If your model discovers a statistical pattern, it is natural to expect that the stability of this pattern deteriorates as you move further away...
Not unless you are trading in such sizes where adverse selection and price impact become real concerns. I am guessing you are not trading in that...
Exchanges have provisions for market participants to display only a fraction of their order sizes in the limit order book ("hidden" orders). A...
Right, I've been there. My objective is to mostly automate this process (I am working with a fairly large set of instruments) and parsing such...
Ok, maybe you could walk me through your QQQQ example -- because when I request "holdings" on amex.com it usually redirects me to some other site....
Seems like a trivial thing, but I can't find a single good source for ETF/HOLDR/SPDR component info: 1. exact and full component weightings...
Thanks. I've discussed this question in several places and have come to a conclusion that is similar to what you are saying. The "price" is what...
This leaves a few questions (relevant at very high frequency): 1. is the last price more meaningful than bid/ask midpoint? Think about...
If this question is too basic, please point me to where I can find some old discussions, etc. I would imagine everyone has to answer what...
This might be a FAQ, but given a historical data feed like opentick (specifically, quote and trade tick streams), how do you define "price"?: -...
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