high frequency trading: where are good data sources?

Discussion in 'Data Sets and Feeds' started by mizhael, Apr 4, 2009.

  1. what's the difference between scalping and market making?

    Anybody shed some lights?

    I am also interested in working on some high frequency market depth data and devise trading strategies based the statistics of the high frequency data.

    It doesn't seem to be easy to set up a back test platform, because finding such huge data is already tough, not to say back-test involves data-mining which is not truth-telling. And the reliability of the data source will always pose a big problem.

    Fortunately the high frequency nature of this trading style provides enough data for doing forward testing, without a full cycle of backtesting. Agree?

    But what shall my trading strategy be, as a retail level investor? The high frequency data is very noisy, probably the noisy bid-ask will eat away my edge already. So I am thinking of turn to the other side of the trade, to become a scalper and market maker, in high frequency environment, what do you think?

    At least I should have a way to devise the trading strategy to test if my model, indicator or signal works.

    I am thinking of doing the programming on the JBookTrader, since it's
    open source and free and it seems to be working with Market depth
    order book data, though I originally wanted C++ platform...

    I am thinking of doing it with IB, but if you tell me TradeStation or other source is better in terms of the quality of the real time market depth data, I will try to switch....

    Any thoughts?

  2. If you want to do scalping or market making with JBookTrader you will need to modify the software to handle limit orders. As currently implemented JBookTrader only does market orders.
  3. You mean the execution part?
  4. Other than depth of market, are there any other data that help high frequency trading, such as times and sales?