I am looking to use PEG orders on BATSONLY to obtain a specific functionality. Basically what I am attempting to do is place a BUY PEG-Midpoint...
I'm curious why TS allows trades which are so obviously outside of the real time bid ask spread to affect their data feed, and also get saved to...
Wouldn't tracking the current bid/ask and using that as the source to build historical data fix this issue? Its a fairly major issue for me since...
I've never read that book. But from my limited understanding of information theory and signal processing, my intuition is telling me that the only...
I have a 'clean' L2 feed coming in beside TS, unfortunately it does not provide historical data. The bad ticks I see coming through TS do not...
As long as your average trade profit per lot is significantly higher than one or two ticks. You should be fine in that sense.
Sorry for not being clear. All I meant was that if your profit per lot traded is below some minimum threshold (say 1.5 ticks per lot), there is a...
How would you filter the data to only remove bad ticks and not good ticks that look like bad ticks? Seems like that would cause as much divergence...
Unfortunately Ctrl-R does not fix most bad ticks. Such as the one from Nov 19th I listed above, which is consistent on fresh boots. And should...
I've noticed many bad ticks (ticks which spike far outside of the bid ask spread, don't trigger limit order fills) do not ever get removed from...
Would help if you described what you think is 'too good to be true'. Its fairly easy to get an extremely smooth equity curve, but if you are not...
I meant in general. You seem to have a line draw on the chart before you draw the fib levels, just wondering how you decide to draw that line. I'd...
How do you choose when to draw your trendline? Is it on every flat move in one direction above some minimum distance?
Interesting that they give priority to manual traders, I'd imagine that isn't true for the market makers. I'd still imagine some automated systems...
Are darkpools required to pay SEC fees? Or is that just exchanges?
I'd imagine it allows people to unload large positions without the majority of the market seeing it and reacting.
Because it puts a value on private information, allowing people who have that information to unfairly capitalize on it. Like a CEO who shorts his...
Aren't there many countries with low corporate tax rates?
If you are just simulating fills at price levels, wouldn't any type of filtering of the data cause unrealistic market interaction? I just want my...
What is to say that their historical data is much cleaner than their live data?
Separate names with a comma.