ahh I wonder if you are getting "all" the information.. If you could see that as well that would be something great, but you can still work with this Is the school basically supplying this information for you? And if they are how long are you going to study this for? If your interest is HFT I would stick with the highest volume equities as I said earlier and disregard others, but that is just an idea. Also, since you obviously have the hook-up going on here, see if you can get resolution on the CME for something like the ES or YM, or what would be more interesting IMO would be the NYMEX with Light Sweet Crude (CL is the contract abbrev.)
Is the school basically supplying this information for you? >>no, it is not just for me. But I have only a restricted access. By the way, I think I can get the info in the format you have sent, with the @ And if they are how long are you going to study this for? >>I dont know. It will depends if I find something interesting. If your interest is HFT I would stick with the highest volume equities as I said earlier and disregard others, but that is just an idea. >>You are probably right. But it must be confirmed. see if you can get resolution on the CME for something like the ES or YM, or what would be more interesting IMO would be the NYMEX with Light Sweet Crude >>cant get the data
Do you mean you can get the info with the ECN? This is quite an undertaking your are getting into - i will send u a PM for the rest as I am sure you do not want to disclose too much on public boards etc.