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If you're making a market, as a lot of HFT is, you may be exempt.

Depends on the timeframe you're trading. And that depends on the cost of lower latency. And that determines whether it's worth capturing the spread at all. If you're fast, your strategy can be simpler & more passive.

I disagree. Back testing is absolutely necessary for debugging, & back testing can be useful when used correctly, for verifying stat arb strategies. Back testing with tick data, then executing through a broker with multiple tick execution latency is not so useful.

No idea & no way of knowing. I don't think many brokers know how to measure their average new-ack time & even less would want to publish it. Irrespective, no one trading through a broker can compete with co-lo'd exchange members.

+1 1 second for a year is available, but takes a while to download because they do throttle it, meaning you have to make multiple requests, leaving some time between requests. As for the "need" for tick data .. considering the execution latency is often > 500ms .. tick data may send you...

swaps

* If you consider that the execution latency through interactive brokers is often > 500ms .. then you may have to ask yourself whether tick data will really help any strategy you plan to run live.

Perhaps we are doing different things. If I see something that has more juice in the divergence, then usually it's not really something I'd expect to revert .. or move non-randomly .. at least by my way of thinking .. and measures. But, the idea of trading relatively stable relationships *both...

I've modelled this, but that's as far as its gone. In reality, chasing price as it moves away is gonna make for expensive fills. I like the idea of playing both sides though.

I agree with this on the convergence side. But disagree on the divergence side. If you play both, then liquidity issues could be sort of handled .. from a portfolio point of view. [Options overlays aside].

Something about correlation not being causation .. informational change .. distributions redistributing .. & cascading forced liquidation positive feedback divergence?

Ratio chart. Two legs. 1 min / point. Green bid / ask Red [net]. Presumes the b/a spread will be paid on the narrow side only. No comment on the other lines.

Seriously, Excel & yahoo closing prices. That's a realistic starting place to build the quant framework. If it doesn't look like there's anything there .. then no loss. If there is something worth pursuing, only then move to intraday data.

Excel + yahoo finance closing prices. If you get bored with that, then give up. Because .. there's a lot of actual work involved, as opposed to TA charts and directional punting games, delusions, and ultimately lies & chest beating. But that's a digression.

Mostly with arithmetic. But I suppose intuitively, I could ask - When MR blows up, is it through a large number of small losses, or a small number of large losses?

inherent negative skew .. in MR RV.

Did that diverge or converge?

offsetting verticals could be interesting from a limited risk perspective, no?

A taller screen is always an option :p

Ah -- meaning in the context of a TT screen, with the spread movement seen as component price ladder movements.