Search results

NYX would be a third option... http://www.nyxdata.com/page/1070 Again, expen$ive. "TAQ Options U.S. covers regional options exchange quotes, options time & quotes, concomitant stock data, options time & sales, U.S. Options & Equity derivatives quotes at 1 minute and 15 minute intervals with...

You're looking for OPRA TAQ data (Trades AND Quotes), for 100 options/week. Are you looking for a different list of options for each day, or the same 100 all 5 days of the week? Do you have to collect once a week, or could you collect the data at the end of each day? Or in real-time? Are you...

Comparison Matrix: AGREED "data-splicer": This is a great idea. I would certainly use it. The closest solution I can think of is XLQ, as it pulls data from multiple sources, EOD and RT, free/paid, but I don't think it's really set up for the comparison/analysis step, that part you still...

Thanks, it was a single event. I'll post more if it happens again. It's still a mystery though (to me at least) as to why trading will sometimes occur below the NBB. I know very little about market microstructure, so I was hoping someone on the forum might have some insight...

I've looked in to CQG... not cheap either. Any thoughts on which has the best real-time equities feed? (Bloomberg or CQG)

Thanks, that helps. As for #2... how can trading occur below the NBB?

Logorrhea, IMO, is a perfect description of his writing style as well... the only trading book I tried to read and just couldn't do it.

Here is the TS data (attached)

Yesterday (10/31) I bought 113 shares of XME @ 44.43. Curiously, my AON limit buy order was submitted at 44.44, and the NBB appears to have stayed at 44.45 for the entire execution period. My first thought was that someone wanted out quick and paid through the levels, but my order wasn't...

B-firm = Interactive Brokers??

If you don't mind me asking, who are you using for your primary feed and what was your reasoning for choosing them?

fareastcoast - great point. Of the data providers you tested, which are "push" and which are "pull"? Also, still interested to hear if anyone has used QuoteCenter...

QuoteCenter at $135/mo. (MetaStock, powered by Thomson Reuters) looks like a pretty good option. I skimmed through their API doc that the sales rep sent me, looked like they much more available than eSignal, which is the only on of these options I've used. Anyone have any experience with...

OP- great review, thank you. Has anyone compared Thompson/Reuters/Equis, eSignal, Tradestation real-time equity feeds?

I'm using IB for "HFT" as well... Started with IB years ago, long before my systems were trading intra-day. I've heard many times that IB is "just barely ok" for what I'm doing... would be really interested in hearing of some alternatives...

FWIW, thought this was interesting, new product that combines R, Hadoop and C++. http://techcrunch.com/2012/08/22/y-combinator-alum-bigcalc-makes-hadoop-easier-for-high-frequency-trading-firms/

...so if someone wanted to choose either R or MATLAB, for prototyping purposes only, on longer frequency strategies, coming from an Excel/VBA environment, and hoping to integrate the new tool (R or MATLAB) with Excel and perhaps some C++ code in the future... would you recommend R or MATLAB...

crmorris-- Sounds like we are in the same boat... ($0)-- Time = money. The $free options could cost much more in the long run if not the best solution for this specific objective. Anyone else have experience transitioning from Excel/VBA over to R or MATLAB or similar?

From what I can gather this is a never-ending question. Narrowing it down a bit... can anyone make a recommendation (R vs Matlab) for someone heavily invested in Excel/VBA? In other words... which option will integrate better with Excel? on nuclearphynance: Matlab vs R vs Mathematica...

I found some insight on this topic on nuclearphynance, although some of the R critiques were many years old. Curious if things are different here in 2012. I guess the main factors I'm interested in are: - computational speed - development time - integration with Excel/VBA