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i betcha if u look at less efficient/liquid names those figures will be more interesting.. esp close yest - open today

2Rosy thanks for the code. Let me make sure I am interpreting this correctly...the SPY tends to gain 7 cents just by buying 9:30 and selling4pm Wednesdays and tends to lose 6 cents on Mondays? If that it, that is a very small edge right?

gonna have to dust off my "Math for Data scientists" lecture at my post grad program or you an just wait for sle,dest, TomM and a couple more quants who are so capable in answering this... :-) One thing I would suggest initially though is to try this on a less liquid, less efficient ticker that...

I currently measure most volatile day per stock for my options trading. I dont think it would be too much of a stretch to change the measure from quantifying spikes into quantifying range associated with an up or a down move. If you want to do that, you will have to load data into some tool to...

Thanks guys.:-) I have to investigate liveVol and even the 2 graphs you guys pasted. If the data in the grpahs are downloadable in a csv, then that might work-- put it in a dataframe in python ,etc . I kinda want to do more stuff with it such as compare it with indicators in the underlying and...

hi .. can anyone suggest a way to create a way or a source of data to create a time series graph of an option over let's say past 1-2 months? I looked into data sources such as orat, TD Ameritrade API and both of them involve fetching snapshot data. This means I have to save it locally every...

There was a time where there were no coordination bet the exchanges so option A might be .50 bid at CBOE and .45 offered at PCoast.. you can arb it.. I think it was called RAES bandits? A friend hooked up w some outfit off-shore where all he has to do is hit the buy or sell button to lock the...

yes. I know .. I wonder if they are still around? Their site is still up and they had a both at the Marriot in NYC like 2 years ago..

Hi Robert. I was with them for 1-2 years. I remember having the option of joining their prop firm (w 10:1 leverage) or opening a Reg T with 2:1 or 4:1 over $25,000. We are going way back.

in the daytrading domain, I think Hold Brothers was self clearing for a long time. Dunno if they still around.

When shit hits the fan in those moments a couple of things happen... 1) you start rationalizing that "this is the point of max loss " so wait another hour...and another hour... 2) the spreads blow up for there is a proverbial run in the bank and bid/offers get to a point where people who need...

i don't really think risk management applies to naked short options. Yes you can have some form of risk mgt by capital allocation but ...

it is also not an accident that they are based in FL.Think there are laws in FL and Tx *( i beleive) where it is harder for creditors to clawback assets.

hi newwurldmn.. not gonna sell the service.. just get raw data for research.

thanks destriero. I was just thinking this morning for potential options data sources I can get access to as I get closer to my upcoming thesis. You got any suggestions on any research that might be interesting ? :-)

I have to look at my notes. I encountered all the errors you are in now, swapped to win 10, got it working BUT I returned my new laptop for a faster 1 which should be arriving any day. I am slammed with finals for my MS so once I stop drowning in school work, will focus on TDAPI which I need to...

What o/s u using? I had same issue for weeks. After going back/forth w email support, they send me a link about windows 8 or below having issues. Iam like"why did u not tell me this weeks ago! After buying win 10 laptop... worked like a charm. quick shoutout of thanks to spyalgo for helping me...

TD HAS an API. I know.. for I have spent countless , needless hours screwing around with it. The hardest trickiest part is getting authentication straight thru a POST command , then a cURL to request quotes,etc. It sends quotes in a json format so you can use python to "grab" it and convert it...

There is enough volatility band/studies within AB that you don't need to recreate it in AFL which is what I think ur trying to do above. I can give you generalities on approaches to take with AB vs. just using the canned studies. My involvement with AFL is primarily in backtesting so won't be...

I code AFL and if you need assistance on things I can do, post it and I will try to help. AB functionality is so big that after coding it for 3 years I prob have plumbed like 30% of it.In addition to your methods above, read books by Jeff Augen regarding volatility and by the now deceased John...