Any pointers on market depth and order book?

[mizhael]

I am interested in doing some program high frequency trading based on market depth and order book, as well as times and sales info.

Any additional info that we could use for high frequency trading?

 

[jeb9999]

What frequency do you consider high frequency?

How many round turns do you expect to do a day?

What will be the percentages of winners, losers and scratches?

High frequency traders get their profits eaten up by commissions unless they own or lease an exchange membership.

 

[mizhael]

Quote from jeb9999:

What frequency do you consider high frequency?

How many round turns do you expect to do a day?

What will be the percentages of winners, losers and scratches?

High frequency traders get their profits eaten up by commissions unless they own or lease an exchange membership.

The data can be tick level data with real time depth of market and sales and times, and any other useful information.

For trading, the frequency can be lower, or much lower, and we wait only for high probable opportunities.

Once the system is setup, we can do more test.

What can be done at a retail level?

--------------

On the other hand, I still need pointers, at the retail level, as well as at the market maker level.