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I want to create continuous futures contracts from my historical intraday data but do not have the historical Last Trade Date, First Notice Date, First Delivery Date,etc for each contract. Any idea where to get or buy this data for about 30 CME futures contracts from 2008 ? Thanks for your help.

Nanex and TickData.com have good data but are expensive as you are buying the data. You can now rent data access with the QuantGo.com cloud where you pay a fixed monthly fee to access years of data, for example 5 years for all US data exchanges full trades and quotes ("TAQ") is $250 per month...

Check out QuantGo.com which has institutional historical data on every exchange worldwide, including the full historical CME feed with Options Futures...look for a Data Service called "US Futures Level 2 CME, CBOT, NYMEX and Comex" from the data partner AlgoSeek. They are charging $250 per...

I am looking for 3 years of intraday USA historical equities data and some options data that is reasonably priced. Specifically looking for equities tick data and want to be able to explore different symbols in a large number of names. I have been looking at various providers… CQG...

Where can I get a full list of USA stocks for Tape A, B and C (eg. NYSE, AMEX and Nasdaq) ? Trying to avoid Bloomberg or Reuters...but I cannot find source on the web (I do not mind paying for it). Thanks

Would suggest a Fri night as I am guessing that will be easier for people than weekend. How many people do you have for group ?

Are we going to do this or what ? Who wants to do it ? Finding a place in the evening after work is easy enough.

When and where are we going to meet ?

As for the blind leading the blind, that will depend on the group that he can assemble....

As a few posters have said, execution is everything if you are doing true HF strats. First (and further meets) should be in person until people get to know each other as this will allow for real sharing of ideas. Look forward to the first meeting.

What are you currently focusing on in terms of HFT ? How do you define as HFT ? What sort of HFT strategy are you looking at (big picture not "secret sauce" details) ? Why answer these Qs ? Because unless a reader knows more about what you are doing and can determine your level of...

Interesting about ARCA...I will check that out. Thanks for your real world observations. Our optimal execution (as with everyone else) is at the theoretical value, but we can wait for the fills to come to us. Focus is on liquid penny spread ATM options, for example INTC. For example the...

What are people actually paying for DTN NxCore ? The prices given to me a couple of months back were: Setup (One time fee): $1,000 Monthly for Stocks and Options: Trades+NBB0 $2,000 per month Trades+NBBO+All quotes from each options exchange $4,000 per month Thanks.

Speculatus: Activ is a very good and institutional strength low latency feed which we would like to use, BUT when we talked to them earlier this year we were given pricing of $10,000 per month for US Equities and US Options using ActivFeed Direct. May I ask what you are paying (or a close...

Pandabear: If you dont mind me asking, which broker are you using? IB has a order cancellation fee structure and do be a market maker, you orders will need to be acknowledged in less than 50ms ... Answer: Pandabear...currently evaluating brokers, but Lime is at the top of the list...

Any suggestions for a low latency tick by tick feed that publishes USA Option and Equities that is $1,500 or less per month. This is for an option automated trading system. The Feed will be used to generate continually updated/changed limit orders inside the current Bid/Ask spread at specific...

OpenTick is completely down as of Sept 10th 8pm EST...their DNS has gone, so cannot access the website or feed servers. Cannot ping their web or feed servers directly with the actual IP address. Anyone know if they have closed permanently or what the situation is ? Thanks.

How is Theta decay intraday calculated ? From my understanding (pls correct me where I am wrong)... The existing theoretical models for pricing options are based on the number of days to expiration, so how do you calculate the intra-day value of a decaying option. How do Market Makers...

PLEASE IGNORE POST - I DOUBLE POSTED BY MISTAKE Please goto http://www.elitetrader.com/vb/showthread.php?s=&threadid=133685

I should clarify my Q.... Everyone is looking for an edge and there are very few to be found and even fewer things one can predict in advance. IV increase on certain stocks pre-earnings are pretty predictable though the range will vary. My Q...is it possible to try and capture that IV...