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I have a trial account with IQFeed. I’m new to this granularity of data (<1 sec / tick). I’m looking for suggestions for 3rd party software to use in conjunction with IQFeed to: (1) scrape real time, level 1, bid/ask quote data; (2) code a specific algorithm (already determined) to be...

Okay, I have them all now. Thanks for your help, qwerty11! In case it is of interest to anyone else, here are the dates the NYSE was closed between Jan 1, 1990 and today, for reasons other than planned holidays: 1994-04-27 Day of Mourning / Funeral (President Nixon) 2001-09-11 911 Terrorism...

That's funny.... I also tried typing the dates in google but did NOT get funerals of US presidents in the top 10 hits. Perhaps it's because I'm located in Canada and search results are modified to try to provide the information that is most relevant?? (Doesn't matter; off topic.)

I've been doing a little historical research and have come across four dates when the NYSE appears to have been closed and I can't figure out why: 1994-04-27 2004-06-11 2007-01-02 (not New Year's) 2018-12-05 Does anyone know why? These are not known market holidays.

Okay, so in that case, no, you definitely lose information by only calculating the correlation against a single stock. IMO you'll have to think more about your definition because the order will change depending on which stock you hold constant.

I agree with rb7 that performance enhancement isn't important here. The only exception might be with high frequency data, especially if you are high frequency trading based on real time correlations, but I don't think this is what you're doing.

I think rb7 took the entire correlation matrix (500*500) and subtracted the diagonal of correlations equal to one (500). He/She just forgot to divide by 2 because cor(x,y) = cor(y,x)

Edited my answer above. Thanks to rb7. Accidentally mistook microseconds for milliseconds and corrected my reply. As for the number of comparisons, it's irrelevant in terms of computation time. That said, for interest sake, it's not (500 * 500) - 500 because half the correlations are...

I'm not sure what you mean by 'rank information' so the value of my answer depends on what you mean there, but you will, of course, lose information by only running the correlations against one fixed stock instead of all pairs. It depends on what type of information is important to you. On my...

Thanks for sharing.

Thanks for sharing. If by discretionary trading platform you mean you manually submit orders (no option for API to connect to algorithm) then you're right that it wouldn't meet my needs. I'm curious what kind of commissions you get on direct routed orders, if you wouldn't mind sharing?

Thank you for that information - very much appreciated. For what it's worth, I'm new to this time frame. My other models span from 1 sec to 1 month in frequency. I was also musing over the possibility of incorporating in the US. I'm not at that point yet, though. On another topic, it seems...

I "liked" this but obviously I don't "like" it! Thanks for the info. That is what I originally thought.

You're right. What I meant was I didn't mention needing a faster data feed because in my mind that's implied as necessary. I'm looking for a broker that can execute faster AND data to match (and in my mind, the data will probably come from the same broker, but you're right to point out that...

Yes. Currently I get data through IB so I bundled data and broker together as one in my mind, but of course they can be split up.

Yes, that's decent. <250 ms would be better, though. Basically, the faster, the more opportunities I have. The mean daily time an opportunity persists ranges from 3 ms to 940 ms based on the data I have. I can't catch the 3 ms with IB but can easily catch the 940 ms. The main issue is the...

It doesn't have to be super low latency.... <500 milliseconds is fine for many trades. Faster is always better, though, and will result in more signals.

Pretty much what the title says. I'm looking for a broker that accepts CANADIAN residents as clients that allows direct market access routing with low latency and low commissions. By way of comparison, IB (my main broker) is not good enough for this specific strategy. Execution isn't always...

Same issues. Canada.

For my wife and I, the cruise ship was mostly a mode of transportation to different locations and the main attraction was visiting the cities and towns (and beaches). We would mostly just enjoy a nice dinner together or enjoy the view with a drink while the market was open and I'd check my...