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!

VHSI Update and Forecast

VHSI May futures expired on 30th, last week. Unfortunately I was/am very busy with launching a new strategy into production and could not update the blog on time. Also somehow I missed the futures settlement value so I am using index settlement value instead in the Volatility Forecasts Tracker spreadsheet. Over May results were good, with my model providing better forecasts than the market and almost making up for the losses in April. Charts have been updated with the latest numbers.

My forecast for next expiration is for 16.29 vs futures value 17.25 (Monday settlement value).

VIX, VSTOXX June 2013 Forecasts

Yesterday all CBOE and Eurex volatility indexes settled - so forecasting results are in, and as always all the forecasts and results are logged in the Volatility Forecasts spreadsheet . The signals were all correct except for GVZ - Gold Volatility Index, which rallied on gold's quite unexpected decline.

The technical issues with data solved, and I have forecasts for all CBOE indexes.The forecasts are as follows:
VIX  13.47 vs 15.30 in the market
VSTOXX 17.50 vs 19.55
GVZ 23.63 vs 23.65  <- only 0.02 difference between market and forecast
VXEEM 18.77 vs 20.05
VXEWZ 19.39 vs 21.80
OVX 22.48 vs 24.75
VXN 14.55 vs 16.25

MATLAB Computational Finance Conference, Options data for your iPhone

A friend just forwarded me the link - MATLAB Computational Finance Conference will take place in two days on Thursday at Marriott Marquis. Paul Willmott and Attilio Meucci are among the speakers, and the presentations side I hope to hear about matlab tools for machine learning and for dealing with big data and big compute issues. If you're going and want to meet up, send me an email!

iVerit Option Chain is an application that delivers delayed (free) or real-time ($24.99) options data for your iPhone. If you need to leave your desk but can't tear away from that desk terminal - now you can!

VNKY Forecast

May futures tied to Nikkei Volatility Index expired today, settling at 26.65, slightly higher than futures level month ago, and higher than my forecast. June futures closed at 25.45 and my forecast is for the index to settle at 24.58. Despite increase in the volatility levels, VNKY did not break 30 barrier, and slight decline that the model suggests seems reasonable. Will resume regular blogging toward the end of May.

RTSVX June Forecast

Sorry I have been really busy lately and don't have a lot of free time to provide updates. However one things that keeps me on schedule are futures forecasts that I publish for all available volatility futures in the world. Today futures on Russian VIX - RTSVX index settled at 19.82, closer to my forecast and correct on direction. Front month futures  - expiring on the 7th of June 2013 are trading at 22.40, while my model suggests that the index will likely settle around 19.67. As usual all forecasts are available on Volatility Tracker page.