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Oct
25
answered What is a resting limit order?
Oct
25
revised How could HFT help increase liquidity?
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Oct
25
answered How could HFT help increase liquidity?
Oct
25
comment Market making: buy on bid/sell on ask
FYI, that answer has things reversed. Market makers buy at the bid and sell at the ask because they are passive traders. Buying at the ask, or lifting the offer, means you are aggressively taking liquidity and crossing the spread.
Oct
25
comment Categories of systematic trading strategies?
Market makers buy at the bid and sell at the ask.
Oct
22
awarded  Necromancer
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
I've added a bit more detail, hope that helps. Let me know if you want more clarification.
Oct
22
revised How do Order Management/Matching Systems match/allocate orders (and filled prices)?
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Oct
22
answered How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Oct
2
comment adjusted close prices on SP500
Just think of it this way: the adjustment value for date D is simply sum of all adjustment values from now until D.
Oct
2
revised adjusted close prices on SP500
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Oct
2
answered adjusted close prices on SP500
Oct
2
awarded  Necromancer
Sep
23
comment Trader's identity in a limit book
I wouldn't base my research on that inference.
Sep
16
reviewed Approve IB TWS & API, without IB account?
Sep
15
awarded  Notable Question
Sep
11
comment Transaction Data with Participant ID
Also, to re-emphasize what @chrisaycock said: it is highly unlikely (near impossible) that you'll find an attributed data set worth anything. Even if you look at attributed orders in depth data, the MPIDs don't really tell you much since multiple traders can be behind a single MPID. Consider what you're asking: you don't care about the identity, just the behavior. Well, the behavior, not the identity, is what makes these traders money! Look for an alternate research route.
Sep
11
comment Transaction Data with Participant ID
He's probably referring to the Kirilenko papers: reuters.com/article/2013/04/24/…
Sep
9
reviewed Satisfactory Trend in Cointegration relationship
Sep
9
reviewed Satisfactory Calculating most profitable arbitrage orders on multiple market with fixed and variable fees