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Yeah, the biggest issue when looking to store and analyze L2 data is the rate at which you get the data and the sheer size of it... (if you're looking at the whole market feed it runs into the 100's of Gigs per day and a very big % of this volume could come in only a few minutes during a volume...

When you trade based on "gut feeling" from reading the order book it is very easy to get sucked into a losing streak, by the vicious cycle created by the stress of losses which brings way too much of your attention towards loses and too little towards opportunities. In my case, it helps to...

Hi. Good effort. In what format do you keep the data? How many symbols do you cover? how much does it weight? (per day, total)?

I've been wondering the same thing. How does he identify the decision points?

CNBC's problem is that they haven't figured out a way to get HFT servers to watch TV...

Well using volume candles helps to filter out moves that happen on insignificant volume without the complications of trying to correlate the volume indicator with whatever other indicator you're using.

Why not make vol candles from your tuck data to have 100 equal volume candles?

@FringeAlgo & alexvnew What approach do you use to back testing/optimization to avoid curve fitting alltogether? or back to my original question. What constitutes a good back test? one that scores a high sharpe across multiple symbols?

Would you like some fries with that?

he happened to be short at the right time in 1907 and 1929, out of pure luck? Doubt it.

You forgot the ones who write algos and trade intrasecond... :)

Thank you for your reply, I clarifies my previous missconception. Regarding WFO, I did some reading on it and it is basically continuously optimizing on discrete time increments. E.g. optimizing every hour to include the previous hour's data in the optimization to run with those...

If you find a data feed specification that includes stop orders, I will love to read it. The data feed specifications for most markets and ecn's (including CME) are publicly available... and yes, they're the same specifications used by market makers and other institutions to setup their feeds...

Hi, I started learning to trade with algorithms a few months ago. Ever since I've been reading a lot around and I've come to understand that curve fitting is not a good idea, and that back-testing results that start getting too close to perfect on a particular symbol or range of time are...

Lol... you send your order to the market and right away it comes back with the loss for your trade... It'll be like south park (S3E13) ... Stan Marsh: I got a hundred-dollar check from my grandma and my dad said I need to put it in the bank so it can grow over the years. Bank...

the bid's and asks you see during the auction period reflect the interest for the auction, not the current bid and ask. The price printed out of the primary listing auction is the market price. Depending on the imbalance that price may be off from the last print significantly... NYSE...

What do you mean by "off the market"? Do you mean it was off by 5 cents from the last price printed during continuous trading? or Do you mean that NYSE ARCA is not the primary listing of that symbol and you see that the primary listing printed its own auction at a better price?

Orders in the ARCA auction are filled as per the ARCA auction rules. http://www.nyse.com/equities/nysearcaequities/1157623605155.html If you think that IB gave you a different price, you can check the official auction prices published by ARCA...

DIfferent exchanges have different rules when handling moo & moc.

Falling crazily in love with a trade? best way to endup bankrupt...