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Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids from exchange allowing deterministic synchronization of depth/trade data. What is the total 'base' fee for a non-pro user that would allow the user to...

So that would be about 15-20 points per contract, which would be amazing relative to the daily range. Probably better to discuss what % of daily range one can steal from the market with consistency.

Olsen’s papers on empirical scaling laws in high frequency fax data is a good read on this topic. The length of the price ‘coastline’ is estimated there as a mere corollary.

Are you restricted to picking only one or can you allocate X% of risk to first and 1-X to second?

DTN is decent in my experience, checked it to cme datamine on a specific occasion and it matched precisely on millions of ticks. But you would have to capture all data and then test, it's doable even without high speed dbs but it requires time commitment and a lot of thinking to design properly...

Are you using your own tick-data for the backtest? Or did you get it in a package from a vendor? ES has millions of data points (~10MM) every day, you can get thousands of updates in milliseconds. To know why your real-time vs tested is different you should spend more time studying data. I am...

Nanex (if it still exists) sells historical 'tapes'-full order book data for US futures (I think they also do options). Their quality should be very good. There are not that many options for reliable (i.e. complete, and correctly sequentially ordered) data.

I only need this back to 2011.

Is there a simple way to find changes in tick sizes (minimum price increment) of liquid US futures traded on CME? I would look for dates on which tick size was adjusted (along with values before/after). One (rather painful) way of doing it is to sift through their CFTC filings and look for...

It's really trivial if you put some work in it. First you need to start with the understanding of how cme matching algorithm works and how things are reported. Everything that one needs to know to do this completely deterministically is available on cme's website. I already said too much by...

Everybody calls 'manual' something different. In futures properly reading 'DOM/tape' with a 'helper' software but still manually is helpful. Indeed, one couldn't decipher what goes on without a help of some amount of code, a significant percentage of daily traded volume happens so fast you...

So support/resistance are 1(2) tick(s) from low/high for CL(ES)? How statistically significant is that? Or do they vary day by day?

The actual question of daytrading being difficult or impossible has a clear answer and therefore is not that interesting. Therefore I find it more interesting to ask Mtrader a question. Above you say that you use a mathematical model to enter/exit positions (the entry/exit being 'manual' click)...

Try talking to DOM993, I think he developed infrastructure for NT with all sorts of redundancy (plus he is really a good guy-just talk to him).

CJ, although I don't have access to that data, you should only see that after a match event. During a match event, the book is 'locked' and all incoming orders are aggregated. Once the match event (trade really-could be a cascade of stop losses etc. but really just a 'trade') is over, the book...

Could you elaborate on the cons (unless you feel the info is proprietary). Clearly, data is not synchronized across L1/L2 in iqfeed-with some ugly coding it can be synchronized to a decent degree but it's not for the faint of heart. Some data are not transmitted in IQFeed although most people...

For about 130/month you can get most US liquid futures contracts (using IQFeed). That's full L1/L2 data. So DataMine is indeed quite a bit more expensive.

Broker's feeds mentioned above are pretty much out of question. They are essentially guaranteed to be filtered to some extent. If you want to do any precise analysis based on tick-data, all broker's feeds (retail) are not going to be enough. IQFeed is best given all the criteria you are looking...

You do not necessarily need depth data but certainly full L1 data (bid/ask price/size changes and with all trades/trade sizes) are a must. You do need a complete unfiltered data feed to get this right. What data feed are you using? Much of what you desire to do can be done and is driven by pure...

Estimation accuracy will depend on several factors. If you get a full feed (all quotes), it should be true in majority of cases that trades at current best bid/ask were coinciding with aggressor flag sell/buy. This will be true on ES in particular. Some other instruments that are less liquid...