Good post makosgu. What you said is a non-geek-speek version of this paper. http://arxiv.org/abs/cond-mat/0206280 Abstract: In this paper...
Ah hah, slippage from order timing seems to be much more of a problem than that of estimate costs based on available data. In that case, having...
Are you kidding me? These guys thought evaluating a simple system based on moving averages was a good idea? How does this stuff even get...
You're right about that. I guess my general point was, if you look at the spread in this case to estimate transaction costs, you are going to...
I think the bid/ask spread is very misleading. For instance ----ASK------ 2.982 100 3.000 900000 3.010 300000 ---BID------...
Except of course this is usually illegal. Nearly every data provider I've used specifically says that you are not allowed to redistributed the...
A very simple representation is a 2nd order polynomial which captures the slope of the price impact of a marker order, and the curve...
One more time, trying to bring this to the top. I'll rephrase. I've heard many say volume leads price. If liquidity, and thus volume can be...
Assume it is possible to predict both ask and bid liquidity several minutes into the future. What sort of strategies or indicators would you use...
I don't understand why you would use gmail's smtp server rather than your isps.
Umm, the unscented kalman filter is definitely not linear. While they aren't all that useful for simple price prediction they can be *extremely*...
I've recorded a full days worth of high frequency depth quotes from INET, ARCA and nasdaq level2. I've done some analysis and noticed there...
Gotcha. I guess my point was, while 5 instances in 40 years is significant, if there were 500 instances of 7 then it would be less so. I think...
Why is 8 days meaningful? Why not 7, or 9?
It is cpu and IO bound. I'm running a vmware instance to run my win32 app which connects to the local postgres database via ODBC. All the context...
I've been using Genesis's api for a few weeks now. It's ok, but I *really hate* the design. It basically forces you to implement an MFC widget....
You're absolutely right about sql not being the best formance. But it makes it vastly easier to analyze, extract, backtest, report, etc. My main...
I'm looking for an API that is not tied to any existing sofware. Basically, an API should connect me directly to their servers and receive prices...
Yow. You actually have this board now? I've been hearing great things about the dual-cure opterons lately. Back on to something more relevant...
Do any of you guys record depth quotes from all the ECNs for backtesting purposes? I've written some software to do this with 2 seperate direct...
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