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2007 Aug 31 - Fri

Open Document Format (ODF) and Microsoft's Open Office XML (MS-OOXML)

The Open Document Format has been a standard for a while. It is amazing that Microsoft did not take part in that standard development effort. Well, no, it's not really amazing. It is well known that Microsoft likes to embrace, extend, and extinguish. It likes lock-in. It likes to be a monopoly. Acknowledging and working with ODF would not force people to buy and use Microsoft Office, which would be a definite profit problem.

As such, Microsoft has been pushing to have it's document format designated as a standard by ECMA. Having their format designated as a standard provides them with marketing visibility. Microsoft got real serious with pushing the format as a standard back last year when the State of Massachusetts wanted to standardize on a format. ODF appeared to be on the verge of winning. Microsoft was not amused by such a goal.

With the ECMA submission, Microsoft thought they could push things through. But with a 6000 page document, it required careful review. Many participating standards bodies have reservations about the standard. Microsoft isn't amused by that. In fact, they see the push back as being so signficant, that they are starting to pay their partners to become members of the various national bodies in order to stack the vote.

I do use Microsoft products, but I'm not really enthralled by their commercial ethical conduct. I really hope Vista bites them in the behind.... even our my boss, the owner of a Microsoft Gold Partner, is not totally thrilled by Vista. But, I digress.

I'm wondering if there is a way for the person in the street to speak back against such heavy handed corporate activity.

To keep people up to date on the standards activity, there are a few related web sites:

[/Personal/Technology] permanent link

2007 Aug 30 - Thu

Cisco Log Decoding

On the Cisco-voip mailing list, there was reference to a couple of sites that provide log decoders for Callmanger and IOS:

  • TripleCombo Tool: Triple Combo is a tool to aid people troubleshoot CallManager problems by providing a listed output of SCCP, MGCP, Q931 / H225, H245 messages found in CCM traces, CCAPI/VTSP, Q931 and MGCP debugs in IOS gateway traces and versatile filtering capabilities.
  • TranslatorX: TranslatorX allows you to quickly parse through Cisco CallManager trace files and search for Q.931, H.225, SCCP (Skinny), MGCP, or SIP messages.

They aren't necessarily TAC supported, but they may help to weed through and make sense of what would be otherwise painful troubleshooting.

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2007 Aug 29 - Wed

Lighting for Moliere's Sisterhood

The last I wrote regarding lighting effects for The Sisterhood was in an article back on Aug 11 where I discussed getting the equipment ready prior to design.

Working with the equipment is a whole other story.

The set really wasn't ready for use by the actors until about Aug 29. All I could really do in the meantime was get most of the basic lights mounted and pointed in the right direction. I lit the stage with cells of three lights, with the three lights each of a different color: amber for a warm wash, a blue for a cold wash, and a lavender for part of the wash with a black actor.

In my previous article, I wrote about obtaining a second USB-DMX box so I could use the sliders on the existing lighting board as input. It did arrive, and I did use it. It was interesting to work with LightFactory to figure out which was the input and which was the output, based upon the flashing activity light on the convertor. I also found that the input channel froze every once in a while (perhaps the light board was set to send too fast). In any case, I found that I really didn't need slider input once I discovered that one can layout channels on a canvas in LightFactory. This turned out to be even better than trying to cross-patch channels in some sort of meaningful layout. By arranging the three color cells along with a no-blue blue downlight in how they lighted the stage, adjusting dimmers became easy. I simply control clicked (for selecting the amber channels) or box-selected dimmers (for the channels in one or more cells), then used the mouse scroll wheel to increase or decrease intensity as desired. I have no desire to use a lighting board after experiencing the ease in which the software allowed me to make changes on the fly.

I did spend a couple long days trying to tame the color changers though. The software made it easy to select colors and intensity, but it got in the way when trying save and retry groups and palettes. I ended up submitting five or six bug reports one morning after figuring out how to work around my frustrations. I was surprised when I received responses back that same day from the vendor to say that they had fixed the bugs. That was excellent turn around. However, that does cut both ways: why did the software have these silly bugs in the first place, but when encountered, they did fix the problems quickly.

I did spend quite a bit of time in the grid for light focussing. The PDA based remote focus software worked well in conjunction with LightFactory. I just wish it had a slider, and a better scroll back buffer. I had to turn off power management on my PDA so it would remain on, otherwise I'd have to restart the remote software as it would lose the connection to LightFactory.

For lighting, there were five major areas: an outside patio up stage right, a hallway with red wall on stage left, a bar down stage right, two sofas up stage center, and main stage area down stage center. I used three color changers in the patio area at various angles to provide various day time color changes and mixes. I used a single color changer in the hallway to cast a purple light over the hallway phone. The bar had a Source Four angled and shuttered to give a hightlight to the liquor bottles as a kind of ornamentation.

For the remainder of the stage, there was one light cell (three colors plus down light) for each of the two sofas, one for the french door entry way, three cells for down stage center, and one for the bar. I ended up having to do three long throw Source Fours to get stage left as regular lights cast a bad shadow into the hallway (only 8 ft walls).

The director decided to highlight certain parts of the stage by dimming cells in other parts of the stage when no activity was being undertaken. Ten and fifteen second fades were used to make the transitions subtle to the audience.

This play was used to come up to speed with the software. The usual excuse, if I'd had the time, I could have done more interesting things with the fades more often. As it was, it was good. A photographer took some pictures of the set as lighted for intermission set decoration. I hope to get some loaded here soon.

[/Personal/Lighting] permanent link

2007 Aug 26 - Sun

HTC P4550 Kaiser TyTN II

It is said that this device is to be released sometime during September, any where from second week to Oct 1, depending upon who you read.

This I think is the device that finally gets it right. The microSD card is externall insertable (on the P3300, you had to remove the battery and SIM card to get one installed). It has GPS built in, has quad band. It has more horsepower, more RAM and more ROM. It runs Microsoft Mobile 6 (supposedly the P3300 is upgradeable to v6 at some time).

I'll keep my eyes open to the following sites to see when it becomes available:

HTC has the user manual and quick start manuals available for download in their support pages.

[/Personal/Technology] permanent link

2007 Aug 23 - Thu

Open Source Network Empairment Emulator

I have a customer who wants to simluate file replication traffic over a Wan link. I came across NIST Net, which is a network emulation package that runs on Linux. A paper called NIST Net -- A Linux-based Network Emulation Tooldescribes the algorithms behind what it does.

While not necessarily having something to do with network empairment emulation, during my search, I did come across a document that offers up how to use IP Accounting in Cisco IOS devices. It may be a good supplement to NetFlow based packet accounting. Netflow will provide both port and address information, while IP Accounting only provides address information, and sometimes mac information.

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Open Source Site of the Day -- Some Sites Referencing SNMP Sites

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2007 Aug 17 - Fri

Genetic Programming Tool: Open BEAGLE

On the Yahoo Tech Group, Genetic Programming, is a reference to a Genetic Programming tool based upon C++, called Open BEAGLE, which stands for "Beagle Engine is an Advanced Genetic Learning Environment.

It is hosted on SourceForge.

In addition, it has a Yahoo Group. Although it appears to be based upon a Linux platform, I see someone is maintaining the ability for running in Microsoft Visual Studio 2005.

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2007 Aug 16 - Thu

Asterisk Cisco CallManager Voicemail Integration
Asterisk Cisco CallManager Voicemail Integration

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2007 Aug 14 - Tue

Recording Calls in a Cisco Environment

In one of today's Cisco listserves, there were a few suggestions for Call Recording software:

  • NICE Contact Center & Enterprise Products
  • "run Asterisk and use it as your outbound/inbound gateway. Let it open a second connection to the actual destination, and record"
  • "base something on pcapsipdump"
  • Telrex
  • Edigin
  • Witness
  • Comvurgent: "It works ok, but you have to manually type in the phone number for each call"
  • CAllReplay
  • Oreka: Oreka is a modular and cross-platform system for recording and retrieval of audio streams. The project currently supports VoIP and sound device based capture. Recordings metadata can be stored in any mainstream database. Retrieval of captured sessions is web based.

[/Cisco/Callmanager] permanent link

LINQ: Language Integrated Query

In the upcoming release of Microsoft's .NET version 3.0, code named ORCA, they have a fewature called Language Integrated Query (LINQ). [Come to think of it, v3.0 is now out, I've been rooted in C++, I'll have to get back to C@ and check it out]. The language extension allows one to write queries for anything with an iterator. Writing inline SQL queries comes immediately to mind. I've also heard that there is something called PLINQ (Parallel LINQ).

Here are a couple of references regarding the subject:

On an unrelated programming note, erlang is said to be a language for developing interacting distributed applications. One interesting capability is Hot Code Replacement (replacing code and data without stopping the system).

[/Personal/SoftwareDevelopment] permanent link

C++ STL (Standard Template Library)

Here is a nifty shortcut to make C++ do what you can do in C#:

public static void ForEach(this IEnumerable ienum, Action func)
    foreach (var v in ienum)

[/Personal/SoftwareDevelopment] permanent link

Trading Site of the Day -- Implied Volatility Data

I would say, based upon the sites I've seen so far, at least from a volatility point of view, is probably the best for information regarding volatility and its uses. As far as I can tell, they provide data only, no brokerage services. For trading purposes, ThinOrSwim can nicely supply that requirement.

IVolatility provides various and sundry scanners, the best option choice for the day, many different ways to analyze options and their combinations, as well as a knowledge base for honing your skills for any type of market. They also have, what seems to be, a weekly Trading Digest Blog, which comes out on each Monday, for helping to identify the type of market, and the types of trades to do in that market type.

Anyone can by naked calls in a rising market. The true traders ar those who can make the right option combination in a rising market, a falling market, or a sideways market.

I wish I know about this site when I first learned about options.

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2007 Aug 12 - Sun

Trading Site of the Day -- Seeking Alpha: Stock Market Opinion & Analysis

Seeking Alpha is a site containing mostly, if not all, reader contributed articles. It is quite active, even on a Sunday. One get commentary and opinion on the market in general, as well as industries and companies in specific.

One article, in particular, caught my eye today: The 'Plunge Protection Team' Working Overtime: A Play-By-Play. Gary Dorsch writes an article that does a good job of time-relating intra day market gyrations with public comments from the US President, Henry Paulson, as well as a number of other key news releases.

Perhaps by focussing on key news articles during the day, such as real time news feeds by The Fly on the Wall, one can ride and profit the market changes as they occur. That may improve the profitability of those trading the market futures such as YM.

The RSS feeds to the web site are numerous and well categoriized.

One other note to make regarding the Seeking Alpha web site. For those wanting to get noticed in the world as an 'expert' or as a 'blogger' or both, writing regular informative articles for the site would probably be of benefit. Publicity would be free.

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2007 Aug 11 - Sat

The Geek Side of Lighting

Saturday didn't start off so well. I was going to ride my pedal bike into town for the day. That was not to be. On getting on my bike, I find that it had flat. Rather than fixing the flat right then, I put it off till Sunday, and drove my car into town. This turned out to be fortuitous, as the theatre was having 'cleaning day', and I was able to pick up a few pieces of furniture to haul home. However on the way back in, I decided to take the 'scenic route' down to Flatts and back. It was such a nice day for a drive. My car didn't think so. It decided to konk out a little ways back from Flatts on Middle Road. I spent an hour or two sitting in the grass waiting for the tow truck to arrive. In waiting, I noticed that there weren't too many, if any, 20 year Toyota's still around. Most of the drivers had spiffy new cars. So being without transportation made it a bit difficult to make it to a party I supposed to go to.

Instead, much belatedly, I made it back to BMDS and worked on finishing up making DMX cables for the four new High End Color Command lights the G&S Society donated. Making up the cables went well. When it was all said and done, I had the following DMX chain:

  • My laptop running LightFactory with a 512 channel license, and the High End light fixture library
  • An Enttec DMX USB Pro adaptor, to control the DMX chain over USB from my laptop
  • Four Color Command static color change light fixtures, with DMX offset 73
  • A four channel dimmer pack for testing the ColorCommand light intensity control, with DMX offset 49
  • the 48 channel house dimmer system, at DMX offset 1

In an earlier article, I made some misguided remark as to why the Color Command offset appeared to be off by one. Upon reading the instructions, I found that the first channel is assigned to the Color Control box itself. Sets of four channels after that are each assigned to the Color Command lights: Cyan, Yellow, Magenta, and beam width. The colors turn out to be bright, intense and beautiful.

I found that even though the DMX USB Pro has a DMX in, it doesn't segregate the in-stream from the out-stream, it is simply pass through device. Therefore I couldn't connect up our ETC Express 72/144 Light Board and use it as a physical submaster board input to the software. I've ordered another DMX USB Pro to resolve that little issue: one will be 'in', one will be DMX control 'out'.

My laptop is connected to the internet through a wireless access point. My PDA has 802.11 wireless capbility. The LightFactory software has a remote telnet capability with software that can be loaded on my Windows Mobile 5 PDA. The combination makes for a time saving and vocal chord saving ability to test light focus right from within the grid.

The easy part is done. Now the fun part of doing the lighting design is next.

[/Personal/Lighting] permanent link

John H. Holland

Programs that learn, changing the course of calculation as the model accumulates experience, are rare after almost half a century of endeavor. We still have little theory to guide us and few implementations. . John H. Holland

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2007 Aug 10 - Fri

The Sisterhood ("Les Femmes Savantes")

BMDS has a new production opening up on August 30, 2007. We have another imported directory for this one, Suzann McLean. The Sisterhood is a "farce about cultural elitism and the triumph of true love over snobbery. One of Molière.s most popular comedies." The play has been modernized and is set in a chic 1980's salon. I'm assisting Doug Parker on this one. We had our first production meeting with the director earlier this month.

The set, for the internal areas, is blacks and whites. The outer courtyard will have more color in it. As of tonight, set construction has proceeded to the point where most of the basic wall structure is place. There is still some question as to how high to make the walls, a standard 8 feet, or would a total of 10 feet be better? Producer Jo Shane is working her way through that question.

From a lighting perspective, after taking a quick glance through the script, I thought it might be another simple lights-on/lights-off type of scenario. But after some clarification from the director that the story takes place over the course of the day, we find we can have some fun with light angles and colors to simulate a moving sun. In addition, the interior set has a three or four primary areas: a bar area, patio doors, a couch area, and a hallway with telephone. The director has called for subtle light changes to highlight the action areas as they occur.

Earlier in the year, the Gilbert and Sullivan society donated a new light board and four High End lights. We were able to use the lighting board for the Famous for 15 production. As we were missing cables and connections for the lights, we couldn't use the new lights then. They would have proven useful for the night club play.

I did order some DMX connectors from SIRS Electronics in McAllen Texas. I ordered through their web page. The order was handled quickly and was complete on arrival. The color lights have a controller box, and are connected to it through four pin DMX connectors. The box is connected to the light board with a five pin DMX connector. After some research on Beldin's website as to an appropriate cable to use with the connectors, I found that standard Category 5 network cable would fit the bill. There is ample supply of that type available to us.

After work this evening, Doug Parker and I met at the theatre to try out the colored lights. Mary Brier stopped by for a bit to see how things were going. Doug did the plugs for the light electricals, and I soldored some test signal cables together so we could see how the things work. After suffering through a mild blonde moment where we couldn't get the light to come on, we realized the grandmaster wasn't up (ok, that did prove my soldoring job first time through was good). Whew, simple problem number 1 down. The second problem took a bit longer to figure out. With no manuals to work from, we had to go by guess and by golly. I imagine the light manufacturer had the same question often enough, such that they printed the directions on the control box. It took a bit of fiddling, but we found an auto mode in which the control box found its light. After that, it was smooth sailing. One thing to remember is that the sliders on the light board are numbered starting from 1, and DMX channels are numbered starting at 0, which I think is why when we progammed a DMX offset of 73 into the controllor, we had slider 74 as the first active slider.

Saturday we go back in to make the remaining control cables and test out the three remaining color lights.

As part of the order with SIRS, I obtained a copy of Light Factory. Light Factory has a downloadable fixture library for the High End lights we have. Perhaps we can try out the new lights as well as the new software for the upcoming production.

[/Personal/Lighting] permanent link

2007 Aug 09 - Thu

Lighting Assistant at Bermuda Musical & Dramatic Society

Since the beginning of the year, I've been helping out with Lighting Design with the Bermuda Musical & Dramatic Society at the Daylesford Cinema on Dundonald Street in Hamilton. The first production was a straight forward, almost as simple as white lights on-white lights off, lighting requirement for Sordid Lives (A Black Comedy about White Trash). The lead lighting designer, Mary Brier, came down with pnemonia just prior to opening night. As such, I 'ran' the lights for the 10 nights the show was open. No big deal. Press the 'go cue' button when called to do so by the stage manager. Stage manger was Nicola Wilkinson, who was great to work with.

Next show up was a musical by the name of The Mystery of Edwin Drood. We had an off island director by the name of Vivienne Elborne. For lights, Doug Parker, the lighting designer on this one, took a different approach to lighting. For primary lighting, he ran with a number of clusters of three lights each. Each cluster had red, green and blue filters. As such, any color could be chosen for lighting the covered area, including white. Because three separate lights were used, we had some interesting colored shadows as artifacts. At first I thought it was a bad thing, but after a while, It seemed appropriate for how the stage had been designed. We did use some fill in whites as well as some specials. One of the specials was a white light shining out of the crypt, with a smoke generator running, as a cue to Drood to come out. It looked quite good.

Mary Brier was lead designer for the next production, Famous for 15 Minutes. This is a production with six plays, each being fifteen minutes long. Lighting this production taxed the inventory of lights and lighting channels. One of the more challenging plays of the sequence was Bermuda Triangle, which is set on a sailboat about to encounter a hurricane. This one required careful timing of lighting (lightning) and sound (thunder) queues. As the storm approached, lightning and thunder became stronger and closer together. The play that did win the Golden Inkpot was Grass is Greener. To simulate a light club we did a simple two light special by shining an emerald and a purple spot on the back wall.

[/Personal/Lighting] permanent link

Trading Site of the Day -- QWAFAFEW: A four letter word for those who can't count?

Really, that means: Quantitative Work Alliance for Applied Finance, Education, and Wisdom. Quite a mouthful. Anyway, this appears to be a current and running site for quants in various stages of the game. Regular meetings are held, and the site is chock full of presentations regarding Hedge Funds, Regression, Portfolio Construction, Simulations, etc.

Plus it has a random quote section, one of which I found rather pointed:

When asked what it was like to set about proving something, the mathematician likened proving a theorem to seeing the peak of a mountain and trying to climb to the top. One establishes a base camp and begins scaling the mountain's sheer face, encountering obstacles at every turn, often retracing one's steps and struggling every foot of the journey. Finally when the top is reached, one stands examining the peak, taking in the view of the surrounding country side and then noting the automobile road up the other side! . Robert J. Kleinhenz

Here is a self description of the group:

QWAFAFEW is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). The group was formed ... to provide a venue for quantitative researchers to discuss their evolving work with peers. ... The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry.

Another good quote. I wonder where they get their database from.

A new scientific truth does not triumph by convincing its opponents and making them see the light, but rather because its opponents eventually die, and a new generation grows up that is familiar with it. . Max Planck

On another track, they have a link to a recent New Yorker article, called Hedge Clipping, where they have an interview with an ex-analyst, now academic, Harry Kat, who has developed some software to emulate trading styles of hedge funds that he could find that had published data about their returns and asset type usage. He charges clients one third of one percent of the moeny they invest using the software. The interesting thing I learned in the article is that it is typical for fund managers to make 2 percent of the value invested, plus twenty percent of any profits that the fund generates. A nice little return, for the fund manager. Just so long as the fund generates significant enough returns to cover the percentages.

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2007 Aug 07 - Tue

Trading Site of the Day -- Market Delta: See Inside the Chart

I am now, quite simply, amazed. I knew what I was for and was thinking that it wasn't truly original, but I had not been able to find it. Until now. Of course, it was already there, but I just didn't know what to look for.

In a previous post, I discussed the sequence of events I encountered in realizing the power of the Market Profile, and that it will yield good information about a symbol's meanderings. Market Profile is mostly about price brackets over the course of a period of time, which is typicall a day's duration broken down into 30 minute intervals.

But knowing that volume has much to do with interpreting market activity, I knew that Market Profile needed that 'something extra'.

Market Delta takes the Market Profile concepts, adds volume information at the bid/ask/trade perspective, and provides versatile and flexible mechanisms for viewing the data in any volume related market (which excludes straight forex, but includes forex futures). Market Delta demonstrates dramatically the concepts that I knew to be possible.

Market Delta's web site has excellent training and tutorial materials. There are video presentations as well.

Market Delta works with feeds from Interactive Brokers and IQFeed, as well as others. One of the others is a broker called CQG, one that I have not heard of before, and gets a variety of reviews at www.elitetrader.

In an article called Market Profile: A Best Practice in Trading, Brett Steenbarger makes a good point that is useful in overall trading that I like to keep in mind: "be aware of value areas at one level larger than the timeframe being traded". In an Amazon review of the "Markets in Profile" book, he further enhances this by quoting from the book: "If you can correctly identify which timeframe is in control of market activity, and you have a good understanding of how the individual timeframes generally behave, then you are in a stronger position to trade, invest, and effectively control risk." I'd like to add that the same holds true for keeping track of what occured in previous time frames. Points of Control (POC), which are price points at which highest volume occurred, are good sources of support and resistance, and are an example of points of information available from previous and larger time frames.

He also makes reference to a site called WINdoTRADEr. The page to which I have linked has some interesting screen captures of the market profile in action and how previous time frames relate to following time frames.

As a side note, in a previous message, I introduced 'proprietary trading firms'. Brett says "the best strategy for finding solid proprietary trading firms is to go to the futures exchanges themselves and obtain a list of their clearing members. You'll find major prop firms within such a list. The CME education dept maintains a list; they're quite helpful--".

As another side note, of marginal interest, to make something painfully obvious, some traders build bars from ticks, rather time. And in building tick bars, they will use tick counts of 233, 37, 610, etc. And until I looked it them up, I didn't realize those are actually Fibonacci number series elements.

Anyway, to wrap this up, Market Profile and Market Delta appear to have the concepts for which I've been looking for: showing how the markets move, and offering insight into making the best use of the information relating to bid/ask/price and volume, at each price level.

[/Trading/SiteOfTheDay/D200708] permanent link

GenAlgo: Genetic Algorithms

I found a link to through a link at the Google group They advertised themselves as a site for people to publish their 'rejected papers'. I suppose one could be concerned about the quality, but I think there is enough substance there that it is a decent site with content relating to:

  • Genetic Programming
  • Artificial Intelligence (mostly fuzzy logic)
  • Data Mining
  • Neural Networks
  • JAIR Articles
  • a lightly loaded forum

Based upon the date of publication of their first newsletter, it looks like the site has been around since Aug 2006.

Probably 'THE' bibliography for related papers would be The Collection of Computer Science Bibliographies, where the Bibliography on Genetic Programming shows 5748 references at the time of this writing.

[/Personal/SoftwareDevelopment] permanent link

2007 Aug 05 - Sun

Trading Site of the Day -- Trader's Narrative

I was pointed to Trader's Narrative through a link at Elite Trader via a thread regarding margins and haircuts (the two being the same thing). This link points to a list of proprietary trading firms, where Genesis Securities is listed as one. I guess I have an exam to write to get a better haircut!

It seems that once a person has passed what is known as the Series 7 exam (a 6 hour, 250 question General Securities Representative Examination), one can join a proprietary trading firm and enjoy margins in the 20-1 region. Regular retail traders get 4-1 during the day and 2-1 over-night. There are a number of preparation books listed at Amazon. One poster suggested Securities Training Corporation.

Trader's Narrative blog also has an entry regarding the use of the McClellan Summation Index as it relates to the Nasdaq and NYSE markets. According to that index, the markets can fall some more and still be above previous declines.

A couple of links later, I found myself at VIX and More and a summary page on the McClellan Summation Index, which is basically an advance/decline tool. VIX and More should probably be on a Trading Site of the Day entry by itself. Anyway, from there, I got to where there is a description of the actual calculation at the McClellan Financial Publications.

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Shopping by Night Owls

I'm not sure who dreamed this one up, here is a good one:

While shopping on the Internet has always been a 24-hour ordeal, some retailers are starting to realize the potential of offering online-only discounts when their stores are closed. Traditional stores like Sears (SHLD), Kohl's (KSS) and Dick's Sporting Goods (DKS) are offering online-only discounts between midnight and dawn. [Reference Link]:[]

Do they want people not to go to their stores?

[/Personal/Business] permanent link

Trading System Design Thoughts: Price - Volume - Time

I spent a couple of years using SmartQuant's QuantDeveloper (now owned by QuantHouse) to evaluate the viability of various technical analysis based trading systems. I had great success with tweaking simulations to make in-band solutions work, but when it came to using the developed scenario for out-of-band data, the attempted solutions became woefully inadequate.

In reading various books and blogs, I could see that people, when trading using traditional technical analysis tools, would spend much of their time on the look-out for new stocks with a potential for a large trend, whether the trend be up or down. I asked my self why does one need to jump from stock to stock to find trades? In effect, those traders are looking for directional volatility. As a corrollory, it would appear that they are unable to make money when markets go sideways (ie, don't trend one way or the other).

The people looking for trends will always have market scanners running in order to find the 'hot stock' for the day. Depending upon the sensitiviity of the scanner, much of the trend to be found could have already been run, with very little left to go. One really needs to be in on the ground floor, but those opportunities are few and far between.

When looking through Amazon book lists for traders, all one really sees are books based upon chart analysis, technical indicators, and stock selection. During my initial research into trading, I did in fact obtain a number of those books. But as already mentioned, I became dissillusioned with what they had to say. I couldn't really put my finger on the answer to the question of why. Some good, solid, statistically validated answers became apparent once I obtained "Evidence Based Technical Analysis" by David Aronson. He basically proved what I had finally learned: a lot of published techniques are only so many words on paper. (I think I ranted about this once before, come to think of it).

While looking at equity trading, I also did a bunch of research into options trading. Good options traders know all about volatility, and how to make use of volatility in selecting an appropriate options trading strategy. Because of the wide variety of options strategies, and my inexperience with making money in this realm, I decided to back off of options, and move back to equities.

As a side note, it is interesting to note that the authors (Chacko, Jurek, and Stafford) of a paper entitled "The Price of Immediacy", in a recent issue of Journal of Finance, "show that limit orders are American options", which is a nice segue into equities. (The article number is 4458.pdf).

During the transition back to equities, I came across J. Welles Wilder Jr.'s book called "New Concepts in Technical Trading Systems". He appears to be the one who introduced the Average True Range, which is a mechanism for measuring volatility.

With a better understanding of volatility, I set out to use this knowledge in trading equities. I created a stock screener to use end of day data to find equities with good daily volatility. From an absolute volatility perspective, GOOG always landed on the top of the selection list. But one needs to be well financed to trade there as it is currently in the $500 range. ICE turned out to be a good runner up with it being in the $150 range with good daily liquidity.

I havn't assimiliated all it's nuances yet, but Joseph E. Murphy, Jr.'s book "Stock Market Probability" has much to say on statistics and probability as it relates to stock movement. Although it covers mostly long term trading, it may be useful for intraday movements.

Content of "Bollinger on Bollinger Bands" by John Bollinger assisted much in terms of understanding and measuring volatility.

In relation to Bollinger Bands, I developed a peak detection tool to determine how often an equity changes trend direction in any given day. The relationship is that peaks will typcially relate to Bollinger Band edges, and point out new edges, so to speak. Since the peak detection tool provides peak determination in a real-time delayed fashion (yes, I know I could explain that better, but it sounded more interesting that way), it can't be used directly as a trading tool, but it does yield some interesting statistics in terms of average peak-to-trough runs and their average duration. On a volatile equity, one gets lots of peaks, some bigger than others. I've found that I should be able to focus on one or two stocks regularily, and begin to learn it's idiocyncracies, and as a result trade it profitably, even though it may, from a daily chart reader's perspective, be going sideways. It may be trading side ways over a period of days, but it will have lots of intra-day ups and downs.

This, in effect, is what Market Makers do: act as sources of liquidity to traders. They play the market on both sides simultaneously. They enter the market at the beginning of the day directionless, and attempt to end the day directionaless, that is either with no portfolio, or with a portfolio with evenly matched short and longs. In Option Maker's parlance, this is called ending the day with a zero delta.

You'd think that a book by the title of "The Market Maker's Edge", which in this case is written by Josh Lukeman, provide some details about market making and how to trade in that manner. Instead, the book has a decidedly technical analysis bent, with not enough on the higher frequecy perspective on trading. "The Nasdaq Trader's Toolkit" by M. Rogan LaBier does a much better job of introducing one to Level II data, and what is happening on the markets. But the book dates itself through screen shots using fractions rather than the current decimalized system.

As a book not necessarily devoted to Level II analysis, I did find "Mastering the Trade" by John F. Carter to be extremely helpful in finding out about various market relationships, including what to look for before the market opens. It also suggested ways to make use of the trin and tick indicators while the market is open. The book "The ARMS Index (TRIN)" by Richard W. Arms, Jr. provides much background on how this works, and is a very useful tool for helping in determining short term (intra day) market movement.

So, after having said all that, I've come to realize that 'it' is really all about short term (intra day) market movement. Can one make money from all the gyrations of the market? It comes down to statistics and probability: how often are trades within a range and how often and when do they do a range extension?

It comes down to evaluating price, volume, and time.

In using Interactive Brokers Trader Workstation interface, in particular with the BookTrader interface (otherwise known as the ladder interface), one can see the latest price, bid, and ask. When subscribed to Level II, the content of the Limit Order Book is also available. By clicking on the bid or ask column at a price level, one can quickly place Limit Order bids and asks in order to bracket price movement. As price moves, the Profit/Loss of the cumulative position is updated in another column. In addition, a tick histogram is available for determining popular price levels. I find the book trader easier to work with rather than the traditional side by side bid/ask Limit Order book.

About the time I found out how that works, and how effective it is for active trading, I came across a few threads in Elite Trader which discussed this as a 'Non Linear Trading' method. One contributor explained how he used two accounts to work both sides (the buy side and the sell side) of the market at once.

Since IB isn't/wasn't all that much into customer service or special requests, I scouted elsewhere for a broker who would be willing to set something like this up. Genesis Trading turned out to be easy to work with in this regard. They were able to set me up with two trading accounts that draw off the same fund account. The only drawback with them is that they are mostly equities, they don't do the miniDow (YM), which I've been paying attention to in one fashion or another recently.

As Genesis doesn't seem to offer the equivalent of IB's BookTrader for monitoring Price - Volume - Time, I did a quick prototype in SmartQuant's QuantDeveloper. Unfortuneately, Genesis' API is somewhat lean when tied to a .NET framework. Gensis, instead, has a robust C++ framework. And since I found the .NET libraries a bit slow, I'm currently involved in rewriting my prototype in Microsoft VC++ 2007. It 'feels' faster, and 'closer to the metal'. C# is good for building systems quickly, but one loses the feeling of 'getting dirty' when working with it.

During trial runs on the C# version, I found I was getting caught up in following the tick rather than keeping track of the big picture in order to bracket trade ranges and follow range extensions. I found I needed to see the 'forest for the trees'.

My Peak Detection module was supposed to help with that, but not as much as I hoped. I came across a technique known as the Market Profile. The Market Profile breaks a day into 30 minute slices. The trading range in each time slice is marked with a letter of the alphabet and then 'draped' over the predecessor time frames. This allows one to find where most of the market action is occuring. By bracketing the 70% range, it should be possible to pick up a bunch of good trades with relatively little effort.

There are two recent books, both by Dalton/Jones/Dalton. The older one is "Mind over Markets" and should be viewed first, as it introduces the concept. The newer, recently released one is "Markets in Profile", which builds further on the theory. My plan is build and process Market Profiles in real time so as to maintain a 'big picture' view of the trading day.

There are also significant online resources for Market Profile. Much of the initial research was performed by J. Peter Steidlmayer while at the Chicago Board of Trade. The CBOT has a good Market Profile resource area including a free downloadable handbook in the educational resources area. Cisco Futures has a tutorial on Value Based Power Trading, which shares some of the material from the CBOT manual. The tutorial can also be downloaded as a .pdf. They have more links at Value Based Trading Research page.

In one of these references, I came across a remark to the effect that people were having a problem with using the Market Profile for building multiple day strategies. Given that market research indicates that any day is a 50%/50% chance of going up or down, I can see why people would have this problem. I think this is another reason to not try holding multi-day positions. Each day should be treated separately. This becomes readily apparent when doing end of day recaps, and realizing that each day moved due to some different market stimulous.

At the CBOT site, there are two good introductory articles by Jack Broz: Trade by the Book - A Guide to Reading Order Flow and Reading Order Flow. The first uses the Limit Book side by side format, while the second shows the ladder format.

The ladder format is used by many trader applications, Ninja Trader and Button Trader are ones that come to mind immediately. However, by the look of them, they don't appear to handle two simultaneous trading accounts. Hence, my motivation for coming up with my own application.

Which brings me to the present. My trading software is almost tradable, as in I'll be able to place and cancel Bid/Ask limit orders in a ladder format quite soon. There is a bunch of supporting infrastructure to implement, but the hard bit has mostly been accomplished. I hope to provide a screen capture of it in operation soon.

The goal of TradeFrame, the name I've given the software, is to provide good perspectives on price - volume - time. At each price level, accumulated volumes and ticks are presented. It is able to provide limit order book depth. And through auxilliary charts, it will provide market statistics such as tick and trin.

Then, as time goes by, I hope to try adding in semi-automation. The ultimate goal will be to fully automate the process, but can only be done once I've got a good handle on the manual process.

[/Trading/AutomatedTrading] permanent link

2007 Aug 04 - Sat

Trading Site of the Day -- Futures & Options Trader: A Magazine for Free

Who says the best things in life aren't free. I'd rank the monthly Futures & Options Trader magazine as good bang for the buck. By signing up, you get a monthly email with a link to download a pdf file full of the type of content you'd see in regular glossy magazine. For free.

This month's issue is 52 pages in length and has articles relating to the Gold market intra day performance, Lumber futures as they relate to weather, Put-Call parity analysis, Bull Call ladders, technical analysis with the Price Movement Index, plus a number of additional articles and regular features.

[/Trading/SiteOfTheDay/D200708] permanent link

Open Source Site of the Day -- Xen: OS Virtualization

VMWare is probably the pre-eminent hypervisor. Microsoft is trying to catch up with their VM. At one point, you couldnt' get Linux based guests to run (something that has now changed due to popular demand).

On the Open Source front, Xen appears to be doing well. And through contributions from both Intel and AMD, unmodified guest operating systems such as MS Windows can be run within a Xen environment. (Intel VT or AMD-V microprocessor capabilities required).

From an installation point of view, .bootstrap has an article Installing Xen on Debian Etch 4.0. Russell Coker has a couple of how-to's on installing Xen, to which I'll just reference through his Popular Posts page.

[/OpenSource/SiteOfTheDay/D200708] permanent link

Open Source Site of the Day -- PowerTOP: Saving Power with Linux on Intel Platforms

Intel spent some time analyzing the causes of power usage of Linux applications on laptops. To help users maximize laptop battery life, Intel came up with a helpful utility called PowerTOP.

Based upon what I've read, certain USB components and products are the worst contributors to bad battery life. Slashdot readers have various and sundry things to say about battery performance in general. Matthew has things to say about it in particular, especially about USB stuff not conforming to published specifications.

[/OpenSource/SiteOfTheDay/D200708] permanent link

2007 Aug 03 - Fri

Personal Co-location Registry

Paul Vixie hosts a Personal Co-location Registry. If you have a personal 1U server running, say, a trading program or some such, then looking for place for it could be as easy as looking at the site.

For trading action, where you're not trading quite enough to colo right in a market data source or broker, then setting up somewhere close to the action might be sufficient. I ended up working for a week near Wall Street last month and was walking down Broadway and passed by what is known as the Cunard Line Building, just up from the photogenic New York / Wall Street Bull. I didn't realize the significance at the time, but later found out that Telehouse operates a hosting facility on one of the floors of the building. Look for companies with rack space there if you want to get geographically real close to the action.

[/Trading/AutomatedTrading] permanent link

EDDY: End-to-end Diagnostic DiscoverY

Carnegie Mellon has a development project called EDDY which is touted for "... allowing information about the operation of disparate components in the computing infrastructure to be brought together for analysis, research, and audit. This enables a system manager to more easily pinpoint problems as they occur, allows autonomic processes to assist in prediction, management, and maintenance."

In reading through the notes, it has modules for handling SNMP, Syslog, and event logs at the minimum. There is mention of many other modules as well.

[/OpenSource] permanent link

Trading Site of the Day -- Currency Trading: Under-hyped, for once

This is site is 'different'. I can't put my finger on it. I'm sure it has corporate backing of some sort, but that could be and probably is totally irrelevant. The definite good thing about is that it has a good intro reference library to currency trading. It discusses such things as the fundamental pip, how to spot forex scams, and how to choose a broker and open an account. The site is a quick read.

The caveat is that choosing a successful trading strategy is up to the reader, which when doing currency, equities, options, derivatives, or whatever, is the hard part.

[/Trading/SiteOfTheDay/D200708] permanent link

Am I Smarter Than I Really Am?

That cuts two ways according to a paper published in 1999 by Justin Kruger and David Dunning of Cornell University. In Unskilled and Unware of It: How Difficulties in Recognizing One's Own Incompetence Lead to Inflated Self-Assessments, they say that incompetent people rank themselves as more competent than they really are, and that competent people rank themselves as less then they really are.

Incompetent people may stay that way due to the fact that we've been trained to "don't say anything if you don't have something nice to say".

I havn't taken the training myself, but supposedly the Arbinger Institute's 'Thinking Outside the Box' training is supposed to promote the ability for people who work together to mutually lift themselves out of this mental block through their own bootstraps.

I'm unable draw a direct link between that and this, but it comes to mind: once interstellar space travel becomes available, and should the top 1% of the population, intellectually wise, decide to emigrate, that would theoretically drop the average intelligence level of the population by more than 1%. Could be a scary thought. Does anyone have references to this real or imagined statistic?

Anyway, coming back to the article, or rather the end of the article. The authors provide a very well done ironic summary of their paper (are their results to be believed?):

In sum, we present this article as an exploration into why people tend to hold overly optimistic and miscalibrated views about themselves. We propose that those with limited knowledge in a domain suffer a dual burden: Not only do they reach mistaken conclusions and make regrettable errors, but their incompetence robs them of the ability to realize it. Although we feel we have done a competent job in making a strong case for this analysis, studying it empirically, and drawing out relevant implications, our thesis leaves us with one haunting worry that we cannot vanquish. That worry is that this article may contain faulty logic, methodological errors, or poor communication. Let us assure our readers that to the extent this article is imperfect, it is not a sin we have committed knowingly.

[/Personal] permanent link

2007 Aug 02 - Thu


On today's NANOG list, Marc Sachs of SRI made the following announcement regarding a BotHunter pacakge:

SRI and Georgia Tech have been working on a pretty cool new tool that will quickly locate bot traffic inside a network. A government/military version of this software has been in use successfully for about a month, and a public version was made available this week. BotHunter introduces a new kind of passive network perimeter monitoring scheme, designed to recognize the intrusion and coordination dialog that occurs during a successful malware infection. It employs a novel dialog-based correlation engine (patent pending), which recognizes the communication patterns of malware-infected computers within your network perimeter. BotHunter is available for download at and runs under Linux Fedora, SuSE, and Debian distributions.

There is also a highly interactive honeynet using BotHunter run by SRI you should look at. The URL is We are detecting dozens of new infections each day and this site is very helpful in understanding the behavior of the received malware. Also, it generates a nice list of potentially evil IP addresses and DNS queries.

For both the BotHunter software and the honeynet we'd appreciate any feedback on ways to improve them. Contact details are in the download package and on the website.

[/OpenSource] permanent link

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