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5 more: TT's TT-API (Dot Net) and X-Trader API (Excel) Sterling API (COM/ActiveX) Interactive Brokers API (COM/ActiveX, Java) Quantopian (Python)

Not all algo's trade based on order flow. Secondly, order flow analysis becomes marginalized as a useful HFT tool because of all of the spoofing and all of the cancellations. Once the CME starts charging for cancels, then this might be a good idea.

Interesting stuff: "One drawback of the Goertzel algorithm is that it is much slower than the Fast Fourier transform. In other words, in this case, the Goertzel algorithm would take more than 10 times longer than the FFT to compute. However, as a computation time comparison, Goertzel would take...

If only Hayek and Von Mises could have witnessed what they knew would happen....eventually.

Indeed....slackers all....and now the day of reckoning has arrived. Everyone knew this could not last. It was just a matter of time

To replicate the problem properly you must: 1) use the version he mentioned 2) follow his keystrokes exactly as he described

This is because the new size has not really been updated in the code. If you leave that field, perhaps the update will register internally. However, you should not have to do this....it's just a "work-around" to an event handler bug.

Likely had the wrong strike....they thought your position was in the 1.5 strike.

So you got them at 60 cents per contract then ? You must have purchased them when the stock was at 6.50 or lower. I find it hard to believe they moved up to over $8 as the underlying price is still 15% below the strike....and the underlying has moved up only $2 since you first committed. In...

So the basis for the changing lookback length is some measure of volatility or price movement ?

One analyst said that a "yes" vote would keep them in their current depression....forever.

They would be the proverbial "end of the rope"....lender of last resort. If they fail, world wide economic armageddon will follow.

Anything could happen at this point in time. The Greece situation will never go away....the Greek people cannot take one more ounce of austerity. I predict rioting there before the end of the year. Next up: Spain, Portugal, Puerto Rico. It's just gonna be wave after wave of crisis until the IMF...

Fascinating stuff.....thanks.

Yes, but I wonder if that is because you are only at the millisecond level ? Since there are 1 million nanoseconds per millisecond, could there be 2 separate trades posted on the exchange's server with the same nanosecond timestamp ? I find that hard to believe.

I have a question about the tick-level data. Currently you do not have a tick aggregation feature to create tick bars...so I must create one myself. Can I assume no two ticks have the exact same timestamp ? Is your timestamp at the millisecond or microsecond level of detail ?

Who supports Python and how many iterations/versions has it gone thru ?

re: "At one point in my career, I was really good at market timing. Calling tops and bottoms. You just can’t do it anymore. Tops never happen, and bottoms don’t get deep enough to find value. We haven’t had a 10% correction in how long? Honestly, it’s so hard to invest in this environment, I’ve...

Does ActiveTick have an ActiveX implementation ? Any docs ?

This question makes no sense since it appears they do provide the docs. Is there something wrong with their docs ?