Detecting Stop Orders

Detecting Stop Orders (post #832790)

SpeculatorSeth · 2021-02-05T14:22:13-05:00

Data is provided by Rithmic API+ which after all the fees and so forth is about $135 per month. I would then probably interface with the API directly to do some studies. Which means I'd need to create a system for tracking historical data and doing backtesting. Perhaps through KDB+? I want to see if stop orders have different execution impact or memory effects on the market. I would also like to do some work on the depth of market itself to see if this data can assist in determining the probability of informed trading. But at this time I am not willing to spend that much per month for data. So in the meantime I am pursuing some other projects mostly around automated strategies. If my other activities apart from the trading (still too inconsistent) get to where they can consistently support the data costs then I'll come back to it.

February 5th, 2021, 02:22 PM	#11 (permalink)
SpeculatorSeth Posts: 781 since Apr 2016 Thanks Given: 22 Thanks Received: 1,026	Data is provided by Rithmic API+ which after all the fees and so forth is about $135 per month. I would then probably interface with the API directly to do some studies. Which means I'd need to create a system for tracking historical data and doing backtesting. Perhaps through KDB+? I want to see if stop orders have different execution impact or memory effects on the market. I would also like to do some work on the depth of market itself to see if this data can assist in determining the probability of informed trading. But at this time I am not willing to spend that much per month for data. So in the meantime I am pursuing some other projects mostly around automated strategies. If my other activities apart from the trading (still too inconsistent) get to where they can consistently support the data costs then I'll come back to it.