2,936 reputation
1336
bio website fitnr.com
location Houston, TX
age 35
visits member for 3 years, 1 month
seen yesterday

Louis Marascio is an entrepreneur, market hacker, and trouble maker in Houston, TX. He's also a husband and father. Occasionally, he writes a bit of code.


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 :).
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
And from the same page you linked: europeanequities.nyx.com/sites/europeanequities.nyx.com/files/…
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
NASDAQ doesn't have any "triggered" orders. Not sure if NYSE does, but I doubt it. You're probably confusing an exchange held stop (like that supported by Direct Edge) and a synthetic stop implemented by your broker.
Jan
29
comment Where do i find the trade execution priority rules for special order types on continous auction markets
If this is for US equities, the rules contain descriptions of how orders are executed.
Jan
28
comment Microstructure effects for a market maker?
Hang on one second while I open up my little black book of valuable signals.... you do realize the question is a bit, ambitious, right?
Jan
24
comment Free database for storing intraday tick data and querying bar (candle) data on budget hardware
possible duplicate of Efficiently storing real-time intraday data in an application agnostic way
Jan
21
comment Disclosure of the liquidity provider identity in ITCH
Not sure, sorry.
Jan
3
comment How to become a registered market maker on an exchange
If you're seriously considering becoming a registered market maker, you should be talking to the exchange where you want to register. They will happily tell you the answers. Not on topic for this forum, IMO.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
I will add, it also depends on who you're interfacing with and the supported order entry port features. For example, OUCH ports can cancel all open orders on disconnect. Trying to preserve open orders across unexpected system failure is likely not going to work very well.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
This isn't really a question anyone but you can answer because it depends on how you've built your system.
Dec
11
comment Recreate Positions after downtime. Suggestions requested
Define "outstanding" positions. You said you can look at your execution log to determine fills. From fills you can build positions, so I assume you mean something else. Do you mean, "pending orders" ?