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good point: need exchange id.
most datafeeds transmit it. TAQ database has it. gotta have it.
When plotting data for stocks you should be able to sort
data based on specific exchange. So when formatting / plotting data
you'll need a drop down box with all exchanges listed so that
you can just click on one or several at same time and it will
plot data for those exchanges only or combined. that's mostly for
stocks.
also, I would highly recommend you design you platform with stocks
in mind. Features like test this system on a group/basket/porfolio of
stocks is indispensable! market share for stocks is much greater then
futures.
Another billion dollar avenue is L2 integration. If you have enough brains
to get L2 into your platform with historical Quote saving capability you
are going to be far ahead. Current L2 systems lack Server and System
capability, the data is already there. Sooner or later all futures will be L2 based like Globex but
by that time Omega will be onboard, so you have to start early.
And how about moving to Boca or West Palm( kicking it up a notch ). Alota office space there, sea, sun, sand
seclusion, security. All you need for a wealthy individual.
Val.
Cash wrote:
> In your data format, I see nothing about the exchange that a trade occurred on or the exchange for the Bids and Asks (or even the Market Maker). This is vital information!
>
> For instance, if I'm trading AOL and a trade didn't occur on the NYSE, then it doesn't count.
>
> Example:
> I have a sell stop at 99 15/16 on AOL, and the NYSE specialist does this
> NYSE 100 x 100 1/8 (and prints 100 1/16 stock)
> NYSE 99 7/8 x 100 1/16 (and prints 100 stock)
>
> Now the problem occurs when someone on the Boston exchange fills and order at 99 7/8 (which is perfectly legal and valid). Then:
>
> NYSE 100 1/16 x 100 1/4 (and prints 100 1/8 and never less)
>
> So, If my system is based on data not knowing the exchange, then it would stop me out, but if I can set it to only use NYSE trades, then I would still be in my position.
>
> In real life, with a stop order sitting with the NYSE specialist, I would never be executed. Thus without knowing the exchange, the system could not imitate real-life.
>
> Will you be providing exchange information?
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