Hi there I hope an experienced algo trader can help me out on this one or perhaps guide me in the right direction. I’ve been using tick data in real time the last couple of years on US stock data and have found “liquidity grab” and “stop hunting” to be a common practice in trading. Now, I’m able to ...

I've been doing spread trades in futures.  That has lower volatility, and there are some fundamentals that they follow.  I follow Wheat/corn it is wide now +200, by Jun it should be narrower, because that's when the wheat crop comes in that causes lower prices. I've done some stock trading but most...

"Important money", such as retirement savings, should definitely be indexed in low cost funds, held for decades, and not traded. If you don't know the overwhelming evidence for this advice, read the many books by the late, great, Jack Bogle. Some small amount of residual funds could be us...

Hi guys So, I've been doing lots of trading in the last year or two. The number of executed trades is very high (I stopped counting long ago). From what I can tell based on my experience so far is that the flucuations during the trading day are pretty much random. Some times you might be lucky enoug...

The size is around 25-30 MB data per day.  Also, I have some scraping going on which I wanted to move to the cloud if possible. Hence scraping/fetching and inserting into the database (all automatized, optimally). I've seen several data providers out there but I prefer to "create my own" d...

Hi guys  I've created a database with the putpose of downloading lots of financial data. Currently it's running on my laptop and saving directly to the database.  As you can imagine, it's pretty heavy on the computer. Also, I manually have to start and end the program each day (before stock market o...

Hi guys As the subject states -- I would like to get access to Level II Data. My interest is very simple: I want to get real time data. That is --  - BOTH the bid and offer price  - Trade price - Timestamp for every trade - Volume (size) of every trade One can easily get access to real time data but...

Well...  Dating undergrads >> called doctor Sometimes the problem lies in too many options as it is currently. Also, if I were in a algo trader position I would probably be better at filtering the noise of possibilities and cut to the core.  I checked out Coursera and Udemy last night. There are som...

I think that you just want to stay in school -- not that there's anything wrong with that . Anyway, if you do, go up, not down. Maybe some program like  this . Even if you fail to complete your PhD, you can walk away with a Masters in CS. If you do complete your PhD, you'll be glad you did, and muc...

The reason why I consider adding say BA in CS is simply because one gets some decent skills which cannot be taught otherwise. In particular everything from scraping and developing webpages, working with databases as SQL not to mention working with algorithms (and time optimization routines which spe...

Hi guys  I have a question regarding adding CS to an already master's in economics. The overall goal is to do trading (commodities, stocks etc) based on algos and ML.   I think that the trading industry still relies *too much* on gut feeling and experience where people who graduated with a BA from a...

Hi Alan 
I have downloaded the book and had a first (quick) look. 
In general I miss some real world examples and in depth walk-throughs of inefficiencies (where traders reveal no longer relevant inefficiencies). Thanks for the book and link. Looking forward to reading it! 

Hi guys Does anyone have good trading book recommendations in which past trading strategies that have worked are explored? I've read a lot of books on trading i.e. Market Wizards, Come into my trading room etc.  However, I would like some real life examples from statistical arbitrages, say from the ...

Hi Guys I would like to trade stocks on different kinds of markets i.e. US, UK, Germany, Scandinavia, Eastern Europe and perhaps even the Asian market. I have the following criteria: 1) I wish to be able to take long and short positions  2) Most importantly , trade with lowest transaction costs poss...

Thanks for your input, Alan. 

I tried all of it and your suggestion worked well. In the end I decided just to go with the non-parametric realized variance solution. It works and does the job plus I avoid a lot of issues. When possible, the non-parametric solutions are my favourites. 

Thanks again.