Recent content by rivercode

I want to create continuous futures contracts from my historical intraday data but do not have the historical Last Trade Date, First Notice Date, First Delivery Date,etc for each contract. Any idea where to get or buy this data for about 30 CME futures contracts from 2008 ? Thanks for your help.

Nanex and TickData.com have good data but are expensive as you are buying the data. You can now rent data access with the QuantGo.com cloud where you pay a fixed monthly fee to access years of data, for example 5 years for all US data exchanges full trades and quotes ("TAQ") is $250 per month...

Check out QuantGo.com which has institutional historical data on every exchange worldwide, including the full historical CME feed with Options Futures...look for a Data Service called "US Futures Level 2 CME, CBOT, NYMEX and Comex" from the data partner AlgoSeek. They are charging $250 per...

I am looking for 3 years of intraday USA historical equities data and some options data that is reasonably priced. Specifically looking for equities tick data and want to be able to explore different symbols in a large number of names. I have been looking at various providers… CQG...

Where can I get a full list of USA stocks for Tape A, B and C (eg. NYSE, AMEX and Nasdaq) ? Trying to avoid Bloomberg or Reuters...but I cannot find source on the web (I do not mind paying for it). Thanks

Would suggest a Fri night as I am guessing that will be easier for people than weekend. How many people do you have for group ?

Are we going to do this or what ? Who wants to do it ? Finding a place in the evening after work is easy enough.

When and where are we going to meet ?

As for the blind leading the blind, that will depend on the group that he can assemble....

As a few posters have said, execution is everything if you are doing true HF strats. First (and further meets) should be in person until people get to know each other as this will allow for real sharing of ideas. Look forward to the first meeting.

What are you currently focusing on in terms of HFT ? How do you define as HFT ? What sort of HFT strategy are you looking at (big picture not "secret sauce" details) ? Why answer these Qs ? Because unless a reader knows more about what you are doing and can determine your level of...

Interesting about ARCA...I will check that out. Thanks for your real world observations. Our optimal execution (as with everyone else) is at the theoretical value, but we can wait for the fills to come to us. Focus is on liquid penny spread ATM options, for example INTC. For example the...