ticks if I wanted,...
Forum: Traders Hideout May 15th, 2011, 08:50 PM
Replies: 24
Views: 16,972
Posted By MXASJ
I'm getting my quotes with microsecond...

I'm getting my quotes with microsecond timestamps. Is somebody actually providing nanosecond timestamps?
Forum: NinjaTrader May 12th, 2011, 10:04 PM
Replies: 11
Views: 7,708
Posted By MXASJ
Pretty major rewrite, so now its officially...

Pretty major rewrite, so now its officially version 1.00. Not yet fully tested but I've added the option to get your daily high and low data from you data vendor or by the internal Ninja calculations.
Forum: NinjaTrader May 12th, 2011, 09:34 PM
Replies: 5
Views: 3,128
Posted By MXASJ
This appears to work for my purposes and doesn't...

This appears to work for my purposes and doesn't throw exceptions when used in Market Analyzer:


protected override void OnBarUpdate()
{
}
protected override void...
Forum: NinjaTrader May 12th, 2011, 07:41 PM
Replies: 5
Views: 3,128
Posted By MXASJ
Thanks Ray. The use of if(Historical) is a good...

Thanks Ray. The use of if(Historical) is a good idea for charting, but that code still does not work on both a Chart and in Market Analyzer.

My end game is some additional code I'm working on for...
Forum: Commodities May 12th, 2011, 06:27 AM
Replies: 184
Views: 42,255
Posted By MXASJ
My short vol trade in silver = Good Trade Gone...

My short vol trade in silver = Good Trade Gone Bad :(
Forum: NinjaTrader May 12th, 2011, 02:13 AM
Replies: 5
Views: 3,128
Posted By MXASJ
Also tried this. No joy: protected...

Also tried this. No joy:


protected override void OnBarUpdate()
{
// Use this method for calculating your indicator values. Assign a value to each
// plot below by replacing 'Close[0]' with...
Forum: NinjaTrader May 12th, 2011, 02:03 AM
Replies: 5
Views: 3,128
Posted By MXASJ
Indi works on chart, not in Market Analyzer. Null ref check?

Guys this one has me scratching my head. Here is the guts of a simple indicator that takes today's Highs and Lows from IQFeed and plots them on a chart:


protectedoverridevoid Initialize()
{...
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