You may be right , so all the major brokers internalize their retail flow?
This also explains it: Because I implemented a strategy described in a PhD thesis and simulated it with realistic fees on a multi agent simulator...
Well, not any individual fill could be necessarily said to be good or bad in most cases; but at the end of the day I have my net prices calculated...
Even after I fixed the bug of my algo reacting to itself I still get good fills on long positions and bad fills on shorts . Perhaps I need to buy...
For best results you should probably use the full order book data, using the BBO only the results would be not as accurate, there are some papers...
I'm not sure, I do forward testing with stochastic simulation calibrated from historical data. I'm just now going live so its still a bit of an...
I dont know how aggressive liquidity consuming hft does it. In doing market making and trying to make spread or narrow it, so i can provide...
I considered it but would have cost another 2k on top of a 20k machine. Main ram speed seems to be the issue. Hft studies show that profitability...
Java has a 2GB memory map limit, so I map 20 minutes or so worth of trading into each segment , and make sure the next segment is mapped before...
Ssd. The sections are mapped into ram before they are accessed so storage latency is not an issue and I have 1TB of ram in the machine , but...
You might be right, im using memory mapped files for lookup , there is room for optimization, my first jump would be from Java to C rather than...
The heavy processing is done offline beforehand, a few microseconds won't make or break it. Risk management is connected by controlling responses...
I dont, the machine does. [MEDIA]
Its more like you need to worry about that if you are traversing the internet , latency between the hops with no QOS guarantees, I doubt any...
Anything over the internet will be too slow. Nasdaq uses UDP sockets and they even have specialized protocol for automated trading called QIX. I...
ASM? Assembler ? Contrary to popular belief you dont need to get into assembler to do low latency trading, risk management is more important
It certainly wasn't cheap to make, and it isn't cheap to run either
Well maybe you are right. I need you high latency people to feed my machine
Same thing , if your gonna be trading with an API it needs to be a binary protocol or at the very least FIX. Websockets are another clueless...
Alpaca sucks its for amateurs, your gonna get smoked. Slow ass http based protocol designed for crypto idiots who think rest apis are the beezkneeze
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