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comment How to lower the cost-per-trade?
Pricing agreements are confidential, but your "cost-per-trade" includes a lot of things: excution, clearing, tax, regulatory fees, ticket fees, etc. If your executing broker is the same as your prime broker, you may be able to get lower execution costs if you're paying a lot on the financing/lending side.
2d
comment Deep bid ask orders
+1. a.k.a. stub quotes which are supposedly banned
Apr
15
comment Dv01 of Eurodollar futures contract
Have a look at page 8 of this CME pdf
Apr
5
comment Downloading Quotes in CSV format from Yahoo Finance - Beta symbol?
FWIW, gummy-stuff.org is a good reference for yahoo's csv api, but it doesn't include a tag for beta. :-(
Mar
23
comment Tracking delistings on NASDAQ & NYSE
I found this by searching the nasdaq site for "delist" listingcenter.nasdaqomx.com/…
Feb
18
comment Hull's method for the optimal hedge ratio: why?
because T is in the future?
Jul
11
comment RCaller & RQuantlib error in java
Already asked on Stack Overflow before cross-posting here.
Jun
4
comment What data sources are available online?
@classifire thanks, updated.
Dec
31
comment Control for bid/ask bounce in high-frequency trade data?
@Shane, please see meta.stackexchange.com/questions/5234/…
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
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.
Aug
9
comment How to simulate cointegrated prices
possible duplicate: quant.stackexchange.com/questions/1027/…
Aug
8
comment How credible is Knight pointing the finger at Rule 107C?
Here's a theory: nanex.net/aqck2/3525.html
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.
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
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)
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."
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)
Feb
4
comment How to price a calendar spread option?
A calendar spread option is not the same thing as a calendar spread of options. cmegroup.com/trading/interest-rates/stir/…
Sep
10
comment What are the risk factors in analysing strategies?
@Quant Guy I'm not sure what question you are reading, but to answer your "question #1" the results are out-of-sample. You pick a strategy, and you look at historical data and see how well that strategy would have performed. He's not using any of that data to formulate the strategy.