I don't see what the big deal is. log( x / y ) = log(x) - log(y) You take the top price, divide it by the bottom price and take the log for...
Tried to get them to answer some questions via the live chat facility: MBT Kaine: Hello, Welcome to MB Trading! How may I help you? MBT Kaine:...
Maybe post the paper, or reference it so we know what you are talking about.
A lot of people say it's high school math, but I find myself at odds with traders who only understand the math at a high school level. The fact...
If you're fading stocks like AM, how do you guarantee that a burst of flow doesn't come in and thump you? Are you making discretionary trades...
This is why I started the thread -- I can't control the way the text files are. They're created for us by a third party, and they're wrong....
Boost is cheating, but I think you know what you are doing so we'll just silently acknowledge each other's points. ;-)
I did a bit of everything, from exchange connectivity to strategy development, to working out hacks to improve our bottom line. The difference...
I can't speak for others, but my compensation has never crossed 200k annually. My bosses and such have told me that it's because of my timing and...
My bad. To be fair, there was no way you could have read my mind. Still, I'd like to make it clear to you that your approach is still not...
I don't know. :-) It's an open research problem I'm working on, and have a journal for. I post on ET hoping someone will tell me I'm horribly...
Slower infrastructure implies that you're carrying more risk. Liquidity and availability of liquidity are essentially functions of time, as is...
Yes. You find that when you run certain strategies, you need things like rebates, support from exchange, and direct connections to the exchange...
One comment, though. I have the unfortunate predicament of being only able to work in large institutions. All the strategies I work with and...
... I am a 'quant trader' -- I have a BS in computer engineering and a masters in statistics. I can't tell you how awesome this combination of...
Even in the general business case, people underestimate the impact of a malloc() or a new in their code, or the cost of a constructor. I've seen,...
This I semi-don't agree with. If you're writing code to deal directly with the exchanges, you should use C/C++ and you should do it correctly....
Problem is that I need the OpenBook and BATS data from the same day as that sample.
And another thing: Working with time in C++ is a total waste. datetime.timedelta and datetime.datetime = simple, fast, lazy. FWIW, C#...
The amount of time it takes to change the code to adapt for a new formatting is tedious if I have to rewrite the parser using istringstream. Log...
Separate names with a comma.