<t>crmorcom,Discovery: I have some data problems.Knowing what the inside market is when a trade happened turns out to be an issue. My results are untrustworthy. Sorry. Your first comment is biting me:QuoteThat should be almost exactly what you want, so long as trades' timestamps are contemporaneous ...

I follow your reasoning but I don't follow your math. How exactly does .003236 become $0.1618?

<r>QuoteThat is the Sep 09 E-mini SP500, right?Indeed it is front month S&P500 e-mini futures contract traded on CME.QuoteIf the difference between A and B is $.57 per contract, then I am missing something: I would have expected bid/ask spreads of more like pennies for a contract like that.The t...

<t>Ok crmorcom,I used ESU9 from 8:30am to 3pm on 7/30/2009. The total volume during that time was 1,809,085 contracts on 126,985 trades.(A) I took the abs of the difference between average best bid/ask and the traded price. A = 231,756(B) I took the abs of the difference between the weighted mid pri...

<t>Ok, interesting. Let me play devils advocate or a moment assuming a FIFO (first in first out) market:QuoteMy intuition would say just use average best bid/ask, not volume weighted. Here's why: suppose I execute a small buy order by hitting the best offer. I don't care what the bid size is on the ...

Thanks. That's very helpful! When you say mid price are you referring to a volume weighted midprice from the best bid/ask or an average bid/ask using only best bid/ask prices?

<t>Question 1. Is it possible to estimate historic profitability of the collective set of liquidity providers in a specific futures market? (I realize "liquidity providers" is a loose term but let us define it as all traders who don't carry positions overnight.)Suppose the know information is: (A) Q...

<t>It's very interesting to see how the real time orderbook depth is handled. It brings up a lot of issues regarding efficient realtime computations vs efficient historical storage. And yes I've looked at LIM (a few times) and was not impressed. Yes, we have our market data sources straight. I was t...

<t>Kziemski-Before we go offline I don't mind getting more input from the community. "from the size of the data i have a feeling we are talking about US equity TAQ data right? "What I meant by 'granular data' is book depth. A selection of equities & futures, mostly. Thanks, I didn't know Reuters...

<t>Thanks for the input. I'm at a prop shop and we have an inhouse solution that handles extremely granular data but it's not realtime. We're looking for a solution to let us publish realtime computations on unusually granular input to both research and trading applications. And we'd like to store t...

<t>As an alternative to kdb+ from [kx] systems or Vhayu's Velocity software, is there any activity going on to develop the database software that high energy physicists use at CERN to store the massive amount of data produced by particle accelerators? (It's called root.)Does anyone know of a firm th...