checkout Holdbrother's graybox... as far as I know its the most "api friendly" in the prop business...
The good ole days of island and brut sub penny shavings :( If I recall correctly part of the reason why they banned subpennies, was that it...
thnx 4 reposting. great article. I traded TSX for a few years and was pretty familiar with its matching engine up to a couple of years ago. What...
nanex research is a good place to start, at least for the lit side of the markets...
Are they doing broker preference like they do in Toronto? Where orders that would remove liq first check if they can remove an order from the same...
well that sucks :( did you every hear back from LASEr?
maybe you can find some of that data on Quandl? (at least for the historical part...)
Let's get our definitions straight. So that we all speak the same language. MW dictionary defines a times series as: : a set of data collected...
can you please explain what it is you're talking about? I don't understand the concept of a trading system without market data, regardless of the...
whether you are working on a simple system based on technical indicators, or a complex machine learning bot, the system must always have the...
All trading systems work around the time series of market data, and they seek to make probabilistic forecasts on the future data using present and...
Hi Jack, I am very much aware of the fractal nature of market data, and the relative information contained in the order book and tape vs the...
The logic and the data should be independent, specially for machine learning systems. The logic and rules that the system applies should be able...
what do you mean?
check out this page it seems to have the documents you're looking for available to download: http://www.cygrouponline.com/download.html
GP has a very strong tendency to overfit the data. So they can require significant fwd testing after the paramethers have been adjusted to...
have you tried reaching out to Laser's support? have you considered that maybe the 10 year old version, is the latest spec? :(
why not start with the goal of coding some of the qualifying, categorizing and extrapolating of the data... that way you'll free some of your time...
maybe you should checkout Ernie Chang's book. it gives a good overview of what it takes to setup an algo trading business... including details...
doesn't really takes the judgement out of the equation, just out of run time and into compile time. :D
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