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I have read several articles about it. Sufficient that I wrote code to backtest it. However, I haven't seen anything analyze or explain exactly how one can control results by fiddling the parameters (eg. days to expiration for entry and exit, exact delta and other greeks, etc.). I've tried a few...

I'm investigating setting up leveraged positions for equities without borrowing, so using options or such. I've read about Zebras and familiar with them. I have run backtests with rolling ZEBRAS (2 long + 1 short calls for a delta of around .9 or 1) on SPY and the overall shape mostly matches...

I want to do some analysis on daily prices of stocks in the S&P 500 over the last 10-20 years. Most datasets I have found only contain the stocks in the S&P 500 right now, but analyzing only that list is subject to survivorship bias. I found a dataset for the list of components in the past. Now...

Thank you! I figured it was something like that, but didn't see it specifically confirmed like that. I just realized, that's probably what the prospectus is for... Yep, here it is on page 75 (77 in viewer): "The regular quarterly ex-dividend date for Units is the third (3rd) Friday in each of...

My broker's API provides historical dividends dates, but not the next one, which I need. Is there some way to calculate or a source (programmatically accessible) to get the next ex-date for SPY?

polygon.io: only goes back 5 years (according to their pricing page). tickdatamarket.com: I couldn't find SPY in their list of data. tickdata.com: option data only back to 2020-11-16, though that's quote data and maybe they have trade data back farther. I stumbled across thetadata.net. They...

Thank you for the replies. I had looked at Orats briefly but missed that the 2 minute data went back to 2015. I should have mentioned that I do not need greeks or IV, so that's fine. I'll give that some thought. I'm not finding intraday options data on historicaloptionsdata.com

I'm looking for the following historical intraday options data: - primarily just for SPY (but might be interested in a few others, but just SPY would be fine) - preferably at least 30 minute (1 hour would be ok) increments - preferably since 2010 or at 10 years of data - up to the past half...

I have seen one or two indicators that display scheduled economic calendar events that may affect the market. But the ones I have seen don't work historically, which I want so I can test. I'm working in Ninjatrader on ES/MES and want to be able to access these events in advance from an automated...

I'm pretty sure they do it because of storage space. I have a reasonably compact format (specified to the bit level, though not compressed), and that takes 10-20 MB per day not including level 2 data, I think. I have been timestamping in NT but I should have the API set up soon.

Only at 1 second intervals which I find rather frustrating. I've been recording data, timestamping it and playing with it (developing my own software). It's fun and very interesting.

Latency and throughput are completely different things. Something could have a latency of 100 ms and spit out any number of messages per second. If you go here: http://www.cmegroup.com/market-data/distributor/market-data-platform.html and choose Calendar, go back to Q3 2008 and you'll see...

20,000/minute is only 333 per second. It's my understanding that ES data at least (which is what I was talking about at the time) can be a LOT more than 1000 ticks per second when news hits or something like that. Keep in mind that it handles market depth as well. Sometimes there can be...

I can't promise this is why, but there is at least one significant difference: Zenfire is binary data. TT is FIX. FIX is a text based protocol with tags and so it takes a great deal more processing to parse and handle it. It is likely it takes significantly more bandwidth, too--though that...

I've been wondering about how that is represented in the data. The problem is if they represent that as 10... usually the data has a price and size--what price do they associate with that 10? and the information that 1, 4, 5 traded at 3 different prices is lost information. I was on the phone...

Just to finish this thread off, based on various research on message boards and such, planning to go with Mirus.

Did those microsecond timestamps come with the datafeed, or did you add those?

I specifically asked about data, not order management. It is possible to get data via FIX. There is also a FAST FIX protocol, and I'm researching right now to see if the TT Adapter supports that. If so... VelocityFutures with TT's FIX Adapter looks interesting. If I interpret the response...

Are you getting data through FIX? Is there any performance concern? My understanding is that FIX is a text/tag based protocol which I'm a little concerned would be somewhat inefficient for providing data. If you use it for data, could you comment? Thanks!

I'm going to be doing custom software development against an API and I've pretty much decided that I want to use zen-fire, so... My next questions is which brokerage to use that will allow me to use the zen-fire API? Which brokerage to use that offers: 1) <= $2500 minimum to open...