Thanks Hansi. Sorry, my criteria actually is daily average $ volume traded, so I guess index futures might be more appropriate, I will look it up.

Thanks acastaldo. Could you please suggest what instruments are most preferred (liquidity as criteria) to trade in these. Thanks.

Hi,I was wondering which are the most actively traded non-US index's instruments. For example, KOSPI 200 i think is very liquid.Thanks in advance.

<t>I have seen many brokers require minimum order size for vwap based orders. I was wondering how could one get a guaranteed vwap for smaller order sizes. Are there any brokers who provide such a service. I am trying to do this in futures markets, since the contracts are huge ($$) I cannot trade lar...

Wondering, how is the Reuters datafeed for Matlab these days. I heard there are other vendors too. Trying to find the best one for real time feed into Matlab.Thanks in advance.

Thank you

<t>Hi,I am searching for a software that can help capture tick data. I want to avoid purchasing a database software like OneTick, Vhayu etc which do both capturing and databasing the data very well. But, these all seem to be priced 100k+. Is there a software in the market that enables to capture liv...

Thank you skip!

Thanks skip. I was wondering as my orders would basically be MOO and MOC, is it possible to make some crude approximations for capacity based on recent volumes. Is there a quick dirty way. Thanks.

<t>Hi,I am working on a research topic and am considering a strategy which is buy (sell) open and sell (close) for SPY. What aspects should I be considering while trying to estimate the capacity of this strategy (just on NYSE). What could be a good way to approximate the capacity.Thanks in advance. ...

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Thanks a lot everybody.

<t>crmorcom, your explanation is very good, I think now I have a much better understanding of Sharpe ratio, thanks everyone for your comments! Sorry to diverge from the thread, I was wondering what would be a good Sharpe ratio for equities based strategies. If we break down strategies into three- (1...

<t>Thanks Marine, I don't carry positions overnight, just buy (sell) MOO and sell (buy) MOC. I base my decision to trade on a day or not depending on the strength (> some threshold) of my signals.I found an old thread on this board, and felt the following argument was quite compelling for not includ...

Got it. Thanks a lot!