2008 Feb 06 - Wed

Scalped Straddles

Today I put the two words 'scalp' and 'straddle' into google to see what I could glean. I came up with a number of sites that could be of interest. Most of them talk about gamma straddles (option trading mechanism using one of the 'greek's) being tuned with scalp trades.

• Optionetics: an old article, but has some good warnings about the supposed profit features of straddles (the basic problems being of time decay, and the uncertainty of the movement).
• Market Maker Approach to Straddle Trading: this site by VTraderPro whets your appetite, but really, really wants you to sign up for a course. But the article does have some good caveats to keep on sane when trying to trade this popularized scheme.
• Elite Trader, Optimal Approach to gamma scalping is an article on gamma scalping. Here the participants get down and dirty on ways of doing things, and what to look out for.
• A link to led to their homepage with some fairly detailed market calendars and forums. This article on a GBP/USD Hourly Scalp got me to the site in the first place. I took a quick glance. There may be some useful scalping techniques in there for forex trading.
• Vega Scalping by Akalawoo is about scalping option greek Vega. The English in the blog is a bit off, but the fellow lays it on the line of what he does in various markets.

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C# Drivers and Indicators on SourceForge

For the code in the zip files I released back in 2007/10/07, I've uploaded it to SourceForge. The code can be reviewed and downloaded via Subversion. In summary, these are a series of C# routines designed for use in market trading applications.

Some of the IQFeed utilities can be used without SmartQuant libraries. The standalone IQFeed utilities are desigend to retrieve live as well as historical data from DTN/IQFeed's services.

The Sockets directory provides one mechanism for asynchronously receiving data from a socket and passing it upwards through the stack of waiting routines.

In the Trading.PatternAnalysis directory is an example of a ZigZag or PeakMatching indicator. Be aware that it is a lagging indicator, but it is good for keep track of the peaks and valleys of price movement through the day.

There are three indicators supplied in the Signals library: Darvas (currently set with aggressive signallig), Pivots (the self fulfilling floor trader signals), and TVI (which is a trade volume index indicator).

Probably the most interesting file in the SmartQuant directory is the Accumulation.cs file. It shows a mechanism for running a sliding window (based upon seconds duration) through a live series of data and obtaining some deviation, variation, mean, and Bollinger Band statistics for the window.

In the same file are some files for setting up a Microsoft SQL Server database for maintaining IQFeed mktsymbol.txt information, trading calculations, and related information.

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C# Genetic Programming Code Released on SourceForge

I've released my Genetic Programming code library on SourceForge.

The code can be viewed through SubVersion. The most interesting directory is the GeneticProgramming directory where the Node, Individual, and Population algorithms are maintained. The remaining directories are devoted to testing, scaffolding, and runtime environments. The code has been written to integrate with SmartQuant's QuantDeveloper Trading Strategy Development Environment. With a little effort, it can be modifed to work in other environments. At some point, I plan to take the basic code and convert it to C++ to run with the new trading environment I'm developing.

The code is released to use as you wish. Feedback on the Sourceforge forum would be appreciated.

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