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Systematically finding most liquid futures instruments Can we put together a better list than the academic articles? Yes! The lists in existing publications [1, 2] are great, but fall slightly short of your goal: I'm asking for a systematic, repeatable procedure for determining a list of what I expect to be around 100-300 markets instruments. [3] What'...


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You could consider using the list of "liquid futures contracts" used in some previously published paper(s) on this subject, there are many. Alternatively, if you think previous studies missed some important contracts you could try to establish your own list independently. I thought for example of the using the following from a well know paper: Moskowitz, ...


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You should forfeit developing any sort of trading strategy based on level 2 data if its purely based on the belief that the level 2 book contains additional information of value over level 1. First of all, your initial backtest design will, without a doubt, be highly susceptible to being flawed, making you think you accomplished something when in fact it'...


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The solution here is very simple. At any point in time, you will be able to retrieve from the internet stock market data at a daily frequency for free, as long as (1) you do not mind a possible delay of a few hours and (2) having only the past few years of data. So, all you need to do is to find a dataset today that spans the missing time-frame. Then, you ...


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Both datagrapple and assetmacro are fake sites that collect your email address and password. Don't be fooled, CDS data isn't free.


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