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right before 9:31:25 the market had been quiet for about a minute. bid was at 18.50 ask was 18.80. Your stop at 18.47 was 3 cents below a 30 cent spread, or 10% of the spread. Movements of 10% of the spread happen randomly *all the time*, so based on that alone you should actually expect that...

I just checked and your stop was 3 cents below the bid when the spread was 30-40 cents. Not a good idea!

What happened is someone else sold a lot of shares and that moved the price down. Then your stoploss got triggered, you joined the panic selling and sold your shares at LOD. All those higher bidders you saw bought their shares from other people that traded before you. There were over 15K shares...

ISHYGDDT, a market order 1 min before close will typically be much worse than the auction as you will pay spread and take fee, market impact will be higher, not to mention that slippage vs close is worse by definition

The paranoia about MOCs by some in this thread is really unwarranted, I have traded literally hundreds of thousands of of MOCs and they work extremely well on average. If your back test says the closing price is good then MOC is an effective way to achieve that. Sure you can get some weird...

Well I'm curious. Any way you can ball park it for me or would I need to sign an NDA for that? Currently paying about $350/mo for market data, I do believe imbalances have significant additional value but I can't afford to go crazy on the data budget..

Trading imbalances is all about being reactive, you need to see the imbalance first before you can know that you want to trade it... so you pretty much need to see the whole market. So at least 2K symbols to cover most of the liquidity.

I'm interested in the imbalance messages as well, does lightspeed have a way to get this info through an API? You can theoretically do it with IB, but the symbol limits are killer.

My edges still exist, they just aren't strong enough to be profitable after fees in this environment. I've read about this sort of market regime change forcing traders to completely reinvent themselves to stay in the game, but this will be the first time it's happened to me if the old edges stay...

Interesting, do you talk to a lot of prop traders? How many are in cash right now? Actually I have stopped trading about 3 weeks ago as my edge seems to be very weak in the current environment. It's disappointing that my system seems to have some indirect dependence on the bull market conditions...

This doesn't make any sense. Exchange fees have nothing to do with you running an exchange or not. And if the data is live then nothing prevents people from using it for live trading. Recommend you do a lot more research into the legality of your business plans before proceeding with this...

Anyone else having trouble believing that Mo06 is actually making 100+% per year (or over 250% with compounding), trading only large cap equity, and almost never has a losing trade? It just doesn't seem that plausible, frankly. I can believe that rate of return is doable in general, but I...

Speaking for stocks data only here: I use ActiveTick as a backup feed while Polygon.io is now my primary. ActiveTick is worse in pretty much every way (quality, reliability, ease of use, support) except that some of their lower pricing tiers might be more affordable if you are very small time...

Instead of hedging long equity with an FX position you might consider hedging out your dollar exposure with a short equity position. If you are equally short and long in USD equities then you will have zero dollar exposure besides that of the USD profits you have accumulated. EDIT: just read...

ET members, amiright? :D

Hmm yeah that's too bad, I haven't been able to find it at a reasonable price either :( Even in real time it seems difficult, I mentioned that Polygon.io might be getting it but I don't think that's happening now. There was/is still some confusion about it.. To answer your original question...

I'm very curious what would be an example of a legit edge based on L2. One would think that the orderbook doesn't contain much information these days because of the prevalence of algorithmic trading systems which are designed to minimize information leakage.

I guess you meant bid+4 cents or ask-4 cents, otherwise the question doesn't make much sense as the order would be immediately marketable. The Relative/Pegged-to-primary order may be what you are looking for, or at least similiar: https://www.interactivebrokers.com/en/index.php?f=613 ...

Hailiang Education Group Inc. (HLG) ? Stocks can't instantly jump that much due to the circuit breaker mechanisms. Look up LULD. If you see such on your charts, it's almost certainly a data error. Plus if any clearly erroneous trades do happen, they probably get busted (undone).

Read the thread, still not clear on your fill assumptions. Is your backtest profitable even if you cross the spread on every trade (buy at ask, sell at bid)? You said you have data going back to July plus 1 year. That is not a very long backtest in this business. Sharpe of 7 is high, but you...