If you want to run 1 yr worth of ES futures tick data through your strategy, you are talking about a few billion ticks/bids/asks. When you try to...
I am no expert here; just sharing some thoughts/issues that I have come across when I looked into this area; some of what I write here is the...
Thanks for the link... very informative; here's a list of interesting deep learning literature (not related to trading though):...
https://mygtc.gputechconf.com/form/session-listing&doSearch=true&queryInput=&topic_selector=Finance check out "S6589 - Algorithmic Trading...
I attended Nvidia's GPU conference here in the SF bay area a couple of months ago. There were atleast 2 presentations related to deep learning &...
I too looked at deep learning sometime back, but decided to get my normal hand written strategies into production before venturing into deep...
You can set market if touched and trade successfully as long as you make sure that there are no gaps in the limit order book. I have seen...
I am assuming that the 400ms accounts for the network/broker latencies; time between your system places the order to the time at which the...
Accepted You are right... if one wants to respond within 1us, we have 1000ns/0.2 (4 ghz processor) = ~5000 instructions... of course we can argue...
Read my post again; I never said that HFTs don't/can't change their algos and I never stated that you can't change algos in FPGAs. What I stated...
You can use point specifics ASICs like our Bitcoin folks and get to 100x faster than intel xeones, but the problem with that approach is that any...
You can't incorporate intelligence into a system that has to respond under 1-2us... which is pretty much the realm of HFT. A simple division takes...
This is probably the only quote I have come across so far that validates what I felt when I was initially designing the architecture of my trading...
Lets face this: you CANNOT compete with HFTs in speed; they are faster than you! ...however, they are not as smart as you and so theres your edge....
What round trip times are you using to estimate your PNL for 350 E Cermack vs theomne.net? As I see news events can trigger liquidity crunch and...
no of best asks/bids + trades is approx 60 entries/sec for ES (@11:12EST)... now, if I include all asks/bids to this, I am getting around 300...
Looks like I am confused with the term "NBBO" :) Today, I need three pieces of data: trades, the lowest ask/highest bid at that time and...
I was referring to storing the non-nbbo data for future backtesting (if it is useful in the first place) in the above question...
Hi Everyone, I have been working on candle stick based strategies and I am now looking at extending them to ticks/quotes. I can envision...
I have been using Rithmic since the past few months; they are quite responsive. I exchanged a number of api support related emails with Rithmic....
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