Recent content by limbonic

If your model discovers a statistical pattern, it is natural to expect that the stability of this pattern deteriorates as you move further away from the training dataset. Especially if you go 2 years out. I assume you weren't planning on training once and using that model indefinitely. A...

Not unless you are trading in such sizes where adverse selection and price impact become real concerns. I am guessing you are not trading in that size range. (Hiding from the world that you are trying to sell you 100 shares isn't useful.)

Exchanges have provisions for market participants to display only a fraction of their order sizes in the limit order book ("hidden" orders). A market participant (or several) can display a fraction of his total order, with an option for auto-refresh until the entire hidden order is depleted --...

Right, I've been there. My objective is to mostly automate this process (I am working with a fairly large set of instruments) and parsing such human-oriented PDFs is doable, but is painful. I distinctly remember a web site that had neat compact summaries of ETF components sortable by weighting...

Ok, maybe you could walk me through your QQQQ example -- because when I request "holdings" on amex.com it usually redirects me to some other site. So, this does not help and does not satisfy my requirements above.

Seems like a trivial thing, but I can't find a single good source for ETF/HOLDR/SPDR component info: 1. exact and full component weightings (not like Yahoo's partial list of top components) 2. the info needs to be current and updated whenever the weightings change or a component is...

Thanks. I've discussed this question in several places and have come to a conclusion that is similar to what you are saying. The "price" is what your expectation would be in an upcoming trade -- because this is how you are going to "mark to market". As such, you ought to be building a model for...

This leaves a few questions (relevant at very high frequency): 1. is the last price more meaningful than bid/ask midpoint? Think about this: the last price may have been a market order and whoever took liquidity paid the spread cost. Depending on whether the market order was a buy or a...

If this question is too basic, please point me to where I can find some old discussions, etc. I would imagine everyone has to answer what "price" is for themselves when starting to build a trading platform...

This might be a FAQ, but given a historical data feed like opentick (specifically, quote and trade tick streams), how do you define "price"?: - bid/ask midpoint - last trade There is the additional complication of multiple trading venues: the primary listing exchange, regional exchanges...