ThinkorSwim is good for: Tick charts Spread Charts Programmable Studies Algorithms that can utilize objects defined on data series, studies, and spreads of both VWAP with standard deviations (session VWAP is cool feature) IB TWS is good for: basket orders global orders hotkeys monitoring and charting spreads API data is really fast (250 ms) One of the reasons futures traders obsess over platform/data/software/analytics packages is because they may have developed custom tools for any and all of these. Futures commission is also very serious if you start to do any real volume. Some of the platforms have volume based pricing. Some of the techniques can only be done with certain software. Some FMC only support certain front-ends. Some front ends only support certain data feeds. You see my point here? There are huge differences between guys who make markets in deferred spreads, guys who automate baskets/spreads/outright or traders that just take flat price risk intraday or longer term.
I derive the spread on the futures and etfs vs the CBOE index feed directly from the API data. Then I do signal processing on the spread. This is a proxy for order flow between the exchanges.
Hah, nice. I won't say I do something similar because I don't, but basic motivation is the same. What do you do with regards to signal processing?
I force the signal into a volatility adjusted channel. Then I do other nasty things with mathematics and calculus. This is what the pros are doing. Seriously, if your interested in this stuff then just check these spreads out ESZ19 - SPX, NQZ19 - NDX, RTY19 - RUT, YMZ19 - 100*DJIA and these too 10*SPY - SPX 40*QQQ - NDX etc. compare them to the price and you will see that they are very related.
No, these spreads are what is being arbitraged. Just remember, when these spreads are at extremes, then (HFT) arbitrage is happening. Arbitrage between ES and NYSE listings, NQ and NASDAQ cash market........and so on.
Tradestation is out because you can replicate their platform with "Multicharts" and interface it with your low-cost broker
Honestly I actually would be interested in peoples configurations of charting, broker, data though because it seems endlessly complicated to me and yet it seems a lot of people do it so there must be some reason......