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Nov
20
comment Efficiently storing real-time intraday data in an application agnostic way
Perhaps you could expand on WHY he would want to consider an HDF5 based setup. Asking another question in an answer isn't adding any value.
Nov
18
comment Why does the SMA and EMA appear to be relative to the timeframe?
It's not really a limitation of the moving average as much as it is a limitation of the platform.
Nov
18
answered Why does the SMA and EMA appear to be relative to the timeframe?
Nov
11
revised Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
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Oct
31
revised Relationship in Order Book between S&P500 and S&P500 Futures Contracts
edited title
Oct
31
comment Price functions based on order book events
Nice paper, thanks for the reference!
Oct
25
answered What is a resting limit order?
Oct
25
revised How could HFT help increase liquidity?
added 4 characters in body
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)?
added 1316 characters in body
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
header
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.