Search results

sounds like one of these 2 packages could have that data... they're not free though... this one has the MOC/LOC imbalances, among other data.... http://www.nyxdata.com/Data-Products/NYSE-Alerts-History this one has the official close prices for nyse...

I got started into computer science from courseras data science courses (they had different names back in 2012 but were basically the same idea) There's a course from GATech called computational investments that leans a lot more towards analyzing financial data on python.

Yeah R is pretty good for statistical work. If you're going in that direction checkout Roger Peng's class in coursera. It's part of the data analisys specialization n u can take it for free.

Checkout Stanford's database course in coursera. It'll teach you what you need to know to build it right from the start, and will end up saving you time and work in the long run.

Learn to program in R or Python... After a while you'll look back at excel and wonder why you tortured yourself with it for so long...

There is a difference in the difficulty to execute large blocks of stocks, the machines play a lot of games in the order book and are always looking to front run a large order. Sure, this also happened back in the day, but the HFTs are better at it. They are also better at moving prices up...

In general, I can agree with that statement. Which I think is the main point of the last 11 pages. Signing off from this one, happy trading.

On this one I agree with you, so early on the project it should stay platform independent and high level, on a language like R, matlab/octave, or python... Once there is a proof of concept, then optimize (to Linux :P, jk) No point crossing the bridge before getting there.

Volpunter, The ad-hominem fallacy in your previous post makes your argument seem desperate. And I can tell you that not everyone talking on this thread fits your stereotype, I designed a large trading system that currently runs on 3 datacenters (HK,LO,NJ) accesing most international stock...

Volpunter, do you have a source about that nsdq matching engine?

Ameritrade has an api that works through URL's While technically not R or Python, it can be easily adapted to either.

as it's been said above, starting on a high level language like R, Python, Octave, etc... and putting together a working prototype of the system is probably the best road. If it works you'll have a clear blueprint to build into C and to know which parts you can run on MPI or OpenCL... If it...

Volpunter, it sounds like Windows is the way to go if you run a very targeted set of applications (like retail brokerage apps) In my case, I don't see the point paying MSFT for a system that doesn't do much better than what I already have, and that is lagging behind on the HPC space as...

Technically, not a book. but its a free class on DB's from Stanford... https://www.coursera.org/course/db

On my previous comment I was talking more about the winXP crowd, which usually doesn't even run on 64bit... and how linux is the best alternative to running on the same hardware that ran XP... But if we want to look to the higher end of the spectrum at the servers and to the high performance...

Commitment of capital, may be contracts * face value of the contract? (e.g. taking the globex price?)

I couldn't find the reference to IOI's (indications of interest) on the pdf... :( I did find this, which gives hints of the formula... Buyers and Sellers are probably refering to the depth of market field which indicates the number of orders sitting in the queue. Volume could be...

It looks to me like its just separating the volume execute at the bid from the vol executed at the ask. It doesn't seem to be a MA to me since it looks too choppy... it has jumps and flats.. MA's tend be a lot smoother when they move up or down. check to see if the 2 lines added together...

cool. :) I haven't played with quantcomponents or jquantlib, how do they work?

I found some references to their BookFeed... they seem to be available through the NYXData superfeed As well as through Lime As for their direct feed, here's the spec: https://www.lavatrading.com/news/pdf/LavaFlow_BookFeed_AFP_UserGuide%20v1.2.1.pdf Also found this...