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You can avoid cancel/replace using pegged orders. Depending on your model that could be very useful.


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First it would help to know some more details about what you mean by maximum capacity. However here are a few things to consider. Do you have a simulator you use to simulate your strategy with market data? If answer to above is yes then you can clearly see the linear impact due to market liquidity constraints for your increased size. Now 2 is easy only if ...


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I found what I was looking for at Nasdaq.com. This information wasn't available months ago when I initially built my trading strategy. Basically Nasdaq.com provides a CSV file of all symbols that are ETFs. And its free. http://www.nasdaq.com/investing/etfs/etf-finder-results.aspx?download=Yes


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I use http://etfdb.com/etfs/ the ETF Database. It gives a large amount of data including: a rating of the ETF, Alternatives, Holdings, Expenses & Fees, Performance, Charts, Valuation, Dividend, Technicals, Fact Sheet, Read Next, and more. You can go through ETFs on this website by category. Also after initial worked of creating a "master ...



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