swing_trader

I have actually been working on algorithmic scalping recently and just started live trading the strategy this week. From what I can gather, it can't really be done efficiently by hand anymore. Slow reaction time not only makes you miss out on a lot of opportunities, but also also dramatically increases your risk. However, doing it algorithmically is also difficult. The code to find the right market conditions to begin scalping is non-trivial and your code needs to be smart enough to stop scalping when conditions change (especially if you are doing it on a large scale over many symbols). However, if this is done properly (I think my implementation is fairly robust now after much trial and error), scalping IS still possible. The question now is whether it is scalable. Small size non-hidden limit orders sent directly to the NASDAQ matching engine via OUCH has a decent chance of getting filled, but with so many quant scalpers out there nowadays, it's unclear whether it is possible to get a sizable enough number of shares to really roll in the big bucks.

Good news guys. I did extensive searching of data providers the last couple weeks. And yes, there are lots of posts online regarding how bad Kibot's quality is so I would definitely avoid them. In terms of price/quality, QuantQuote (Historical Intra-Day Stock Data) seems to be the most highly recommended, but at present, their product offering is limited to minute resolution US Equities. I actually emailed them regarding second resolution data and they have told me that they are planning to release it within the next couple months and it won't be super expensive either. It's good that there's a data provider finally introducing second resolution historical intraday market/stock data.

I contacted MBTrading, they don't have rack space at any of the true exchange colocation datacentres. They only offer a VPS service, you can't actually put your own server in. This is bad because for true HF, you need a lot of CPU and memory which is not very cost effective to get on a shared machine using a VPS setup.

I made a number of posts last night and only one of them showed up today. Do all new posts actually get read by mod before being approved? Is it typical for 12 hours to pass before my posts are approved or did my posts get denied. If so, why?

So, colocation is important because transferring data feeds over the internet is expensive (bandwidth wise) and slow. It isn't so much for the trading execution time, but more for the ability to get a good feed.

MBTrading is intriguing, I have never heard of them before, just sent them an email for more information, I will update this thread later with what I find out.

Hi Xiao, I sent you a PM, I have lots of US data (including tick resolution) that I would be willing to trade.

Does anybody know of a vendor to get second resolution stock data? On the market today, it looks like there is minute resolution, and then tick, nothing in between...

I am also interested in european historical data vendors. There are lots of vendors for US data (searching multiple forums, it appears tickdata is the best for tick resolution, QuantQuote is the best for minute resolution). I think tickdata has DAX, but it is WAY out of my price range. QuantQuote is US only. Doesn't seem to be any cost effective way of getting European data.

Hi all, I am looking for a good brokerage to colocate a server and do automated trading. As it might take me some time to get a stable setup running, I'd prefer a broker with low fixed costs. Most brokers I have found seem to charge at least 1k/month between colocation fees, data fees, and minimums. Does anybody have good lower cost alternatives?