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Yes, exactly, what's kind of interesting to me (not implying that it's very significant) is the regularity of the aforementioned pulses. 10AM makes sense as pointed out. Not sure about 3:40 and 3:50 -- seems like if I were doing large volume for a fund I'd pick 3:37 or 3:53 just to avoid the...

Ah, right. Makes sense. There are tiny peaks on each hour, too. By the way, the dark line is what volume would be if each minute had an even percentage (100%/390min). Thanks.

I made the following chart by taking the average % of volume in each minute for the S&P500 from Jan -> 10/3 2008. One thing that surprised me was how pronounced the 10AM, 3:40, and 3:50 minutes were. I mean, I had always heard program trading kicked in during certain periods or whatnot but I...

The betas are Covariance(Stock, SPY) / Var(SPY) which use closing prices (% returns) from 3/3 to 10/3 (a block of data I had, not in this sheet). What stood out to me is how different those betas can be from the commonly accepted Beta found in, for example, Yahoo!'s Key Statistics. They are...

To be more clear - The number in the green cell is the amount to sell (go short) for a hedge. If it is a negative number, then you'd go long that amount. That's a bit confusing but it's a work in progress.

The attached sheet is submitted for feedback purposes and carries no warranty :D I calculated a cross-hedge beta with the SPY using closing prices from 3/3 to 10/3 of 2008. In some cases, the number is close to what I find on Yahoo!'s 'Key Statistics' page for the stocks and in other cases...

Yeah.. But that's like saying the characteristic of a successful golfer is getting the ball near the hole. So, I think it makes sense to look at what makes traders different and what may or may not help.

Don't worry, we have made some adjustments...

When the student is ready, the teacher will appear. -Buddha Sounds like a crap answer but I think there's truth in it. These days we rain down teachers on kids and education is seen as a right. We don't teach how to figure things out for yourself, you just need to have the fire and...

I didn't try Multicharts - probably depends on if I could automate the ascii dumps of the entire SP500. I was using the Excel interface to IB with some homebrew VBA automation to do this. What I was doing was working but couldn't do more than 60 requests per 10 minutes. Given the limit on the...

Also - Sorry to Pi Trading and anyone who wasted time with my sheet. I'm glad to know the data is in good shape and I'm impressed by the reasonable price. A silly mistake to think every day should have 390 bars. If there's any other analysis that would be worthwhile, let me know any ideas.

This is good to know. :D There seems to be a gap in JDSU 1/7/2008 into February and some other spots. I guess any meaningful analysis would need to compare to other data. Like I wrote before, I'm very pleased overall with the data. My analysis is kind of meaningless since the minutely...

Here is some data on the quality of the 1-min data from pitrading.com. Overall I am pleased because I think it will be sufficient for system development purposes. However, there are some gaps. There should be 390 bars every day. It looks like the most popular stocks have 390 bars...

If you are curious about market microstructure and how your orders will effect prices, check into articles like this: http://ieeexplore.ieee.org/stamp/stamp.jsp?arnumber=00805135

You're talking about psychology like it turns you into a sensitive sissy but I think it's the opposite. If I read you closely, methinks thy doth protest too much. Millions of people drive successfully every day. What if most people who tried to drive kept wrecking their cars and getting...

It is "bene vixit, bene qui latuit" Ovid, Tristia, III, iv, 25 Translates roughly as "One who lives well, lives well hidden." Was also in Descartes' correspondence with Mersenne. The same idea is probably in many places.

There is an ancient saying that to live happy, live in secret. Keeping secrets has many psychological benefits and it came to mind when I read your story. I think you're on the right track.

The way I look at it is there is no secret solution to many things where some do better than others. It doesn't have to be a secret if it's hard.

Great thread. I think it's an opportunity for honest self-assessment inasmuch as that is possible. I think I need to work on the tightwad factor. A lot of the frugal folks I know seem to have been born that way - or they are old and grew up during the great depression. How does one change...

This looks very promising - thanks! I've spent a lot of hours trying to scrub data from a few providers. Does anyone have any feedback on the quality of data from pitrading.com?