Recent content by Neilsome

:D

Hi @garachen, thanks for replying to my post! I agree that the estimation will differ from the actual tag (maybe less so for very liquid futures like ES, as @jelite also pointed out). I also want to add that I wasn't able to significantly improve my "edge" with the aggressor tag alone, so I...

Hi @jelite I know aggressor side can be estimated by comparing trade price to bid/ask but am not entirely sure of the probability of correctness of this method.

Thanks for the reply @moonmist Maybe the data providers' data models are archaic/non-extensible so this feature is difficult to implement? I really fail to understand why aggressor info is such an issue with all the historical data providers. Hopefully someone will come along and let us know...

Hello Folks, Do you know of historical time & sales data provider for CME futures (ES) who also provide aggressor side info (e.g. Buy or Sell) with each trade (and hopefully aren't very expensive)? I currently use DTN IQFeed but they don't provide this info in their historical data (similar to...

Thanks for the clarification, @CliffordHarris :)

I recently opened an account at Dorman (through an IB) and am using Rithmic to trade. The application contained a page on how Dorman can sell my orders to other market-makers and get $$$ in return. I thought that only happened for stocks (SMART orders) and Futures contracts orders (via Rithmic)...