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Good post makosgu. What you said is a non-geek-speek version of this paper. http://arxiv.org/abs/cond-mat/0206280 Abstract: In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million...

Ah hah, slippage from order timing seems to be much more of a problem than that of estimate costs based on available data. In that case, having the fastest data and order entry systems possible is what really helps in that case. As far as slippage from the marker order going deeper than...

Are you kidding me? These guys thought evaluating a simple system based on moving averages was a good idea? How does this stuff even get published? http://www.unifr.ch/econophysics/php/formulaire/redirect.php?year=2005&code=physics/0505032&version=abs Abstract: Automated trading systems...

You're right about that. I guess my general point was, if you look at the spread in this case to estimate transaction costs, you are going to have major slippage. If you look at the complete depth and absolutely have to dump all shares in one trade then you would basically have no slippage...

I think the bid/ask spread is very misleading. For instance ----ASK------ 2.982 100 3.000 900000 3.010 300000 ---BID------ 2.981 150 2.980 800000 Just looking at the best bid/and ask you would think there is a spread of 0.001 But, if you intend to buy 50,000...

Except of course this is usually illegal. Nearly every data provider I've used specifically says that you are not allowed to redistributed the data. So.. it'd have to be on the downlow.

 A very simple representation is a 2nd order polynomial which captures the slope of the price impact of a marker order, and the curve (concave,linear,convex). p(t,q(i)) = r(t) + a*(q(i)^b) where q(i) is the size of the market order in shares, for q(i) i 1 to 200,000 in increments of 100...

One more time, trying to bring this to the top. I'll rephrase. I've heard many say volume leads price. If liquidity, and thus volume can be predicted for each side of the market, could it be used as a price direction indicator?

Assume it is possible to predict both ask and bid liquidity several minutes into the future. What sort of strategies or indicators would you use to show how this influences price? How would you turn this into profit?

I don't understand why you would use gmail's smtp server rather than your isps.

Umm, the unscented kalman filter is definitely not linear. While they aren't all that useful for simple price prediction they can be *extremely* effective for training neural networks. I've used ekf/ukf trained neural networks in speech recognition software I wrote about 2 years ago and I must...

I've recorded a full days worth of high frequency depth quotes from INET, ARCA and nasdaq level2. I've done some analysis and noticed there are consistently arbitrage opportunities between the various exchanges, however they are quite small. Usually between 0.001 and 0.003 and only last for...

Gotcha. I guess my point was, while 5 instances in 40 years is significant, if there were 500 instances of 7 then it would be less so. I think these sort of things can be too blunt of a tool. What about a day that is only 1 point positive? It could have just as easily been a negative day and...

Why is 8 days meaningful? Why not 7, or 9?

It is cpu and IO bound. I'm running a vmware instance to run my win32 app which connects to the local postgres database via ODBC. All the context switching is taking a hit as well. I am recording all data by using an in-memory queue. The tick data receiving thread is appending to the queue...

I've been using Genesis's api for a few weeks now. It's ok, but I *really hate* the design. It basically forces you to implement an MFC widget. Doesn't make sense to me at all because most program trading is done via some backend server process, not some desktop gui client! Check out RedSky...

You're absolutely right about sql not being the best formance. But it makes it vastly easier to analyze, extract, backtest, report, etc. My main goal right now is gathering data and development of algorithms, so real-time recording is not all that import. This box is an old dual p3-800 anyway so...

I'm looking for an API that is not tied to any existing sofware. Basically, an API should connect me directly to their servers and receive prices and place orders. Is that what they offer? I couldn't tell from their page.

Yow. You actually have this board now? I've been hearing great things about the dual-cure opterons lately. Back on to something more relevant to automated trading: Do you guys believe there is value in using a full aggreated order book compared to just pricing or level2 data?

Do any of you guys record depth quotes from all the ECNs for backtesting purposes? I've written some software to do this with 2 seperate direct access brokers via their respective APIs and was wondering how you guys handle the volume? I'm recording ECN+Nasdaq level II for the top 10...