Recent Content by burnbabyburn

  1. looking for HFT firms -- very experienced programmer with knowledge of hardware, networks, etc

    Ok a couple of comments. I have been a part of a few HFT firms (a couple that failed and a couple that have been doing fairly well), even a few...
    Post by: burnbabyburn, Mar 17, 2016 in forum: Professional Trading

  2. order book question

    Ahem, if this "Feature" is provided by the Exchanges, then it would make any low latency trading (MM like) almost trivial. Since a simple "algo"...
    Post by: burnbabyburn, Oct 12, 2015 in forum: Order Execution

  3. 29 yr old Investment Banker Jumps To His Death From Manhattan Luxury Apt

    A lot of what an "investment banker" does is fairly mundane stuff, since I was a "banking associate" until I went over to the trading side. Wait,...
    Post by: burnbabyburn, Jun 8, 2015 in forum: Wall St. News

  4. 29 yr old Investment Banker Jumps To His Death From Manhattan Luxury Apt

    Maybe I am cold hearted as I get older. But I don't see the big deal in this. When I joined a bulge-bracket ibank back in 90s (ok, late 90s), we...
    Post by: burnbabyburn, Jun 6, 2015 in forum: Wall St. News

  5. Rithmic Confirms Continuing Publication of Globex Market Data Trade Messages à la FIX/FAST.

    Ditto. MDP 3.0 is just SBE (Simple Binary Encoding), which is basically a fixed length version of FIX/FAST. Bottomline is, SBE is faster than...
    Post by: burnbabyburn, May 25, 2015 in forum: Events

  6. Looking for a small sample of Level 2 data....

    I took a look at the CME sample data. Good god, it is just the RLC book update messages published through Globex. In fact, RLC is the legacy...
    Post by: burnbabyburn, Jan 3, 2009 in forum: Data Sets and Feeds

  7. Looking for a small sample of Level 2 data....

    PM me, I am a CME member, I can give you a hr snapshot of the "raw" Globex feed. It seems that will be what you are looking for.
    Post by: burnbabyburn, Jan 3, 2009 in forum: Data Sets and Feeds

  8. Looking for a list of futures with the most volume

    Start here. http://www.futuresindustry.org/fi-magazine-home.asp?a=1274
    Post by: burnbabyburn, Jan 1, 2009 in forum: Index Futures

  9. messages/volume ratio...

    The msg / volume ratio applies to MM as well, except some "new" products the exchanges are trying to get off the ground. But MMs, if they are...
    Post by: burnbabyburn, Nov 1, 2008 in forum: Automated Trading

  10. messages/volume ratio...

    Yes, there are systems that do a lot of cancels (say 10k cancels a day), but these systems also trade a fair bit of volume. The reality is that...
    Post by: burnbabyburn, Oct 30, 2008 in forum: Automated Trading

  11. Modelling order execution for futures exchanges

    Futures Exchanges, I guess I know something about this. In terms of Fill Priority, what Black Diamond described is called the FIFO...
    Post by: burnbabyburn, Oct 3, 2008 in forum: Automated Trading