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Tape A = NYSE listed Tape B = AMEX and regional-exchange listed Tape C = NASDAQ listed

el pollo, I wanted to ask you a question regarding the opening process on NYSE. Is the opening cross the first print reported to the consolidated tape by the specialist, or are there prints reported prior to the opening cross (perhaps for some trades made late last night or premarket...

Forgot to say, the universe above is the 500 most liquid names on NYSE or NASDAQ refreshed every 6 months. Talon, what don't you like about Larry Conners research?

Here is a backtest of talon's pullback idea from 2003 up to now. The universe of securities is the most liquid NYSE or NASDAQ stocks refreshed every 6 months (no survivor bias). I took all the signals that came out of talon's rules and sized the position of each bet to have a $100 dollar...

I am not sure what you mean by proving this. You could in theory design a controlled experiment where you put a hard number on "how much" it costs to show a public limit and atach a statistical significance to it but it would be a formidable endeavor. Our regulators made a concious...

You have put the magnifing glass on one of the last "unfair" features of our market structure. Of course, "unfair" is just a point of view. What is unfair for you and me is a bonanza for market makers and specialists. Some previous post where I talked about this.

Here is a little event study I did looking at the tail part of talon's index rebalancing idea. I looked at all additions to the SP500 from March 2003 up until last August and retained all those that intersected the universe of securities that I monitor. I monitor roughly the top 500 liquid...

talontrading, Thank you for the post. It was like a breath of fresh air. I am not posting much on ET but I read quite a bit, and to me this is one of the few threads worth reading (and prehaps rereading). I wish you continued with all the points above but in the end I was wondering why...

Scraff, It seems to me that your post is an attempt to express frustration with your fill rate. You feel that your attempts to sell your shares above the bid are perhaps a little more unsuccessful than they should be if things were "fair", and on top of it these annoying "bid whackers" step in...

Stocks have a built in long term expected return of about 6 to 8% per year (including dividends) with a volatility of around 20% a year, which simply comes from the fact that the economy is growing and your stocks represent ownership into the growing pie. This is the "hot potato" return that you...

Divide your process in several independent components. The data gathering and raw processing you can outsource (outsource the processing of different data sets to different people). At the center of these raw ingredients will sit a (usually small) program that more or less defines the logic...

StLouisTrader, What do you gain from posting your trades real time? Most strategies have edges that erode over time. If your edge comes from smart processing of publicly available information, you should not underestimate to power of people to reverse engineer what you are doing. Soon you may...