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Bought 100 July SPY calls @ 110 for 0.33. We'll see how this goes...

Is NFV holding or also moving down?

$54

$330.50 Easy peasy.

The second one (the Aldridge book) is really not worth reading, at least for a practitioner.

As someone who uses IQFeed and its API, I fully recommend it. I should mention that you don't actually have to pay the $300/year to use their API. That is to get access to their docs and developer forums. If you do end up using IQFeed and don't want to pay the developer fee, PM me and I'll...

+43

$129 Stayed at one contract today. In hindsight, could have done better.

People burned themselves with the coffee due to their own stupidity, was the way I heard it.

+227.50

I can't speak for all platforms, but R on 64-bit Linux will only hit address space limitations imposed by the system architecture, as far as I know.

I'm showing around 300 MB for a month of the tick data as you described (I specifically checked QQQQ). Let's say that six months, then, is around 2.5-3 gigs (I'm padding the estimate a bit). Then yes, R can store it quite easily, assuming you have the RAM/swap available. I've got 8 GB on this...

It just...keeps...making...money. I could use something like this!

I generally backtest in R. I can load my data once, then backtest in a variety of different ways (or using different backtest variations, as your comment suggests) without having to read the data again. If I change my code, I just re-source it, but the structure containing my data stays present.

If you're storing your data in smaller than one-year segments, read as many in as it takes to get a year. If they're > 1 year, you've got some awfully big files there. :)

I'm a big fan of plain old CSV.

+452.50 Done for the day. Phew!

+498

SPX closed at 1050.21, S&P futures are slightly lower. Have you seen more long edge than this with the current NFV incarnation?

+552.00 Glad to be done for the day.