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Say an option expiring in 1-2 days, especially consider the expiration day. Specifically for index options, a move of 1-2% in the index during the day will move a sufficiently OTM option price roughly 5-15x. So, if you have a model that forecasts expected SPX/ES direction and movement on...

Statistical reversions, PCAs on thin etfs - are you talking in terms of intraday movement? Garachen, many thanks for chipping in with advice. I have about 80% confidence in my ability to roll out everything and understand exchange requirements. I have not seen such a strategy work anywhere...

If I may ask, how exactly are you doing the comparison between order fill rates? Doing something like sending 1000 orders and comparing how many get filled for smart routing vs direct routing?

i like to look back at least 5 years, preferably 10 years.

exactly and this was my ques #1 in my first post. So, I guess the right way to calibrate this observer effect would be to do a backtest and look at your fill rate. and compare it with your real fill rate - maybe that will give some idea of how much by your presence you are affecting the order...

Thanks 1245, that was helpful. Its a long and treacherous road I am getting onto!!

Thanks v much for info on aurora pricing. I am willing to invest 30k in this venture and probably can raise around 40-50k more if needed, so my warchest is definitely 70-80k for this venture. Yes as a start just a software to improve bid-ask void of any information. This is a very new thing...

What do you mean by above $0.20 extra. It will be helpful if you can give an example. Also, What is a pro-customer? What are the requirements to become a pro-customer? So, it seems now that there can be customers, pro-customers and market markets - a 3 tiered system of privileges and...

hmm...Even if other MMs join my bid-offer, my orders will get first priority at that level, isn't it? What does it take to become an options market maker? I know about CME and exchange membership and leases and all, but am not much familiar with options exchanges and being a market maker there.

So, I would like to make markets automatically on some options/futures. I am going to do following: 1) Get a dedicated server in a co-location facility. 2) Write an algorithm to put bid-offers in the markets improving current best bid-best ask. I will use C or maybe old VB to accomplish...

if eod data is available directly from exchange website, in my view its a better idea to get data from exchange website rather than any other source like yahoo etc.

How does NT simulator compares with IB papertrader? What other good stock simulators are there in the market?

Thanks dbphoenix :) You are correct that I shouldn't take anyone's word without doing personal DD. You are a long term and respected member, so I do give lot of weight to what you have to say. Secondly, I have seen many a times things look good on charts, but executing them in real time to...

dbphoenex - first thanks for so much contribution on ET :) Its a rarity these days. Because of the length of the threads, I have not read the whole threads. I have few 'general' questions if you don't mind. 1) Do you think your method can be automated? 2) For how many years have you used...

oops sorry to hear that.

interesting. Did you collect it yourself or you subscribe to some data service? Thanks.

if this is true, then it is problematic. can someone confirm this?

when you get stopped, you will get 0.25 slippage.

1800 before dec 31st.

Good luck mate Actually I am liking your style :)