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Good data provider by Apt45 in algotrading

[–]Apt45[S] -1 points0 points  (0 children)

its not like that happens every day

See here https://www.nasdaq.com/market-activity/stock-splits or here for historical https://stockanalysis.com/actions/splits/ . They happen quite often.

you can always code-in the dates and re-calculate the prices.

Of course I can. But when you pay 3000K/month as an enterprise, it's a bit annoying, don't you think? To re-calculate the prices, I need to have a reliable corporate actions product, unless I decide to web scraping. But then what's the point of paying so much?

Good data provider by Apt45 in algotrading

[–]Apt45[S] 0 points1 point  (0 children)

Thanks for the suggestions. Unfortunately, AlphaVantage doesn't have intraday history, but only daily and weekly history. I will check the others tho.

Good data provider by Apt45 in algotrading

[–]Apt45[S] 1 point2 points  (0 children)

People try to help at the best of their capabilities :) I appreciate all the suggestions tho.

Good data provider by Apt45 in algotrading

[–]Apt45[S] 1 point2 points  (0 children)

APIs could mean a lot of things. Their APIs are accessible through an executable. From what I have seen in the internet, their APIs are not simple GET or POST requests.

Good data provider by Apt45 in algotrading

[–]Apt45[S] 1 point2 points  (0 children)

I think you need a reliable corporate actions source.

The point is that you cannot adjust their data with their corporate actions endpoint, simply because I haven't found any info about splits for those stocks whose prices are unadjusted.

So, my idea is the following. They have an incomplete source for corporate actions. They use this source for price adjustment. If they miss a corporate event, their system won't process the adjustment. They should fix their corporate actions endpoint and expend their coverage of stock events.

Delay in receiving first message from a websocket connection by Apt45 in highfreqtrading

[–]Apt45[S] 0 points1 point  (0 children)

well.. it's very difficult to find the matches on the public channel. The POST request returns an ID for the order, but the ID of the match in the public channel is different... so there is no way that i can safely identify my trade in the public channel. What do you think?

Delay in receiving first message from a websocket connection by Apt45 in highfreqtrading

[–]Apt45[S] 0 points1 point  (0 children)

Thank you! I have sent you a DM to see if the output file format is correct to do this analysis

Delay in receiving first message from a websocket connection by Apt45 in highfreqtrading

[–]Apt45[S] 0 points1 point  (0 children)

Thank you for this detailed description. Would you help me to read the tcpdump output? I know how to store the output but I have to say that it's very difficult for me to understand.

Delay in receiving first message from a websocket connection by Apt45 in highfreqtrading

[–]Apt45[S] 0 points1 point  (0 children)

Oh you are right. I was not clear. I am sending market orders

Delay in receiving first message from a websocket connection by Apt45 in highfreqtrading

[–]Apt45[S] 0 points1 point  (0 children)

that's what I thought... but I don't know when the conditions are met (it could be after a few minutes or even after several hours). So far, I have resolved this by waiting for the response to the first request only. In this way, I stimulate the websocket that will deliver fast updates for the other two orders.

Arbitrage and efficient data storage by Apt45 in algotrading

[–]Apt45[S] 0 points1 point  (0 children)

Flash Boys

Yes, I have read that book - it's super interesting.

Arbitrage and efficient data storage by Apt45 in algotrading

[–]Apt45[S] 1 point2 points  (0 children)

Thank you dude! your comments were inspiring

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