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From what I've seen, pretty much every commodity (with the exception of natural gas) has gone up over the past year... some of them substantially. What I'm curious about is what part of that across-the-board price increase is due to the increase in oil prices (higher transportation costs, etc)...

What are we examining here? Strategy P/L per trade over some time period? Volume? Price movement?

Maybe the definition of "tick" in this case depends on the type of data feed. If you're getting full market depth (something like TotalView-ITCH), then the ticks are basically individual orders w/ instructions to add or delete from your local book. If it's just top-of-book, then that's...

Not sure what sort of circumstances you're faced with, but if you can, it'd be good to do some initial testing to get an idea of how much CPU you'll need. Substitute simulations wherever you are unable to use the "real stuff". For example, if you can't hook up to a data feed, you could...

Good links. Looks like the <a href="http://www.futuresindustry.org/ptg/academic-research.asp">academic research page</a> at futuresindustry.org has a few other good papers in addition to the one you linked above.

So, to be somewhat formal about it, I went to dictionary.com and looked up "gambling": <i>to stake or risk money, or anything of value, on the outcome of something involving chance</i> Going by that alone, I'd have to consider any money risked in a financial market a gamble (trading...

That's a really good question... how big a grain of salt should you take with the displayed size? What percentage of the currently displayed size will disappear over the next X seconds vs. the percentage that will stay put? (I say "disappear", but it might be that some of it just shifts a tick...

As an FYI, I submitted a quote request via this page: http://www.cmegroup.com/market-data/datamine-historical-data/datamine-purchase.html ...and got an email back soon after w/ all of their pricing details.

Similar to abattia, I haven't (yet) put a lot of effort into generating/updating charts for real-time monitoring. I dump a lot of numbers and statistics to files, mostly in CSV format, some in HTML. From there, I can open the CSV files w/ Excel and generate whatever charts I want, play w/ the...

Do you see the dark executions happening at the sub-penny level (assuming the prints allow for the extra decimal places, etc)? If that were the case, my guess is removers are probably hoping that the price improvement they get via dark execution (minus fee) is better than what they'd net by...

Thanks, I think the term "screen scraping" is what caught my curiosity, but it sounds like most folks are either parsing page HTML or pulling the CSV price data with HTTP. I've been running a Java program for the past couple years which pulls data each night via HTTP calls. I think we've been...

Sorry to dredge up an old thread, but saw the bit above about screen scraping Yahoo. Just curious what exactly you mean by that? Do you mean finding and converting the visual (bitmap) data on your screen into usable data (thinking something like the memory scanning that online poker bots do...

This SPY/ES tick difference is something I've been thinking about recently, as well. There are quite a few factors at play here, the bigger ones being whether your strategy tends to add or remove liquidity, your commissions structure, and also the book liquidity of each contract (ie how quickly...

Awesome, sounds like that helped.

Looking at pages 33-34 of the spec you provided, what values do you have for "TimeInForce", "NoTradingSessions", and "TradingSessionID"? My guess is you may want to do something like GTC for TimeInForce, and then specify that you want your order to participate in 2 sessions (core and after-hours).

That's an interesting point, NYOB... I hadn't thought of that. Each exchange/ECN will have it's own queue length for a given price of a given stock, as well as queue depletion rate due to fills or cancellations (ie shares depleted per unit time... I guess pick your favorite lookback period)...

I'd be curious to see how the spread for a given symbol on EDGA compares w/ the same symbol on EDGX. Over the long term, I have to believe that EDGA would have a wider spread due to the rebate incentives to both remove liquidity on EDGA and add liquidity on EDGX. The thing that makes this...

You could parse the HTML for that page, but not sure how set-in-stone a lot of the wording is, etc. As in, I wouldn't feel confident that a parser would continue to read correctly over the long term... unless a long time had gone by and IB had updated/changed the page a few times w/o major...

If you wanted some automated way to allow only X trade entries per day and cancel any open orders beyond X... I would think that'd mean coding up something and using the IB API. It wouldn't have to be too complicated, especially if all of the order placement is manual. Just have the tool...

You could do some limited live trading on your contracts of interest and track the volume that fires at your order price between the time when you place your order and when your order executes. After X number of trades, you should have a pretty good feel for where your orders typically land in...