Recent content by jelite

Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids from exchange allowing deterministic synchronization of depth/trade data. What is the total 'base' fee for a non-pro user that would allow the user to...

So that would be about 15-20 points per contract, which would be amazing relative to the daily range. Probably better to discuss what % of daily range one can steal from the market with consistency.

Olsen’s papers on empirical scaling laws in high frequency fax data is a good read on this topic. The length of the price ‘coastline’ is estimated there as a mere corollary.

Are you restricted to picking only one or can you allocate X% of risk to first and 1-X to second?

DTN is decent in my experience, checked it to cme datamine on a specific occasion and it matched precisely on millions of ticks. But you would have to capture all data and then test, it's doable even without high speed dbs but it requires time commitment and a lot of thinking to design properly...

Are you using your own tick-data for the backtest? Or did you get it in a package from a vendor? ES has millions of data points (~10MM) every day, you can get thousands of updates in milliseconds. To know why your real-time vs tested is different you should spend more time studying data. I am...

Nanex (if it still exists) sells historical 'tapes'-full order book data for US futures (I think they also do options). Their quality should be very good. There are not that many options for reliable (i.e. complete, and correctly sequentially ordered) data.

I only need this back to 2011.

Is there a simple way to find changes in tick sizes (minimum price increment) of liquid US futures traded on CME? I would look for dates on which tick size was adjusted (along with values before/after). One (rather painful) way of doing it is to sift through their CFTC filings and look for...

It's really trivial if you put some work in it. First you need to start with the understanding of how cme matching algorithm works and how things are reported. Everything that one needs to know to do this completely deterministically is available on cme's website. I already said too much by...

Everybody calls 'manual' something different. In futures properly reading 'DOM/tape' with a 'helper' software but still manually is helpful. Indeed, one couldn't decipher what goes on without a help of some amount of code, a significant percentage of daily traded volume happens so fast you...

So support/resistance are 1(2) tick(s) from low/high for CL(ES)? How statistically significant is that? Or do they vary day by day?

The actual question of daytrading being difficult or impossible has a clear answer and therefore is not that interesting. Therefore I find it more interesting to ask Mtrader a question. Above you say that you use a mathematical model to enter/exit positions (the entry/exit being 'manual' click)...

Try talking to DOM993, I think he developed infrastructure for NT with all sorts of redundancy (plus he is really a good guy-just talk to him).