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The only backtesting data I'm interested in is minute by minute (minute aggregated) top of book (highest bid & lowest ask at minute bar close). The actual storage required would be little more than that for minute aggregated prices. I'm less concerned about download time than I am storage and...

Imagine a bunch of different websites each of which is shows a real time scrolling text where each line is an order for a stock (buy/sell quantity). You can go to any of these websites you want and feed the orders into your broker but you can't see the undelayed real time scrolling text unless...

I asked an old associate who has been doing algorithmic trading (using his own money and doing quite well at it) about this and he told me that when he attempted to offer his algorithm's recommendations to investors he discovered the SEC has cracked down on any form of stock recommendation...

That argument applies to existing businesses that run the algorithm for the developer and then rent out the algorithm's recommendations. I'm not going to try to defend the manifest existence of such businesses to you. Your response is to another question -- one that I didn't ask.

The business model of most of the attempts to "rent" stock recommendations that I've seen involve providing one's algorithm to some trusted third party which runs the algorithm and provides the recommendations to the second party. There is obviously an enormous amount of damage that such a...

I've been using the following formula for model selection as an alternative to Alpha: mean(StrategyDeltas)/std(StrategyDeltas) - mean(BenchmarkDeltas)/std(BenchmarkDeltas) WHERE Deltas = the change in liquid value during the time intervals sampled Strategy = the trading strategy on some set...

A simple paper test of a trading strategy is to assume one borrows all money to purchase assets and see if trading increases the liquidation value of the portfolio (cash + liquidation value of assets). However, in order to calculate the trading strategy's alpha, one must take the percentage...

Yes, indeed, I did lazily skip doing the analysis because, while it is obvious -- by definition -- why a short term strategy would, over the short term, pick stocks that were conditionally correlated (ie: the condition being the short term strategy) it didn't make sense to me why they would be...

Correction:

Like I told newwurldmn, "chance" or, to use your word "randomness" doesn't seem likely here due to 4 factors which occurred in conjunction: The sample size of the S&P500 symbols was 70. The one day gain (5/7)of the portfolio was 7 times that of the S&P500 The one day loss (5/6) of the...

My case differs in that the large number of stocks in my portfolio, all S&P500, exhibited volatility that did not show up in the S&P500 -- not even close. I emphasize "large number" because the more of the S&P500 in the portfolio, the less departure from it can be explained by chance. Perhaps...

It is understandable that you'd attribute to Thursday the large gains given the mismatch between "Today's P&L" and the total p&l, but that interpretation doesn't fly with the Alpaca paper trading overview page which shows "today's" pnl is >5% and the gains on Thursday were far smaller:

The intraday pattern trading was momentum-based scalping, with end-of-day holding rather than sell-off of the portfolio. There was no interday trading to speak of.

Paper trading which, I presume, you would call "theoretical". (I edited the OP to clarify.)

The attached screen capture is of my Alpaca algorithmic paper trading portfolio which experienced a nearly 6% drop on Wednesday, a small recovery on Thursday and then a >5% one day gain (yesterday, Friday). The S&P500 experienced only 0.7% gain (yesterday, Friday). These are all S&P500...

You certainly must have observed the fact that the trading world is becoming a lot more fluid and the services offered by the players are increasingly overlapping. So here's another ignorant question: Are there exchanges that offer trading APIs to those possessing seats?

I wonder how many people die because they are too ashamed of their ignorance to ask ignorant questions? But then, I suppose you think you're doing Darwin's Work, right?

Then what does this quote from their website mean? The new standard for liquidity. IEX is known for its deep midpoint liquidity that allows investors to trade in size without moving the price. IEX executes the majority of its volume at the midpoint – a far higher percentage than any other...

https://iextrading.com/ obviously offers trading services but when I look for an API, I keep getting shunted off to the data feed APIs. No order API is anywhere in sight. Am I missing something?

Usually spits make enough of a change in the stock price to be distinguishable, on its face, from a minute-to-minute short term market movement, but Pfizer's 1054 to 1000 split ratio, of 11/17/2020 was 5.4%, pushing the boundary for a major company. What was the motive for this strange split...