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Originally Posted by scorpion
This is interesting... The best way to make this strategy practical is to use fast and unfiltered quotes. I'd love to do some more research on this with different feeds. Any idea which feed should I use?
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ack ... you'l notice I wrote more or less the exact same message because I failed to chekc the first page! I wouldn't trust any of the quotes from the dealers as they will def have prices that I woudln't consider market price. There are a good number of instnaces over the last tw ow eeks where ibfx prices were consisntelty higher than market prices for well over a period of 5 minutes (good opp for spread arb but we can discuss that later). As I mentioned though in my post, I do believe that the best optin would be to go for bloomberg as a price feed due to it's ability to capture prices from virtually any source. For example, I trade in fast moving markets and I need the most reliable and accurate market prices. With the bloomberg api, I have the ability to have seperate feeds coming in for say EURUSD from the fastest price sources (which I have found to consistently be westlb, hotspot, ebs and bearfx) to guage where the majority of market is going. To be honest, it's very much like seeing into the future. The dealers like ibfx and possibly even fxdd (altoughI've not compared the tradition price feed on bloomberg to the pumped prices on fxdd) are always slightly slower than what you'll see on bloomberg and after releases like nfp you can see the bloomerg price gap way before you see anything on ibfx or fxdd. Just smthing worth thinking about if you really want to continue down this path. I suggest you call bloomberg up and ask for a demo. I think it last for about a month but in this time you can test out the api, and you'll find the real time quotes are invaluable, I use it for all my custom charts.