Reading Up on Electronic Trading

I was reading Nerds on Wall Street, and came across the following paragraph:

David Whitcomb, a market microstructure economist at Rutgers University and coauthor of a 1988 book on electronic trading strategies faced ... skepticism selling his ideas to Wall Street. Finding no institutional backing, he joined forces with a computer scientist colleague to found Automated Trading Desk (ATD) in the proverbial garage in Charleston, SC. The firm reportedly grew from its first trade in 1990 to one of the leading electronic market participants, trading on average more than 200 million shares daily, or 6 percent of the volume on both the NYSE and NASDAQ.

Which got me interested in the Whitcomb's book. The work in reference - Transaction Costs And Institutional Investor Trading Strategies - proved to be quite difficult to find. It is not available for purchase anymore, and I could not find a local public library that carries the title. Thankfully a local university had one in their collection, and girlfriend borrowed a copy for me yesterday. Will keep you updated!

Update: finished reading Whitcomb's book. No content that I found useful.

DTN.IQ / IQFeed Caveat Emptor

I started working on a new strategy about a month ago and needed a cheap source of historical data for testing. DTN.IQ seem to fit the bill and budget, until yesterday I discovered that historical quotes data set that DTN.IQ provides foes not include all quotes, but only quotes at the time of a trade. For example, you have an illiquid stock that does not trade frequently.

made-up example

time,bid,ask,last
12:03:00,55.01,55.07,55.01  <- reported by the feed
12:04:00,55.02,55.08            <-no trade, not reported by the feed
12:05:00,55.05,55.16            <-no trade, not reported by the feed
12:06:00,55.05,55.16,55.10  <- reported by the feed

Even though quotes may be updating in between the trades, DTN.IQ does not provide that data.

Otherwise, my experience with the service has been satisfactory, and I will continue using the product for testing live data and historical data. 

What's going on with this blog

As you know I have not posted in a while. My current trading does not involve options, or any volatility-related instruments, and it became harder to come up with quality material. At the beginning of June I started trading, and had no time to follow volatility research. As of right now I will either update this blog less frequently with volatility-related news or expand coverage to include statistical arbitrage and machine learning. Good luck trading, and hedge your deltas!