Tagged Questions
6
votes
1answer
270 views
NASDAQ TotalView ITCH order reference number number characteristics
I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
7
votes
4answers
1k views
Real-time & Fast S&P 500 E-Mini Futures (ES) Data
I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible.
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8
votes
3answers
843 views
How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
1
vote
0answers
537 views
Hobbyist Quants [closed]
I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
5
votes
1answer
661 views
A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
13
votes
3answers
3k views
Free market data (delayed or snapshot)
I know there are similar questions but I don't think there are any identical ones.
Basically, I'm looking for one of these two things.
Delayed market data feed. A tick by tick feed, but delayed by ...
