4 ms·

Dude, seriously...you have to stop peddling this ebay recommendation. No one is going to be competitive with data purchased on an auction website. In case anyo

by dsacco 9y ago

Dude, seriously...you have to stop peddling this ebay recommendation. No one is going to be competitive with data purchased on an auction website. In case anyone is wondering where they should actually get data to be competitive, I can personally speak for these two: * Nanex NxCore * CBOE Livevol I haven't purchased data from here, but I have heard it well recommended from people I trust: * TickData * QuantQuote There are likely others, but bear in mind that the higher the data quality, the higher the price. For most strategies you'll likely want vetted intraday data, preferably at minute resolution or lower. Tick data is better, but it's going to be huge (my drives are near 100TB). You can reformat it into custom bar sizes if you have data on the actual trades/quotes.

SirLJ 9y ago
This the cheapest and most accurate I can find, if you have better source for $100 or less, please share with us...
- dsacco 9y ago
  My point is that data is not competitive. If you give me an example of a strategy you use with that data, I'll illustrate the issues with using data at the resolution ebay sells (to say nothing of things like survivorship bias...). If you insist on data at this price point, why not just scrape Yahoo Finance? There are literally GitHub projects that obviate this for you.
  - SirLJ 9y ago
    Please, if you'd like to help the community, just share a good data source... I would never share my winning strategy with some "know it all" on a public forum :-)
    - dsacco 9y ago
      It doesn't need to be your actual strategy, whatever. I have no desire to "steal" whatever your system is. What I am trying to demonstrate here is that your strategy can perform significantly differently if it is using data on different time resolutions. If you find an inefficiency that can be traded by analyzing snapshot data at 1 minute bars, that might turn out to be nothing at all when you look at the tick data. If your strategy is profitable but you don't have real insight into the trades versus just the quotes, you might have unrealistic expectations for fills, or hold times, etc...and if your strategy is profitable, your data is the first way in which you can try to prove it's not correlated with the broader market's regime.
      - SirLJ 9y ago
        Thanks,but you don't have to prove anything to me... my trading account is my proof that I don't have to compete with the flash boys to make money, so I don't care about tick data...
        dsacco 9y ago
        Alright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of being attributable to a bull market. You should be able to talk about the type of strategy this is without discussing the actual signal(s) key to the strategy. This is just becoming kafkaesque for me. I'm legitimately shocked no one else has asked you about this just out of basic curiosity about how you arrived at your current methodology. You mentioned Flash Boys and tick data...but HFT is not the only paradigm for which you'd use tick data. I'm trying to give you the benefit of the doubt here but from my experience none of what you're doing makes sense. You have to understand that the reason I'm giving you so much flak for this is because you're repeatedly recommending people buy financial data from ebay, you're being cagey about why your recommendation is sound, and your recommendation is utterly alien to the way in which people professionally trade using historical data. If your data from ebay is actually, somehow reliable, then fine; but if it isn't, recommending it for people who are looking for actionable data is irresponsible.
        Ntrails 9y ago
        You can come up with "long term" (hold times of weeks I guess) trading ideas with nothing more than close prices right? On the assumption that you only ever trade the auction you'd be getting a reasonable approximation of your actual experience. I mean, I'm not sure I accept the premise that there's enough information there to find significant alpha - but if you assume that he's using a different data source for that, he can test the trading performance on close prices alone.

by dsacco 9y ago

SirLJ 9y ago

This the cheapest and most accurate I can find, if you have better source for $100 or less, please share with us...

dsacco 9y ago
My point is that data is not competitive. If you give me an example of a strategy you use with that data, I'll illustrate the issues with using data at the resolution ebay sells (to say nothing of things like survivorship bias...). If you insist on data at this price point, why not just scrape Yahoo Finance? There are literally GitHub projects that obviate this for you.
- SirLJ 9y ago
  Please, if you'd like to help the community, just share a good data source... I would never share my winning strategy with some "know it all" on a public forum :-)
  - dsacco 9y ago
    It doesn't need to be your actual strategy, whatever. I have no desire to "steal" whatever your system is. What I am trying to demonstrate here is that your strategy can perform significantly differently if it is using data on different time resolutions. If you find an inefficiency that can be traded by analyzing snapshot data at 1 minute bars, that might turn out to be nothing at all when you look at the tick data. If your strategy is profitable but you don't have real insight into the trades versus just the quotes, you might have unrealistic expectations for fills, or hold times, etc...and if your strategy is profitable, your data is the first way in which you can try to prove it's not correlated with the broader market's regime.
    - SirLJ 9y ago
      Thanks,but you don't have to prove anything to me... my trading account is my proof that I don't have to compete with the flash boys to make money, so I don't care about tick data...
      - dsacco 9y ago
        Alright, could you help me understand what type of data it is that you purchased from ebay? And what type of strategy you're using, at the highest level? Are you trading equities? Derivatives? Can you at least tell me how long you typically hold a position? I'm not interested in your actual strategy, I just want to understand what you're doing categorically to see if there's any way it can possibly work instead of being attributable to a bull market. You should be able to talk about the type of strategy this is without discussing the actual signal(s) key to the strategy. This is just becoming kafkaesque for me. I'm legitimately shocked no one else has asked you about this just out of basic curiosity about how you arrived at your current methodology. You mentioned Flash Boys and tick data...but HFT is not the only paradigm for which you'd use tick data. I'm trying to give you the benefit of the doubt here but from my experience none of what you're doing makes sense. You have to understand that the reason I'm giving you so much flak for this is because you're repeatedly recommending people buy financial data from ebay, you're being cagey about why your recommendation is sound, and your recommendation is utterly alien to the way in which people professionally trade using historical data. If your data from ebay is actually, somehow reliable, then fine; but if it isn't, recommending it for people who are looking for actionable data is irresponsible.
        Ntrails 9y ago
        You can come up with "long term" (hold times of weeks I guess) trading ideas with nothing more than close prices right? On the assumption that you only ever trade the auction you'd be getting a reasonable approximation of your actual experience. I mean, I'm not sure I accept the premise that there's enough information there to find significant alpha - but if you assume that he's using a different data source for that, he can test the trading performance on close prices alone.