The only backtesting data I'm interested in is minute by minute (minute aggregated) top of book (highest bid & lowest ask at minute bar close)....
The business model of most of the attempts to "rent" stock recommendations that I've seen involve providing one's algorithm to some trusted third...
I've been using the following formula for model selection as an alternative to Alpha: mean(StrategyDeltas)/std(StrategyDeltas) -...
A simple paper test of a trading strategy is to assume one borrows all money to purchase assets and see if trading increases the liquidation value...
The attached screen capture is of my Alpaca algorithmic paper trading portfolio which experienced a nearly 6% drop on Wednesday, a small recovery...
https://iextrading.com/ obviously offers trading services but when I look for an API, I keep getting shunted off to the data feed APIs. No order...
Usually spits make enough of a change in the stock price to be distinguishable, on its face, from a minute-to-minute short term market movement,...
I'm attempting to construct minute aggregated bid/ask spreads from the IEX TOPS data. To check my work I plotted AAPL to see if it makes sense....
Wikipedia's article on "Market Makers" says of the NYSE: In the United States, the New York Stock Exchange and American Stock Exchange (AMEX),...
In [4]: %run spreadratio.py spread ratios all symbols: 0.029280614424745024 IB ETF symbols: 0.005647272013423552 DJIA symbols:...
I know that some ETFs offered by some brokerages are "commission free" only under certain conditions, such as holding the shares for a period of...
Interactive Brokers United States - Commission-Free ETFs lists several "Products". Is there a list of the corresponding trading symbols...
I noticed IB's commissions page says for monthly 300,001 - 3,000,000 Shares traded there is a per share USD 0.002 and a per order minimum of USD...
Did anyone else notice a rather sudden and dramatic change (relative to the prior 2 months or so) in the behavior of their algorithmic trades...
I recently ran into an intraday backtest showing ridiculously high profits that turned out to be due to a reverse split causing a jump in the...
The Finviz Technical Screener has "Volatility" but doesn't say which formula it uses to calculate it. The popup says it "Represents average...
Are market volume (^NYUV:NYSE, ^NYV:NYSE) derivatives a thing? i.e. Can one trade on instruments derived from those market indicators?
Is there a free online chart that has the average daily range indicator (with a number of days as parameter of course)?
After optimizing parameters for a trading strategy, I can easily backtest but only with the same date range used to optimize. When I tried to set...
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