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There are liquidity providers in the futures markets before the markets where electronic and the order flow went to the floor they were called locals. now they are called Lead Market Makers (LMM) as stated earlier. The lead market maker gets priority on orders and often under special exchange...

I have noticed that much time is wasted in NN by many (too hard to troubleshoot when things go poorly).....have you tried out any genetic algos?

If memory serves corretly, ES is FIFO.....see (http://www.vfmarkets.com/pdfs/GLOBEX%20brochure%20final.pdf) for an example of this.

there is a fill algorithm that determines the fill.....you should call the exchange depending on the product to see how this works. In some products it is simple (FIFO) first in first out but in others like eurodollars they use a hybrid system that takes into account numerous factors. What...

haha, I think I like Max Mama better!

All the CME Group SPAN tools are at: ftp://ftp.cmegroup.com/span/

Check out the attachment....should help ya!

thanks, the Trading with Matlab blog is new to me. I like the posting on the VIX vs. SP rant......I imagine with some refinement; using a more realistic statistical distribution that this system could be nice.

I think TraderZones points were valid to the questions posed in this thread. I believe that it was just meant to provide a checklist for the potential trader to evaluate the probabilities to be successful in the industry. Whats the beef between you 2 anyway?

oh this is golden......Jack for your listed #1, 2 trades a year sounds like a speculator with a retirement account as opposed to most "traders" that make several thousand trades a year with some defined edge. I am not sure the source of all this hostility but I am certainly enjoying it!

CQG is pretty good....probably best not just to look at the prices alone but the relationship or term structure of the prices as you may see different effects such as backwardation occurring.

hmm, well the key to building any signal set is to define what moves that market....for the currencies futures you could monitor the ICE listed dollar index future and the Yen, Eur, and Pound CME futures. From there you could grab the historical data, compute realized volatilities, find the...

It is something to fall back on to if you are comfortable doing that the rest of your life.....your call. Don't let any of this posting remove you from your ambitions but it was my goal that you know the risks upfront before delving into the field.

thats fine; its the end results that matter.....are you trading stocks only? The signals that may be useful vary based on product traded.

I have heard nothing of this.....volume hasn't diminished massively either!

Yeah, if it is too complicated then you should stay away from it. It is useful in FX when there are many feeds from various brokers and you are filtering to get an accurate representation of what the true market is then generate arbitrage signals based on this. The same has been applied to all...

CQG, Reuters.....

Some that work but are outside the realm of what you were asking at are Kalman and Particle filters. These are heavily used on the spot FX side.

http://www.amazon.com/Heard-Street-Quantitative-Questions-Interviews/dp/097005520X

agreed....the 2 ways I used to look at it: Time stop = exit date - trade date when Time stop = 0; get flat Stop Price (Cost basis) =< Price + transactions costs + debit interest - ECN rebates - lending rebates; get flat....debit interest can get high so need to include it.