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I am looking to use PEG orders on BATSONLY to obtain a specific functionality. Basically what I am attempting to do is place a BUY PEG-Midpoint order that will execute (add liquidity) at the midpoint of say 120.50 bid, 120.51 ask on SPY (which would be 120.505), or better. I know if I just...

I'm curious why TS allows trades which are so obviously outside of the real time bid ask spread to affect their data feed, and also get saved to their historical data, invalidating backtesting. Seems like it would be easy to limit the acceptable trades to the current NBBO. Seems like basing data...

Wouldn't tracking the current bid/ask and using that as the source to build historical data fix this issue? Its a fairly major issue for me since bad ticks cause deviations from my simulated system multiple times per day. It would seem to prevent the issue of lagged trades. And I am sorry if the...

I've never read that book. But from my limited understanding of information theory and signal processing, my intuition is telling me that the only way to strip out bad ticks is to make an assumption about what price movement 'should' look like, thus by definition invalidating the modified...

I have a 'clean' L2 feed coming in beside TS, unfortunately it does not provide historical data. The bad ticks I see coming through TS do not appear on the L2 feed. So I somehow doubt TS is constructing their charts from the same data I am getting. It would be very easy to filter live data...

As long as your average trade profit per lot is significantly higher than one or two ticks. You should be fine in that sense.

Sorry for not being clear. All I meant was that if your profit per lot traded is below some minimum threshold (say 1.5 ticks per lot), there is a possibility that a majority or all of your profits are coming from what I would call 'unattainable volatility/liquidity', which is basically micro...

How would you filter the data to only remove bad ticks and not good ticks that look like bad ticks? Seems like that would cause as much divergence from true price action as the bad ticks did in the first place. My interest in backtest data is to get it as close to live performance as...

Unfortunately Ctrl-R does not fix most bad ticks. Such as the one from Nov 19th I listed above, which is consistent on fresh boots. And should still be visible to you if you look.

I've noticed many bad ticks (ticks which spike far outside of the bid ask spread, don't trigger limit order fills) do not ever get removed from their historical data. Specifically on Nov 19th at 14:32pm, SPY spikes down to a low of 120.00 on their data, though I can guarantee that did not...

Would help if you described what you think is 'too good to be true'. Its fairly easy to get an extremely smooth equity curve, but if you are not projecting over 1-2 cents profit per share traded, chances are you are over estimating on your backtest due to simulation shortcomings.

I meant in general. You seem to have a line draw on the chart before you draw the fib levels, just wondering how you decide to draw that line. I'd imagine if you were recalculating the trend constantly, the fib levels would change constantly.

How do you choose when to draw your trendline? Is it on every flat move in one direction above some minimum distance?

Interesting that they give priority to manual traders, I'd imagine that isn't true for the market makers. I'd still imagine some automated systems taking advantage of that dichotomy by controlling and submitting orders though a manual front end.

Are darkpools required to pay SEC fees? Or is that just exchanges?

I'd imagine it allows people to unload large positions without the majority of the market seeing it and reacting.

Because it puts a value on private information, allowing people who have that information to unfairly capitalize on it. Like a CEO who shorts his company only to drive it (or have it driven) into the ground next week.

Aren't there many countries with low corporate tax rates?

If you are just simulating fills at price levels, wouldn't any type of filtering of the data cause unrealistic market interaction? I just want my bars based on actual fill prices.

What is to say that their historical data is much cleaner than their live data?