But this requires your latency to be the least.
Working on some execution optimisation related backtesting. I have so far been executing with market orders only. Going towards higher lot sizes, I'd like to optimise for minimal slippage.
First off, on NSE, if you place a market order, you get filled at the best bid/ask right?
But this requires your latency to be the least.
I looked at tick historical data, and there are more than 18-20 ticks in a second (auction and quote combined).
Even if you keep 10 ticks per second, your best bid/ask can shift from the time you place to the time exchange receives the order.
What you need is liquidity.
More from Shravan Venkataraman 🔥🚀💰
Hedge Funds spend millions of dollars per year to access high quality financial datasets.
Retail sources cost anywhere from $5k-50k per year.
But, here are 11 data sources that have HIGH QUALITY and FREE data you can access right away.
🧵 👇
1/ Alpha Vantage | https://t.co/ExlS7Jdnsz
Provides real time & historical equities, forex, and cryptocurrencies data across 60+ exchanges.
They provide both intraday and D/W/M timeframe data.
You can also access economic & fundamental data for last 20 years through them.
2/ IEX | https://t.co/drqeoU8Ee1
Investors Exchange provides historical data going back upto 15 years for US equities through API access.
You'll need an API key in order to access the API.
3/ EconDB | https://t.co/6mZxDeaJfh
This website provides economic data and economic indicators for almost all the countries in the world.
You can search for your preferred dataset through their search engine here
4/ Quandl | https://t.co/fW4PEQaW66
Quandl has financial and alternate data across 50+ exchanges, from over 300 sources.
They also have information on capital markets, energy, shipping, healthcare, education, demography, economics and society.
Retail sources cost anywhere from $5k-50k per year.
But, here are 11 data sources that have HIGH QUALITY and FREE data you can access right away.
🧵 👇
1/ Alpha Vantage | https://t.co/ExlS7Jdnsz
Provides real time & historical equities, forex, and cryptocurrencies data across 60+ exchanges.
They provide both intraday and D/W/M timeframe data.
You can also access economic & fundamental data for last 20 years through them.
2/ IEX | https://t.co/drqeoU8Ee1
Investors Exchange provides historical data going back upto 15 years for US equities through API access.
You'll need an API key in order to access the API.
3/ EconDB | https://t.co/6mZxDeaJfh
This website provides economic data and economic indicators for almost all the countries in the world.
You can search for your preferred dataset through their search engine here
4/ Quandl | https://t.co/fW4PEQaW66
Quandl has financial and alternate data across 50+ exchanges, from over 300 sources.
They also have information on capital markets, energy, shipping, healthcare, education, demography, economics and society.