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First of all, thank you for very interesting observations. In the above example, did you mean that the machine was doing the < 5 contract market-order buys from the robots? It would then appear that those robots are mostly passive liquidity.

Just looked at my data from yesterday, indeed, 28586 contracts traded on the bid in that minute (2:25PM-2:26PM). That is serious volume, however, I don't see any significant follow through today... seems like that volume didn't do any damage (so far...).

Hi gmst, one thing I know of could be a very good cheap option for you is to have an account open with AMP futures with CQG data feed fed to NT (I am not sure you use Ninja). This would allow you to use NT script events to get tick by tick data from CQG which is about as good as IQFeed's (I...

DOM, try volatility adjusted stop with a shorter lookback. I once tested 'predicted' volatility vs realized volatility (ATR) and it came out that up to using past 10 days of data the variance of 'prediction minus reality' was decreasing but not anything beyond that.

Gmst is right. At least you could say which pairs you looked at. I am surprised 1 min data is enough for you. Is your approach automated? As in spreads people are usually fighting for every tick so it's hard for me to see how you can get away with one minute data.

Which pairs did you test? Did you account for fills being on the right bid/ask side?

Are you using actual traded volume or any other 'order flow' related quantity in your analysis? If yes, IB feed will not be sufficient. You can collect full market depth data on futures using IQFeed (lighter and cheaper version of Nanex). It will cost you about $100/month (with exchange fee...

You are right, I am thinking of getting rid of my current plan altogether and find the cheapest one possible. Just keep it as coverage for catastrophic scenarios... The note I received made me so mad that I initially wanted to opt out altogether and pay the fine but now that the head cooled down...

I was just notified that my family's health insurance premium is going op ~50% in 2014 due to 'Affordable care act'. Reasons citing the 'change' in rate are that now the plans cannot be based on your health condition, that it covers substance abuse (I should start to drink/use drugs...) and...

When a stop is triggered, it would add to the pressure but here someone provided additional liquidity (absorbed a stop order), so the additional liquidity is not caused by stops being triggered but rather by them being aware of the situation (and possibly anticipating a reversal). I don't...

As far as your first question, I don't know it for certain-would like to know for certain. But this is what I was told by IQFeed people. Specifically, they told me that CME has two separate feeds-one for L1 data (trades and inside quotes) and another one for book updates. someone else. As far...

I use IQFeed data - via their api, so it's not broker data. They claim not to filter the data as they get them directly from the exchange. Their Level1 data are of the form (roughly): last trade price, last trade quantity, bid price, bid quantity, ask price, ask quantity Bid/ask prices and...

I am interested in learning some nuances about how orderbook (DOM) updates along with time and sales updates might be affected during 'fast conditions'. I don't have a precise definition of a 'fast' condition but think of a market taking out 3 consecutive price levels within a matter of a...

Good question but probably it's going to take some effort. You have to find a 'normalization' procedure that will allow for comparison of variables across the board. Example: when a certain fraction of daily average volume is traded on the offer of the stock=> buy (your simple example modified...

You can create a 'plugin', dynamically loaded dll for each broker's api with a common interface communicating with those apis covering the functionality you desire (execution-placing orders etc.,market data-receiving tick data,requesting snapshots etc.). Your strategy then only uses the...

That comes to about 4 ticks per contract per trade net win. Is that roughly in line with your backtests?

I think that it's just that they started testing it live at a specific time. Usually it goes on for about 30 minutes. Friday they started at 6:06am, Monday 6:16am,Tuesday 6:19am, today (12/5/2012) at about 6:13am.

That volume is true since it actually happened, I probably shouldn't have indicated that I don't consider it 'true'... but it's purpose is to make a tick (or two) at the most and is not saying anything (at least not to me) about longer term movement of the price (as opposed to what I am used to...

I watch footprint chart and know what volume is usually traded at a given price (within a given time frame-in this case one minute time frame). Now, without this algo in action, when you see x-number of contracts traded at a single level where 'x' is sufficiently large (depends on the contract's...

Did any of traders of 6E notice that since last Friday (11/30/2012) there seems to be a new market making algo in action. You must have noticed it if you watch DOM in combination with volume footprint. Around 6:15am CST the algo starts flashing often upwards of 500 contracts on best bid/ask but...