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HoundDogOne, is that you? :D

:D:D http://www.theonion.com/content/news/even_ceo_cant_figure_out_how

Ah, DTN requires you to open a developers' account to access the API. https://www.iqfeed.net/dev/index.cfm?section=registerForm Does your broker provide data (IB, ...)?

I can't think of anything more important to analyze for predicting price moves than than the limit book. It is the only falsifiable measure of actual supply and demand based on properties of order flow and not free parameters. But, you need software to visualize the temporal structure of...

You can probably hack something together from sample code relatively quickly, but it's important that you understand the API docs. What data feed are you using ? Maybe I can help...

If you have some programming skills (Java and SQL), you can accomplish that easily (and free) with any event stream processing platform. That's what I do for custom real-time indicators, not that anyone on ET cares.

I really don't see this replacing "insider trading" anytime soon... especially since Reuters is disseminating the same information (presumably at the same time) to every algorithm hooked to their feed. I've toyed with latent semantic analysis for pruning unstructured news articles and...

GOOG did a Dutch auction and priced shares at $85 with a range of 85-95... it opened at $100.01

Not necessarily, especially since you are forgetting the sell-side... A cursory skim of Wilmott and NP shows quants are far more interested in understanding risk and pricing derivatives and exotics than actually taking directional views on the market (as traders do).

You should try asking that on Wilmott... I'd expect a response like "What is a trader?" :D

Are you by any chance reading "The SOES Bandits Guide"? :D

The average objective probability of any technical indicator is 50/50 because almost every indicator is a function of price... which has already happened. I'm not saying TA isn't useful for analyzing historical data, but you need something outside of the closed loop system to make real-time...

Sorry... I reread my preceding post and the example is wrong. To answer your question, the parameters are estimated with a linear least squares regression. Since the OP already found the answer he was looking for, PM me if you want to chat about this in detail.

Isn't slippage just the difference between the estimated and actual transaction cost? If you fit a curve to model the book, you can approximate the instantaneous slippage of any size order. Example: Order book, ask side. PRICE SHARES 38.00 100 38.01 200 38.02 300 38.03 400...

That is only tick data, which isn't enough to reconstruct a limit order book. I have yet to find any data vendor (including the exchanges) that provides enough historical trade data to reconstruct the full book in continuous time. This is unfortunate because you really need the complete...

It's really about price elasticity; decreasing demand as price is increasing. Using price impact models (e.g., by fitting sum of exponentials, cubic spline, etc to either side of the order book) you can determine the immediate slippage and projected slippage.

I don't understand why everyone in this thread is so defensive. Esper is free, there aren't any "gimmicks". Here is one example of how I am using it (maybe this will help someone): queryText.append("insert into harmonics_window_"+side+"\n"); queryText.append("select\n")...

There are always good reasons to explain why a system might work or fail. However, there are effects that are not predictable even with the best models and theories (e.g., dip buyers). In that case, it takes common sense and trading acumen to decipher between anomaly and "real" causality...

I've been without service since around 9 pm eastern. T-Mobile said it's a nationwide outage. Keep an eye on RIMM tomorrow am...

I was thinking about this some more, and remembered that cointegration can exist with or without Granger causality. i.e., contemporaneous cointegration is possible, as well as a leading-lagging effect. Jeff, which relationship does your system use? Convergence or lead-lag? If the latter...