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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
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
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.
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?
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 :).
Aug
23
comment List of dates at which the NYSE was closed from 2005 to 2014?
This data is all over the place. Using the closings document to get to 2011. Then use Google and search for closings for 2012, 2013, and 2014.
May
20
comment Where can I buy historic raw recording of an exchange
Presumably "raw feed" means the depth of book data one would consume if co-located?
May
14
comment Forex brokers with free API compatible with Node.js
This site is for professionals working in the industry, so this question isn't a good fit.
Apr
19
comment source for yahoo finance equities volume traded
I don't know the answer for sure, which is why I asked if you were sure. It sounds like you aren't.
Apr
18
comment source for yahoo finance equities volume traded
Those are two very different things. BHP traded at NYSE and ASX are two distinct instruments. They are ADRs of BHP Billiton, not BHP Billiton stock. Regardless, if you look at BHP in the US Equities market, the volume you see is aggregate volume across all US Equities exchanges. Of course it won't include foreign exchanges, that would be silly. Likewise, if you look at CSCO, SPY, GE, etc, you'll find the volume is also US equities consolidated volume which comes from Yahoo's historical data provider, CSI.
Apr
17
comment source for yahoo finance equities volume traded
Are you sure about that?
Feb
15
comment Why does my posterior mean differs from Idzorek's results?
If you've solved the problem you can accept your own answer.
Feb
12
comment Change of order size
It depends on exactly which market we're talking about. But in general with price/time priority markets this is true.
Feb
11
comment Stock Price Question
Is this homework?
Feb
3
comment Estimate reasonable trade sizing based on daily volume
@user2763361 99% certainty, maybe, given hidden liquidity. But point well made :).