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I am researching a new data feed for my algo trading setup. My current focus is CME Emini futures. I need historical tick data, real time market data and market depth too. I will expand the focus on more exchanges later, may also trade on stock and forex later. I am coding a complete trading...

Thanks DarthSidious. My current order execution is Interactive Broker (IB), I run TWS just for verification, the order executed using IB Java API. I need a higher quality data, my current focus is CME emini futures historical tick data historical 1 minutes bar real time market data market...

Thanks DarthSidious, I will look into these vendors (e.g. AMP, Deep Discount Trading...). I was looking into DTN IQ as it seems quite popular and people says it has high quality. By the way, got the reply from DTN, The fee for IQFeed with Emini market depth, $50 startup fee plus $115 per...

I have asked these questions at DTN support forum, I will provide update when they responded

Hi, Anyone would share some understanding on DTN IQFeed pricing? I need Emini S&P 500 future, tick data, historical, real time data, order book. I may need other futures in near future. I have checked their website, asking by email on the pricing, anyone have any experience with DTN IQFeed...

Thanks, I will use IB for order execution only. For data feed potentially IQfeed, I'll compare it with other vendors below.

Thanks so much moonmist, I have read the threads. Just to summarise on the data feed So the list is {backtestdata.com’s TICK data, Sierra Chart real-time feed, Optimus Futures Rithmic feed and CQG}. Everyone seems to experiencing issues with IB. It seems, many people agree that IQfeed is high...

Thanks for suggesting the ACD method, I am reading the book now. The concept seems make sense (e.g. the opening price range), as usual I will have to back test on historical data, forward test on paper money, real money test on one contract (I will code it with focus on ES) then incrementally...

Thanks, I will review Wyckoff / Hershey methods, may implement these methods as part of my customised indicators. Thanks, I will look into these indicators, at least I need to narrow them into top ten or top twenty.

If we have a question, we cannot post here if we have already post it somewhere? are there ET forum rules somewhere saying that? I recently got a notice for something else that I should not do.

This sort of knowledge not obvious for me, I need to learn a lot on trading. Thanks. :) My planned thousands indicators are generic that are auto-generated by applying combination of functions. Something like Moving Average in the last 5 minutes, 10 minutes, 20.....etc. In addition of...

I wish I could do that, I don't have 5 years data, only 24 months. Anyone know where can I get ES 1 minutes bar data from 2010? From IB, I can only get 2 years.

You may want to combine ARMA with other indicators

To illustrate the process, let says I have two indicators, moving average recent 5 minutes > moving average recent 60 minutes, price increase in recent 10 minutes > 10%, the outcome to be predicted is whether in the next 10 minutes the price will increase by $25, yes or no, so binary outcome. I...

Traders without machines will get killed. ;)

In summary: Technical Analysis (TA) for building TA indicators. Fundamental Analysis (FA) + Natural Language Processing (NLP) to convert fundamental economic news into FA indicators. Quantitative Analysis (QA) for risk management. Machine Learning (ML) to build predictive model based on...

I will stay on the hobby side :) In Scala I can do moving average recent 5 minutes, 10 minutes....3 months,...12 months, I got hundreds indicators, then moving average 5 minutes > moving average 10 minutes, construct these sort of combination automatically. So coding thousands of indicators is...

I am focusing on the strategy rather than speed. Co-locating is for stability.

I am writing code to build indicators now, it will take the whole Xmas break to finish. Then apply ML techniques, follow by a lot of backtesting.

Use them all, TA&(FA+NLP) to build indicators, ML to select indicators that work then build the predictive model, QA to calculate the risk, providing confidence that the whole plan is statistically sound. ML is good to select indicators that work, then combine these indicators into predictive...