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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 2 years, 2 months |
| seen | Mar 16 at 19:56 | |
| stats | profile views | 90 |
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Apr 2 |
awarded | Nice Answer |
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Mar 1 |
awarded | Yearling |
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Dec 31 |
comment |
Control for bid/ask bounce in high-frequency trade data? @Shane, please see meta.stackoverflow.com/questions/5234/… |
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Dec 11 |
awarded | Enlightened |
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Dec 10 |
comment |
How credible is Knight pointing the finger at Rule 107C? Don't believe everything you read on Bloomberg; the data is not consistent with that story: nanex.net/aqck2/4008.html |
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Nov 12 |
awarded | Nice Answer |
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Sep 23 |
comment |
Trade Count Time Series You asked if the data was "available somewhere for download or purchase." You don't have to make any trades in order to get the data although you may have to pay something like 10 or 20 dollars a month. You may even be able to get the data with a paper trading account for free. |
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Sep 23 |
answered | Trade Count Time Series |
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Aug 9 |
comment |
How to simulate cointegrated prices possible duplicate: quant.stackexchange.com/questions/1027/… |
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Aug 8 |
revised |
How credible is Knight pointing the finger at Rule 107C? add embedded link to charts |
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Aug 8 |
answered | How credible is Knight pointing the finger at Rule 107C? |
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Aug 8 |
comment |
How credible is Knight pointing the finger at Rule 107C? Here's a theory: nanex.net/aqck2/3525.html |
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Aug 4 |
comment |
Backtest pair trade strategy in R (1) Your example is not reproducible. (2) You should NOT use all the data to calculate your hedge ratio (3) With intra-day data, you probably need to account for bid-ask spread (4) Do you really want returns? Most intraday traders use enough leverage that they care more about PnL than returns. (5) Once you have a signal for the spread, you can easily apply it to each leg separately. (6) Last I looked at the PairTrading package, I thought they got some things backwards. Maybe they just look at things differently than me, but I could not figure out how to get their results to match my own. |
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Aug 3 |
comment |
Any known bugs with Yahoo Finance adjusted close data ? If you don't understand how something works, post a new question asking how it works instead of speculating. |
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Jul 29 |
comment |
Any known bugs with Yahoo Finance adjusted close data ? -1 A swing and a miss. See help.yahoo.com/kb/…. |
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Apr 14 |
comment |
Is Visual Basic a fast enough for millisecond orders VBA is not VB.NET. It's unlikely the OP is asking about VBA |
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Apr 14 |
comment |
Free intra-day equity data source @DarrenCook. You couldn't get TRADES data for a week ago because IB does not provide that for FX. Try using whatToShow="BID", or whatToShow="ASK". Or, use the twsInstrument package (on R-Forge) to get 1 minute Bid, Ask, Mid snapshots (look at twsInstrument:::reqTBBOhistory) |
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Apr 8 |
comment |
Do you have historical tick data you want to donate? From Dukascopy's website: "Please note: CSV data automatic download (robots, agents, etc) is not allowed. Your IP address will be blocked automatically at once and forever in case of failure to comply with these requirements." Alos, "It is prohibited to publicly display any part of the Data or disseminate it to any third parties." |
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Apr 8 |
awarded | Commentator |
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Apr 8 |
comment |
Free intra-day equity data source @DarrenCook Flat-out wrong. They keep 1 year of historical data for equities. If you want hourly data, then you can only request 1 month at a time, but you can make 60 requests every 10 minutes. If you use R, look at IBrokers:::reqHistory for a wrapper to download 365 days of minutely data. (IB even offers 1 second bars if you're patient enough to respect the 60 requests every 10 minutes pacing rule) |
