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1

This is now partly possible, particularly with accurate nanosecond matching engine timestamps (microseconds can also be sufficient) that are now available in NYSE TAQ data and similar data products. These were previously only available in proprietary data (which you may or may not have access to). Essentially, both the trades and quote updates triggered in ...


2

Not sure that I will go for a 5 min scale for any stocks; it really depends on the liquidity of the stock. For some 15 minutes is better, and for other 1h or 1:30 hours. Of course it is easy to state this since "liquidity" is not well defined, and could be even be defined a circular way: this time scale is the one at which you "recover" ...


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