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I read it. Sometimes when you read these papers you don't walk away using everything they say, but you lift a few ideas here and there and then convert it into something else. I don't think their methods are compatible with what I am doing, but they did expose me to some new ideas.

Thank you for this. This is very useful.

So these algos/HFTs with passive orders have to assume that price-movement generally goes in excess of where they've decided to provide liquidity, right? So for case 1: Say I have 500 shares in my inventory and I think a forecast will go to Y. For me to realize my trade with some...

Yeah, so, theoretically though, if you were that guy who got the rebate, got nibbled at, and the flow didn't go against you, you just made bank then, right? Is that possible to do with any sort of reliability on something like nasdaq or arca or one of the primary exchanges where all the volume is?

I was reading a paper written by one of Don Bright's traders about sub-pennying, where the trader talks about how when the market is hit, the direction of the move is likely to be against the trader who is hit on the whole penny. If this is the case (which I believe it to be), is it a sane...

I have an idea of what is going on and how I am being gamed by the market, but I haven't put together a good solution yet. Lot of intense research the past few weeks. I'm wondering if the guy who wrote the article just hates the low points, where the PnL starts drying up and the solution isn't...

I love it too, but my edge is currently dying. Sadness.

I'm not so certain about the mainland thing. Think about it: if you have the money for a private island, and if a pirate has guns and a boat, wouldn't it make more sense to do some surveillance, shoot the rich people, and go loot their belongings? I mean the true cost of the island is in...

How do you defend against pirates? I thought about a private island (in a fantasy, reality is that I'm a few bad trades away from working at Wal-mart), but I can't see why someone with a boat and some guns wouldn't just come and rob you and then bind you with tape in your home and make off with...

I kind of resent the older Americans who consume mainstream media. There is no way anyone in this country should take anything seriously that comes out of any major media outlet. It's just spin on top of spin on top of spin. Being a trader helped me understand this because it felt like the...

I became a trader and my brother became a doctor. I have variable income and he has steady income, and I have less job stability than he does. He actually likes working with people, and I generally don't. On the flip side, he still has 6 figure debt to pay off and this magic 500k you are...

This. When I graduated in a down economy, all I could find was a job that paid 54k. I quit that job in 4months and within 7 months was making nearly double, then poured all that cash into a speculative bet in the markets that paid off and have long since left the idiotic world of software...

This is a good idea as a test-case. If I manage to get some free time after the close, I'll give this a shot before doing something more complex and maybe write-back to the thread.

They should give you a handicap parking space to compensate you for the injustice you've suffered.

I'm open to ideas. I'm trying to make incremental improvements to my data management system, but without going so far as to making it a full-time project. I think data management is maybe 10-15% of my business effort right now and it's higher than I'd like it to be, but as a 1-man operation...

Interesting. Thanks for your comments.

So, say I use one huge file. Are you suggesting just one huge file for each symbol, just tack on data one by one? If I want to slice the data from times between t_0 and t_n and "join" it with another symbol in the same time interval t_0 and t_n, I'd need some kind of indexing scheme. How do...

This is why you get a computer to do it for you.

I don't understand these posts. Why aren't you looking for new edges in the afternoons?

I was skimming this article here: http://www.puppetmastertrading.com/blog/2009/01/04/managing-tick-data-with-hdf5/ Anyone have any very strong opinions on how to layout data for stocks? One file per day, or one day with lots of data-sets per day, one symbol per file, etc... Any...