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I have it in aws s3 buckets that I own (technically my company), it's pcap data for every feed from each respective colo, I then parse it out into my own format.

here is the spec which shows how orders are added and updated in the NYSE market data feed https://www.nyse.com/publicdocs/nyse/data/XDP_Integrated_Feed_Client_Specification_v2.2.pdf also at 3.6.2 in https://www.nyse.com/publicdocs/nyse/data/XDP_Common_Client_Specification.pdf it tells you how...

I thought the book was better than a lot of stuff out there, although I did find it rather odd how he only used classification and completely ignored regression. Personally I have found there is a lot of information loss when using classification especially at non-HFT time scales. Maybe the info...

Nice, python is a great way to go given the rich ecosystem. I use python for pretty much all my research now with a little kdb. If the signal isn't latency sensitive (using broker algos or open/close orders) then I run python in prod and have it send orders directly. If latency sensitive then...

that's just saying they submit marketable limit orders instead of market orders which is entirely appropriate, but it doesn't speak to the speed in which they send the orders or what the exact logic is. It's a very fragmented market so they can't really just submit a single order and expect best...

retail trader with how much capital? but I currently trade my personal account and have made 20% returns the past few years although largely due to luck as opposed to any quantifiable alpha. and when I was in college was making 10k a month trading on IB with some family money (100% returns...

Don't know of a better retail broker, I'm not allowed to trade actively due to compliance reasons so haven't looked into it in probably over a decade. The they is Interactive Brokers, so 93ms after the stop was triggered there was the opportunity to take another 400 shares at 18.24 on top of...

wow, been nearly 15 years since I signed up, time sure does fly.. I run a 600 M equity book for a multi-manager fund, pretty high turn doing our own execution, collocated and what not and so have access to and use a ton of data

Here is the top of book from each exchange just prior to the 100 share trade at 18.46 on nasdaq that likely triggered your stop loss at 09:31:25.151741019 (SIP time) 09:31:25.151723197 (nsdq book): A 09:31:05.897750920 1 18.38 18.93 1 09:31:05.897379840 B 09:31:15.225533646...

There already is a pretty ideal prop trading model in the form of places like HRT/Tower or the multi manager hedge funds out there. Get a six figure salary, health benefits, effectively unlimited upside, and don't have to put up any capital. Also depending on the place can also invest with the...

I'm using covered calls in similar situations. I'm pricing the calls where I'd like to exit the positions and so don't mind getting assigned and if I don't then I collect that sweet premium. Also will do it if I have a view on the name going sideways or down and very capital efficient which is...

Prop trading as it was known at US banks is dead but there are still remnants of it. Some prop traders have been moved to asset management and seeded with client money. Others have been moved to flow type desks but allowed to take more risk than a typical flow desk might take. Other than that...

bloomberg anywhere doesn't necessarily even come with a keyboard or monitors, i just got the biometric device for logging in it's about the data and functionality provided. also it's not meant for retail where that kind of price point is untenable. it's meant for institutional clientele where...

It's going to depend what kind of programming you're doing and how senior you are. I started in technology as a programmer at a large IB and saw salaries in ny ranging from 50k (straight out of college) to 350k (in front office but clearly a developer). Mostly 90-140k though. Bonus also varies...

you make it sound as if a large percentage of flow is being internalized, the #'s don't bear that out http://interactivebrokers.com/download/3Q_2010_IB_ORDER_ROUTING_REPORT.pdf well over 90% of stock executions are taking place on exchanges, could be significantly more but they only give...

while what you're doing isn't exactly like this it is similar, personally i wouldn't do it http://www.reuters.com/article/idUSTRE68C2T320100913

as others have said they have tick data for most everything and for a limited time window. the earliest i'm able to pull up SPY data using QRM (quotes and trades) is 1/27 of this year, so i think should be able to also pull via the api. also there are bandwidth limitations per month, and i've...

a few hundred thousand a year, but it's negotiable to a degree and they have been coming down in a price as of late.

worst christmas story ever.

http://www.nyxdata.com/Data-Products/NYSE-Order-Imbalance-FTP