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    about small swapping in an Up/Down trend

    Please can you give an example of what you mean? Thanks.
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    Backtesting time period

    The idea that backtests should have a minimum number of trades is rooted in the concepts of sampling, margins of error, confidence levels and statistical inference. By careful study of a relatively small amount of data (the sample), the backtester hopes to draw conclusions about a very much...
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    How does market makers prevent against adverse selection?

    For the theory, see the references to "adverse selection" in the index of "Trading and Exchanges" by Harris.
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    Big price moves - based on instantaneous buy/sell imbalance? Market making mechanics?

    http://arxiv.org/pdf/cond-mat/0401132.pdf
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    Is there a Python equivalent to "TradeLink"?

    Is there an open source Python library similar to say TradeLink? Thanks!
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    Best Future Tick feed

    http://tickmaster.webs.com/apps/links/
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    NinjaTrader and Direct Market Access

    Many thanks.
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    NinjaTrader and Direct Market Access

    (A) Unless Kinetick (http://www.kinetick.com/) now provides services I'm not aware of, Kinetick fulfills function "2" above, but not function "3". (B) Also, some traders have a requirement for a lower latency data stream than can be provided by a data provider consolidating data that it then...
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    NinjaTrader and Direct Market Access

    Prompted by Butterfly's excellent thread 'IB API HOWTOs and Guidelines - For Beginners', I want to understand better what limitations (if any) prevent NinjaTrader (NT) from being used for automated trading in a situation where market access is DIRECT rather than through a brokerage firm. For...
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    IB API HOWTOs and Guidelines - For Beginners

    Nice thread! Keep it coming ...
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    Trading algorithmically a folio without stops (with IB), real $$$

    So, yes, the key is to devise strategies that have an edge over time. Otherwise, Realized Gains + Realized Losses + Unrealized will still sum to a negative number and the line will slope down instead of nicely upwards. Forgive my intelectual sluggishness, but I don't get why it is insightful...
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    Market Depth Data, Backtesting and Latency Implications for a Small Trader

    http://www.elitetrader.com/vb/showthread.php?threadid=233301
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    Looking for data on Volume Traded at Bid/Offer!

    www.tickdata.com www.tickdatamarket.com ... it's certainly not free.
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    Natural Laws of Trading

    http://www.elitetrader.com/vb/showthread.php?s=&threadid=248586&highlight=laws
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    Technical Analysis software

    Www.ninjatrader.com
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    Tick Data (Esignal)

    I think TickData provide an app called "TickWrite" (?) that will output in many standard formats. So then importing to NinjaTrader (for example) is easy. And then you can use NT's charts ...
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    Why Do People Buy At A Top?

    Perhaps reformulating the question provides insight inductively into what’s happening? “Why do people buy at a top?” ---> “Why does a top (bottom) form when a herd of [retail] traders ‘rushes’ [i.e. using market orders] to buy (sell) all at once?” IMHO, after the...
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    Tick Data (Esignal)

    www.tickdata.com applies a proprietary tick filtering algorithm. http://www.tickdata.com/pdf/Tick_Data_Filtering_White_Paper.pdf
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    Price Action Strategies All Break Down

    Please see this thread ... http://www.elitetrader.com/vb/showthread.php?s=&threadid=276521&highlight=malkiel Please see here ... http://www.priceactionlab.com/Blog/2011/09/curve-fitting-and-optimization/
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    A Ninjatrader Problem

    Open historical data manager in both environments, and check the tick data for any day within the date range of the export-import period. Are they the same? If not, did you accidentally make a time-zone shift during your export-import?
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