Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids...
So that would be about 15-20 points per contract, which would be amazing relative to the daily range. Probably better to discuss what % of daily...
Olsen’s papers on empirical scaling laws in high frequency fax data is a good read on this topic. The length of the price ‘coastline’ is estimated...
Are you restricted to picking only one or can you allocate X% of risk to first and 1-X to second?
DTN is decent in my experience, checked it to cme datamine on a specific occasion and it matched precisely on millions of ticks. But you would...
Are you using your own tick-data for the backtest? Or did you get it in a package from a vendor? ES has millions of data points (~10MM) every day,...
Nanex (if it still exists) sells historical 'tapes'-full order book data for US futures (I think they also do options). Their quality should be...
I only need this back to 2011.
Is there a simple way to find changes in tick sizes (minimum price increment) of liquid US futures traded on CME? I would look for dates on which...
It's really trivial if you put some work in it. First you need to start with the understanding of how cme matching algorithm works and how things...
Everybody calls 'manual' something different. In futures properly reading 'DOM/tape' with a 'helper' software but still manually is helpful....
So support/resistance are 1(2) tick(s) from low/high for CL(ES)? How statistically significant is that? Or do they vary day by day?
The actual question of daytrading being difficult or impossible has a clear answer and therefore is not that interesting. Therefore I find it more...
Try talking to DOM993, I think he developed infrastructure for NT with all sorts of redundancy (plus he is really a good guy-just talk to him).
CJ, although I don't have access to that data, you should only see that after a match event. During a match event, the book is 'locked' and all...
Could you elaborate on the cons (unless you feel the info is proprietary). Clearly, data is not synchronized across L1/L2 in iqfeed-with some ugly...
For about 130/month you can get most US liquid futures contracts (using IQFeed). That's full L1/L2 data. So DataMine is indeed quite a bit more...
Broker's feeds mentioned above are pretty much out of question. They are essentially guaranteed to be filtered to some extent. If you want to do...
You do not necessarily need depth data but certainly full L1 data (bid/ask price/size changes and with all trades/trade sizes) are a must. You do...
Estimation accuracy will depend on several factors. If you get a full feed (all quotes), it should be true in majority of cases that trades at...
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