Reputation
3,184
Top tag
Next privilege 3,500 Rep.
Protect questions
Badges
16 37
Newest
 Enlightened
Impact
~133k people reached

Aug
4
comment Self-Frontrunning Arbitrage
What makes you think you can get a derivative position on with zero market impact? If your equity position will have market impact it is almost certain that any derivative position you want to establish will also suffer impact.
Jul
16
comment Latency and Delays across Exchanges
@madilyn Good catch. I did indeed mean 13$ms$. I can't seem to edit my comment anymore though. Thanks!
Jul
15
revised Latency and Delays across Exchanges
minor edits to the latex
Jul
15
comment Latency and Delays across Exchanges
The real transit latency between the CME in Aurora, IL and the US equities markets is going to be about 13$us$ based on numbers from Spread Networks: spreadnetworks.com/products/ultra-low-latency-services. However, latencies within the US equites complex itself won't approach that at all.
Jul
15
answered Latency and Delays across Exchanges
Jul
9
comment Orderbook Arbitrage
@emcor What's not current or real-time?
Jul
8
comment Orderbook Arbitrage
@emcor That's called spoofing.
Jul
7
comment Orderbook Arbitrage
Order books are now mostly hidden? Could have fooled me. We process over 100GB of order book data every single day in US equities.
Jun
5
awarded  Enlightened
Jun
5
awarded  Nice Answer
May
25
comment Calculating or finding info about the value of a market? for example Cloud Storage
I have no idea.
May
25
comment Calculating or finding info about the value of a market? for example Cloud Storage
This is not the correct forum for this question.
May
25
comment Matlab loop statement is driving me mad
Wrong site. Try stackoverflow?
May
14
answered How is the Order priority of an Iceberg order decided?
May
6
awarded  Necromancer
Apr
22
revised rollapply with Arima model: testing for stability of coefficients
code formatting
Apr
21
answered Why do I still see large orders?
Apr
11
comment EDGX, EDGA, Nasdaq and Bats-Z Pricing in 2011
Your best bet is going to be to send an email to the various exchanges and ask nicely, they might be able to help you. The definitive source for this info otherwise is going to be the SEC filings. That isn't going to be a fun job reconstructing the prices :).
Apr
2
awarded  Notable Question
Sep
30
awarded  Explainer