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The assumptions in your backtest are wrong or the limit prices going out to the market are differing from the backtest due to a bug. If your limit price is more aggressive than the open price then you will get filled. If your limit price equals the open price then you won't necessarily...

Yes in other parts of the video he does say that he's ok with letting the math speak for itself and doesn't require physical proof of it being true. He gave the example of neutrino's earlier in the video. The guy asking questions on the other hand said that he requires proof and so wouldn't buy...

There was recently a NY Times article regarding it. http://opinionator.blogs.nytimes.com/2010/06/20/the-anosognosics-dilemma-1/?src=me&ref=opinion Especially good read because it tells the story of how Dunning came up with the idea. Specifically there was a bank robber who rubbed lemon...

Ok wow, watch again. Here is the transcript regarding environments: "The universe is exceedingly big. Just like the bush of the tree of life. It has many, many different environments. So many different environments that a very small fraction of them are capable of supporting life. And...

Actually you really need to watch the Susskind video you posted again. He starts answering the question by saying that he believes the universe was not created by an intelligent being and that the universe was created in the same way that life on earth was, via an evolutionary process. His...

Yeah, as with everything that is traded, option prices and thus vol is determined via supply/demand. So let's say an institution comes in and is looking to hedge their portfolio by buying deep otm puts. If they buy enough then those prices and thus vol will be overpriced, so then it would make...

stu i'm afraid you're wasting your time... Pretty unbelievable that jem used that Youtube video to say that Susskind says that the universe looks as if it's intelligently designed. Anyone who actually listens to it will realize that he says that in the context of disputing it! So that...

There is no edge if you're just blindly selling vol for the sake of selling it. All you're doing is writing insurance contracts, so the expert is confusing potentially making some money due to taking on risk and getting a premium for doing as much with an edge. In a sense no different than...

I don't think adjusting will work, the problem they are probably facing is: http://en.wikipedia.org/wiki/Dunning%E2%80%93Kruger_effect "people reach erroneous conclusions and make unfortunate choices but their incompetence robs them of the metacognitive ability to realize it."

NYSE does not have an add liquidity only option, they're lacking in all sorts of ways when it comes to order types and options. Nasdaq has what's called Post only which is their add only feature. If you send the order and it would take liquidity but not price improve then it re-adjusts the...

KDB+ is a decent way to go. Never liked using Q and when I've used it before the KDB database was shared and people would always get on my case when I would run heavy queries on it. So in the end just used it as a back up for tick data. Now a days when I want to access tick data directly then...

Implied vol is going to track realized vol. and for VXX realized vol drops with the price. In the pic I included the first chart is SPY price with realized and implied vol... notice both tend to go up at the same time as SPY price drops.. The second chart is for VXX. I don't think the...

Anyone know how to check how much stock volume you've done MTD in order to see what tier you're in and/or how many shares till you hit the next one?

I guess it's possible that's the case. I do only trade a single pair. Although I'd be surprised if they don't support all pairs, at least in the US since they are no longer taking on any risk. Don't know if this makes a difference but I have been using the beta version of the TWS...

Yeah definitely. Included a pic of the summary page from my combo trades today. Notice tuesday is checked and the contract is a Stk/Stk combo. One thing to take note of is that if you have the add liquidity flag checked for the order then the stk/stk price probably will need to go a few...

I'm still able to use the order type for Stock vs Stock so what they told you is wrong so far at least. Sucks that it's not guaranteed anymore though but not getting too many unfilled legs. Just annoying having to try and manually fill them when it happens.

sounds like what your looking for is what BATS has, their DARK/DART routing strategies. The Dark one first attempts to execute at a dark venue prior to hitting the order book and lastly going out to the street. http://www.batstrading.com/resources/features/bats_exchange_dark_liq.pdf...

also a lot of dumb 'dark liquidity seeking' algos that have a preference for taking dark liquidity than go to a lit venue. also blows my mind when I'm posting on bx or edga and someone takes liquidity from one of the 29/30 mil venues! wtf

A broker that allows provides direct market access would probably have the connectivity. The closest to retail that I know of is interactive brokers. But the differentiating aspects of Bats are its rebate structure (24 mils for adding, 25 mills for removing). Has some good routing options...

If you find out let me know! I'd also like to use GIP for a single day in the past but unless I'm missing something you can only see the entire history from X days in the past to the present. Ended up just writing my own UI for looking at data against a tick data database.