Recent content by Pierreg

Hi, I have a question concerning general trading: What is the difference between "Trades" and "Quotes"? My question comes from the Nyse trading systems. If you look here: http://www.nyxdata.com/nysedata/DataProducts/NYSE/CustomTAQ/tabid/731/Default.aspx?rfrby=glry-794 you will...

Is the school basically supplying this information for you? >>no, it is not just for me. But I have only a restricted access. By the way, I think I can get the info in the format you have sent, with the @ And if they are how long are you going to study this for? >>I dont know. It...

No, I just see shares and prices

1) High Volume equities (like maybe top 25-50 if possible) Yes, But what for the rest of the equities? I dont think that just 25 equities drive the market

So you are obviously good at programming somewhat if you are able to make your own program to convert this information just few lines: void main(){ std::ifstream infile("20070808"); std::ofstream outfile("ETG.txt"); string value; double i=0; while(value!="0ETG"){...

although I am guessing for relevant information you must get quite a length of time under your belt to start to make assumptions, but this is a start >>Thank you for your interest and support. It is indeed to early for me to say anything but if you are interested, we can keep in touch...

How do you think you could implement this strategy in real time? If you have the data in real time, it is definitively possible, but i am not a trader, so I am note interested in real time data. Have you tracked a single equity for longer than 1 year in length? >>No, I cannot on 1 year...

Excellent, I was unaware that you could see that sort of depth in L2. >>Well, those data are not available for free, but I can't communicate them. You wont find those in any brooker. Unless you pay for it. What conclusions are you drawing so far, but a far better question is - 1) Have...

is this Level II information fed into a spreadsheet or something? yes, it is my own stuff. I can send you a snapshot of my spreadsheet. But it is not live data. Only backdated. As you can see, it the data are filled second by second.

When you are speaking market depth, you are speaking how many are available on just the bid and ask?.. >> I speak about the whole range: from 0.01 to 200. Here is an other one; I dont remember I think it is Google, or AMZN. The black range is the spread

Thank you for the book. I well keep the refs. Yes, I have "found" interesting things. As you can see on the second attached file, this is the spectrogramme of the stock: BJS. On the horizontal line you have the time and the verticals line you ve got the level prices. (top: ask...

Hi I am studing, as a Phd student, high frequency moves of stocks on the NYSE. That's is the intraday evolution of NYSE stocks. I have the whole market depth of all NYSE stocks. I have modelled (see the pic I have sent) the activity of the market depth for one day of Google (a.o.d...

I have questions concerning: -book order, -market depth -transactions. for NYSE stocks. Thank you