Extracting Historical Data from Interactive Brokers API

By Matthew Scheffel

Early in my trading adventure I had need of data, and I knew my broker would provide it. I have since moved on to IQFeed (which charges for API access), but starting with Interactive Brokers API was still a valuable first step. I found their API clunky to use. It does not reliably respond to…

Risk Management Compliment: Volatility Bands

By Matthew Scheffel

In my last post I shared my max size risk management process: standard move. There is a critical flaw in this process. It assumes that the log returns of the security are normally distributed. If that assumption were true, my standard move would happen 68% of the time. Unfortunately markets are not so orderly, and…

Sync MultiCharts Database + Studies Across Computers

By Matthew Scheffel

I use my desktop and a laptop for MultiCharts. I usually use the laptop in offline mode for strategy development. Naturally it’s become annoying to pick up my progress from one computer on another. Wouldn’t it be great to sync MultiCharts database and studies across your machines? I have a working solution using Dropbox and…

Indicator for Risk Management: Standard Move

By Matthew Scheffel

I wrote this MultiCharts .NET indicator for risk management, but you could implement it elsewhere pretty easily. I size my positions based on historical volatility (standard deviation of log returns). If I have several positions on for the same reason, I’ll size them so that the dollar PnL moves from expected volatility “noise” are approximately…

Interactive Brokers Order Types and Algo Overview

By Matthew Scheffel

There are dozens of Interactive Brokers order types. I’m client that has been placing orders in the typical way since starting with them because I did not know any better. Then I saw this page on their site and it broke my mind. This entry is a summary of the order types and algos that…

Installing TA-Lib for Python on x64

By Matthew Scheffel

Following my completion of Andrew Ng’s Deep Learning Specialization, I am on a quest to create a model that predicts stock prices using a Recursive Neural Network (RNN) model. Part of that quest includes installing ta-lib for additional features. I built my model using a recursive neural network architecture followed by a dense layer with…

Ada Toolchain for AVR (Arduino) Installation

By Matthew Scheffel

This is an adventure! I kept all of my stupid failures in here in case someone else is also lazy and stupid. Behold, the Internet age! As of this writing the Ada toolchain is not easy to use, so I think we need this sort of documentation. For reference this was done on Ubuntu 14.04…

Synology DS416j – From Stock to pycurl

By Matthew Scheffel

I got a Synology DS416j NAS and wanted to use it for some basic network infrastructure tasks on top of data storage. One of these network infrastructure tasks involves updating a DNS record with my service provider, which requires a python script that uses curl, and therefore pycurl. You can install python with the package…

Reset Aruba 620 Password

By Matthew Scheffel

If you forget your password to an Aruba 620, you can perform a password reset it using the RS232 (serial) console port with some magic words. Connect to the Aruba 620 using an RS232 DB9-to-RJ45 cable. This cable is pretty standard, and is also used for a lot of Cisco equipment. The default serial settings…