The vast majority of shenanigans could be eliminated if orders had to stay live for some minimum amount of time (say 1 sec), and if all trades had...
If you rethink "curve fitting" and realize it's about understanding how your systems operates in parameter space; there's a lot to be learned from...
I think there are two types of analysis that are valuable. You already mention some calculation of deviation from a trend/mean using stdev() or...
Just for clarification: it's 500 SPY = 1 ES Pro for ES: lower margin, excellent liquidity without being front-run by 0.0001c Pro for SPY:...
many many years ago I had a similar issue where Cybertrader had a server error. I kept all logs and argued for months, and eventually they paid...
I think that is a viable approach to optimization as long as you control the process and testing. By example you optimize every week-end and use...
Excellent background, especially the HPC and cloud experience. It's all about scale and performance. I would start with...
Nym - I think you're been given poor advice. Many of the top wall street firms and hedge funds hire "rocket scientists" without them having any...
thank you. That looks nicely done.
Statical edges shift over time. What works well today will likely have lost some of its edge in a year. If there is any "luck" involved, it's the...
What I've done is to put a treadmill under my raised desk. I walk a slow 1.3 m/h while working at the computer (incl. trading and programming). It...
One of my dumbest ones were getting buy and sell orders switched (late night programming), so all my limits filled immediately on the OPG and the...
A really important one to read is "Broken Markets: How High Frequency Trading and Predatory Practices on Wall Street are Destroying Investor...
Not that I'm a personal trainer, but here is what I do: I put a treadmill under my desk, raised the desk by 18 inches and walk at a slow pace of...
This is actually explained very well in the excellent book "Broken Markets". It basically means that if you sit e.g. on the bid and decide to...
Lately I have noticed this: TWS for me seems about~ 1 sec ahead of my local computer time. This is after sync'ing my local system to both...
If you use a hidden order the HFT crews will pick at your order 1 share at a time. If you display you'll get front-run by 0.01 cents. Hard to...
I know it sounds a bit crazy, but I got rid of my office chair two years ago. I put a treadmill under the desk and raised my desk by 18 inches. I...
That's an interesting choice. RISC system are no longer the better performing CPUs, especially if you need floating point. BTW, the fastest arb...
It's worth noting that IQFeed costs $300/year for API access. With IQFeed you also pay the exchange fees, which for NYSE + Nasdaq + Amex is $15....
Separate names with a comma.