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Isn't the tradestation datafeed horrid? I used to see bad ticks on an hourly basis.

Seems that NSDQ has the highest internal volume (if I'm not mistaken). I guess I should look into a add liquidity only destination at NSDQ, I have access to NSDQ, NSDQBX, NSDQDDOT, NSDQSCAN, NSDQSTG, NSDQTFT. None of quick I think is add liquidity only or reject.

Relatively high frequency, sub minute, not sub second. Though 100% of the orders are add liquidity, currently I use BATSALIQ, I could switch over to ARCAALO, seeing as they might have more internal volume. Right now, the entire level needs to get taken out on arca before they would route to my...

I'm trying to decide which ECN I should place my limit orders on. I am thinking the ECN with the highest internal volume which will give me the highest probability of getting filled in situations when the NBBO touches my limit price but does not travel through it. Iv been trying to figure...

I would say fitting to the a color based solution space is still a prediction. Since it is possible to get orange apples and non orange oranges. So the probability of correct prediction in the real world is not 100%. The outliers are just fairly few.

You may be confusing the term 'curve fitting', with the term 'over fitting'. Imagine I'm given a basket of fruit and I wish to predict whether they are apples or oranges, given our sample set, we notice that all the oranges are orange, so we make a rule in our prediction, if(color==orange)...

Curve fitting is good as long as the curve you are trying to fit to is a good representation of what you are trying to predict, as well as having a small enough grammar as to not be mapping directly to the sample set.

I've neglected VIX in my research. Correct me if I'm wrong, but isn't the iPath S&P 500 VIX Short-Term nearing a two year low? Maybe I'm reading it incorrectly.

Which radical Islamic state has nuclear weapons? And to be completely honest about it, a Christian government is just as dangerous with nukes as an Islamic government, the problem comes from believing in an afterlife and divine cause. The Islamic Republic of Pakistan is not radical, and would be...

I'm not sure if anyone living in major cities are concerned too much about all of human civilization being wiped out... just their city. Luckily the same logic applies to the leaders of nuclear powers, where having most of your major cities being wiped out / left uninhabitable is tantamount to...

The concept of state wars has become antiquated since the invention of nuclear weapons. No major state will go to war with any other major state for the simple fact that they don't want to be wiped off the face of the planet for doing so. Like it or not, mutually assured destruction works as...

chartman, is there any reason why I wouldn't be able to sub penny at a retail level by having my orders execute on BATSALIQ using their PEG Midpoint functionality? I am a little confused by your 'insiders only' statements.

Dubious situation. Hard to tell if the two traders were in the wrong. If they were using any illegal or questionably legal practices (akin to insider trading, quote stuffing, micro market manipulation, faking offers or generally gaming the spread etc) in order to take advantage of the market...

Yup. I agree there are situations where recalculating based on the newest bar may be bad. The question is, on average, will it have a positive effect or not, my price calculations are fairly slow and normally only shift around 1-2 cents per 1 min bar. a spike up in the bar may cause the price...

BX and EDGA give positive rebates for market orders?

Sorry, I am horrible at explaining myself sometimes. I understand it would give me faster reacting levels + more accurate back tests if I converted all my systems over to Tick level. I am not interested in investing the time and money at this point and prefer to just discuss the idea of...

This confuses me. Shouldn't they be giving rebate for adding liquidity not removing? The spread for this to work must be huge.

Unfortunately I simulate my systems in indicators. So looking inside bar strategy simulations wouldn't work for me. I guess the question is, if you have a system that is profitable running levels at bar X-1, slightly less profitable running at bar X-2. If you were to move the level calculation...

I know changing my trade level calculations from previous bar to current bar will cause it to 'look into the future' in backtests. But I confident in my previous bar calc backtests and am looking for new ways to increase the profitability of my system slightly. One way I thought that might...

I've been using historical OHLC bars to design and build trading systems for quite some time. The downside of using bars is that in order to back test correctly, you need to maintain the same trading values through the whole current bar, so if I was trading 5min bars, I would need to use static...