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Wow, this is the 1 million question. No answer available to that. From what I saw is that that question varies from ecn to ecn. You will be very depending on each ecn and how they connect you to liquidity takers.


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For what concerns Forex data which is, however financial data after all, I often use http://www.histdata.com/. Their data is delivered in .CSV format. For timeframes, I quote the website: We can only deliver you time ordered Tick and M1 (1 minute) data. The data that we have available is organized by forex-pair/year/month. They also provide data for ...


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Q1.) Is there anything wrong in principle with this simple sampling strategy? I mean sampling is a valid strategy, it just may not be the best. WOuld a VWAP style price be better? Would just an average be better? Typically when no trade has happened you can model the price as the last, average of the bid/ask spread, etc. The price you want depends ...


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Interactive Brokers does not offer execution or even a market data feed with speeds required for HFT. With HFT trading systems now competing for micro-seconds, as opposed to milliseconds 4-5 years ago - a typical retail trader connecting over the Internet is out of league, even with dedicated lines just the network round-trip time will render any HFT attempt ...


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Well you have a few alternatives to lower your commissions. You can get your own broker number in which case you don't go through anyone, you go direct to the exchange so you just pay/get the active/passive rebate. If you are really HFT then this is often the route you take. For the case where you pay a commission to your broker, they are eating/taking ...



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