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I am focusing on just Emini future, S&P 500. In the next two months, I am just using IB as data source. For IB historical data, I store them in PostgreSQL. However for market data and order book, I am not sure what to use, that is why I am exploring InfluxDB. Also considering MongoDB...

Hi Currently I am using PostgresQL to store my Interactive Broker market data. Thinking to move my data to influxDB, then use Grafana to visualise (see example of Grafana below). Anyone have used influxdb and grafana? Any thoughts on these two software? From this website, it seems InfluxDB...

I am doing the same approach as what you proposed. As I need two years historical, cannot do this with market data alone, so I use historical data and stitch that with market data for most recent data. I am going to verify the different between bar that I created from market data and bar that...

As far as I know, the minimum time between two consecutive IB requests (historical data, market data, market depth) is 10 seconds. I usually use 15 seconds as sometime 10 seconds delay does not work.

As far as I know, there are three kind of strategies: Pair Trading (as mentioned in your post), based on relative price to a correlated stock. Trend following, based on relative price to the previous price. Mean reversion, based on relative price to the (recent) mean. And derivatives and...

Would you please elaborate further why using Machine Learning make me losing money fast?

thanks for your response, two weeks ago I was collecting data only, now I have to think how to process this data to create indicators. Agreed with your post, collecting one-off raw data is easy updating raw data with real time new feed is the next step (optimization of running data)...

Oh, haven't thought about this, thanks for bringing this up, it is really an important point. Considering this point, If I decide to use another data feed, such as DTN-IQFeed or DTN-Nanex, it will be only historical data for back-testing and strategy discovery purpose, no order execution...

Thanks for your response, I am using IB now, coded a work around to manage throttling by adding time delay. Thinking to also get IQFeed when I have my simple setup working. Well IB is almost free, while IQFeed will cost at least $130.

Yeah, only yourself understand your strength and weakness, so you can navigate with focus to improve your weakness by learning and by experience. It is not just one algo, multiple algos that can adapt by themselves. I believe I have a reasonably sound plan, details in the thread below, not...

Thanks for your response. I am always open minded to idea/thoughts. In the next few days left of my Xmas leave, I am focusing on streamlining my design, making something that people call Minimum Viable Product (MVP). The specification of this MVP as follows: Able to extract ES future...

Thanks, yeah, agreed with you. It is not wise to add more pressure if I don't have any other income source. It just the amount of work required to start an algorithmic trading system is enormous, it is much more than full time work. I can do this now as I am on annual leave during Xmas...

I am a non-firm trained newbie retail trader. I am thinking to quit my day job and do trading full time... need to reconsider my plan after reading this post.

Thanks for sharing the list above. Would it be possible for you to recommend a good data feed vendor?

As far as I know, Matlab does not have a specific function to test strategy. I have some idea to test a strategy, the detail is here http://www.elitetrader.com/et/index.php?threads/technical-analysis-vs-quantitative-analysis-vs-machine-learning.296651/page-3#post-4224235

Thanks for your idea, that is the great thing about this forum. On your thoughts using classification and regression. I guess the regression would be much harder. I will be very happy if the classification works most of the time. However I will try regression too. Just to summarise my steps...

DTN IQFeed, DTN Nanex...many more, you need to be more specific, e.g. what sort of price range are you looking for? which exchange?

Thanks Mike, I will implement this indicator then test it. I only have Emini S&P 500 data, hopefully it will work on Emini (with some adjustment).....I will get more data source after my emini work done.

Just to summarise, for CME Emini market depth, DTN IQFeed about $130/month + $324/year for developer registration + $50 one-off startup fee For CME Datamini and DTN NxCore, it seems in a higher price bracket. CME Datamine about $150/month - $270/month per product DTN NxCore (Nanex) starts from...

Clarifying a bit more details on what sort of datafeed I am looking for in this thread http://www.elitetrader.com/et/index.php?threads/looking-for-high-quality-stable-and-affordable-datafeed-with-api-any-thoughts.296734/