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This is not abnormal. There are designated market makers who are obliged to be at the best bid/ask some % of the time. If there are no bids, i assume they have no obligation (not sure). Secondly, even non-obligated MMs will watch the markets for good deals, but they won't always post orders for...

I remember the spread was 22 cents so it was 27.81 on the bid. I don't panic, they don't always have to get filled at the exact same time. Sometimes i enter a position for hours, slowly, one order at atime. I watch the tickers, if i see action and volatility i either hit the bid/ask or...

I didn't find that problematic, I just post a sell limit inside the book and wait. It gets filled. I also have an automated quote tracking system that places my order on the inside. It's a judgement call when to hit the bid/ask, when to chase it, etc, but in most cases with these illiquid...

That chart is correct if you take the entire HF index which includes a lot of "dumb money" HFs also. Many of them included in the index state clearly they only go long this and exit at that, it's not like they even manage money really, it's just that some pension fund wanted to cut in and got...

I don't post my trades very often but here's a bit of what computer magic can do, I could call this a gem spread so... you're welcome. Computers (and automated arbitrage) tend to be good at finding noisy derivatives, as well as trending ones like the AET-CI deucy posted (which is by the way ripe...

You could also download VIX index data and kind of estimate volatility but it will be shoddy work, and almost useless if you're looking at non-ETFs. Backtesting options requires a lot of data and precision is even more important than with other types of contracts.

haha :D I had Jacko here on ignore and every once in a while a quote by him pops up. Oh boy, haha that was really funny. What a joker! :) Hey Jack, after all these years I'm beginning to figure you must be doing this at least for a bit of laugh right!? Sitting at home in dirty undies...

slug, like they said you can use NinjaTrader but you will have to make assumptions about what's wrong with the backtests. That in itself is a huge study, but if you work with daily data it might be less severe of an effect backtest vs real world. If you're trying to test tick data, you will get...

Thanks sf, that's by far the clearest answer I was looking for. You should post more often, the other stuff you wrote before was useful too. edit: I had a few more questions but I'll probably contact some of the service providers in the future and ask, that's all from me, so thanks for the...

Right, I get what you're saying, thanks. After all, I was an investor myself in the past few years so I know what I looked for, but perhaps my priorities were different to that of other investors... I'll think about it in the next few months but taking into account everything I know now, I might...

Thanks Busta and heech, for the responses but I'm not sure I'm reading them right. You're saying that retail or LLC account, it won't be much use unless the AUM in it is 1 million or more, and/or the strategy can be fully disclosed and there is good reasonable explanation of how it will work...

Oh right. Didn't see the post count. Seriously, ET? It's times like these I ask myself wtf am I wasting time on over here? I should just go read another book if I'm bored... Oh look, I'm spamming too. There. Take that ET. Here's another pointless 12 words in a row followed by a period.

I tried it for intra-day trading, 10 days test, with 1 day out-of-sample. This was done with machine learning and about 10000 systems. About 80% of the systems lost, and many of those lost more than they earned in the 10-day curvefit. I did it to explore curve-fitting about a year ago, so I...

What on planet earth is "bid ask analysis" ? Historical, real-time? Per exchange, aggregate, level 1/2/3 book inefficiencies, what?

I've recently started thinking about OPM as a possibility for the future, so I just read this entire thread (took me 2 hours...). A few interesting points, especially thanks to clerk. I have one question regarding this: Is this just an opinion or a fact? I'm thinking since I have a decent...

NinjaTrader is not a data provider. What he means is you get a data provider (like eSignal) and then you can download data via that connection and freely do whatever you want with it. You need to start making a difference between data providers (eg eSignal) and trading platforms (eg...

Whatever gave you the idea that it will be resolved by thursday? There's no room on either side for clear and swift answers, they'll probably let the fiscal cliff hit and then figure something out next year. That's how politics goes.

It depends what kind of trading you do. I find eSignal very easy to set up with my custom formulas and spread charts to monitor what's going on and it has pages that perform great, never lock up etc. It's pretty versatile and I recommend it in terms of information display. A few times during...

I've seen the same statistics before. The tails at the 1 and 0 on your graph are mostly because the market trends during the second half of the trading session. This means that the intra-day bar of the daily high will be the same bar as the close (last bar) if the market trended up. This is not...

Twinsen, even if you traded 1 share for stocks with cost-plus, the commission would be around $1.6 round-trip using limit orders only. To make that $1.6 you would often have to wait out for a whole day or several days on most stocks, and then you would be in for very little profit. If you trade...