351 reputation
17
bio website
location
age
visits member for 3 years
seen Oct 11 at 11:31

Sep
29
comment Book chart plotting library identification
I'm not aware of such libraries, but check product called bookmap (order book heat map). It provides live and replay ability, zoom, drag, and even trading. Here is unofficial blog: velox-pro.livejournal.com
Aug
28
comment Algorithm to detect the aggressor side of a trade
I'm only interested in futures, and only CME and Eurex. Note, that I subscribe also to the full order book data (as much as provider allows). I just thought that maybe if I use several recent changes in the best bid/ask (e.g. bid up, ask up, bid down, etc.), it could improve the precision of estimation.
Aug
27
comment Algorithm to detect the aggressor side of a trade
Thank you, I will look into it
Aug
27
comment Algorithm to detect the aggressor side of a trade
does this article provide an algorithm to determine aggressor side for each trade? (please note, i'm not looking for statistical estimation of daily percentage, etc.)
Aug
26
revised Algorithm to detect the aggressor side of a trade
added 7 characters in body
Aug
26
asked Algorithm to detect the aggressor side of a trade
Aug
7
revised Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
added 23 characters in body
Aug
7
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
I have only one reference (a data vendor that can provide delayed data, but he has no delayed depth data). But it also makes sense looking on Google finance or similar sites - they don't charge each user for looking on delayed data. Yahoo finance even show a snapshot view of delayed order book from BATS.
Aug
6
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
I actually need only futures data, just few instruments (FDAX, ES, CL, GC, NQ). I know that disseminating delayed data doesn't require to charge payment from each end-user, so I could provide it for free (for the end-users, of course). But yes, it seems there is no data vendor with such infrastructure (I also did a search before asking). The only option left is to become a data vendor...
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
delayed data means that the data vendor is not obligated to charge payment from each end-user. Of course, this data vendor must have some agreement with the exchange. So I could make a deal with this vendor and provide the delayed depth data to all my end-users for free. This is the point. Also, I prefer to use the same data vendor (the same connectivity) for paying users, which will also pay for the real-time data to the exchange. I'm sorry if I couldn't explain myself clearly enough.
Aug
4
awarded  Critic
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
2) No, I don't ask for "Free data". The business side with the provide is off-topic. I'm asking the name/link of such provider that already has the infrastructure to provide streaming delayed market depth data. Your answer is irrelevant, and you just making it even worse.
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
1) No, I'm not looking for depth data "at the end of every moving 15 minute". Streaming data means streaming. It's exactly like real-time, but delayed.
Aug
1
revised Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
added 336 characters in body
Aug
1
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
I am looking for a data vendor that provides streaming delayed market depth data. At least for a small list of instruments above. Typically it's 15 minutes delay to avoid exchange costs. Sorry, but the information you provided doesn't answer my question. I'm aware of these data vendors.
Aug
1
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
Hi cholida, thanks for the answer, but it's not what I'm asking. I don't intend to become data vendor myself because it requires a lot of paper works and development. I'm looking for a data vendor that already has the infrastructure to provide delayed depth data.
Aug
1
revised Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
edited title
Aug
1
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
This data will be freely available only to our users. Though these users will not get the data directly, but as a chart through our visualization software.
Aug
1
revised Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
added 151 characters in body
Aug
1
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
@BobJansen, I want to establish a mutually beneficial deal with that data provider. Just thought it's out of the scope of the question...