@IAS_LLC I think that it could be very useful to weight the reinforcement by time in some way. For example, suppose we're dealing with some...
Anyone here do any of it?
@2rosy thanks for the parser. I probably will eventually write something like this in python myself. @volpunter You might be right. I could be...
@2rosy, I'm far from an expert. Everything I know about FIX has come from what I've learned in this process, so I can't say for sure. I haven't...
@volpunter First of all, let me just preface this response by saying that I've spent a few hours looking at the FIX Observer code and believe I've...
I currently have the ability to stream limit order book data from IQFeed and Rithmic. They each have their own protocols through which they...
@Fundlord , I think most of what's getting you in trouble here is the OPM thing. I hate to be negative on here, but even if it's true, the very...
@volpunter No worries. I was hoping you'd chime in at some point on this thread. Thanks for putting my mind at easy about the server hardware...
Yes, not multiple contracts on the same thing, but rather multiple expires of the same contract and in other cases exchange supported spreads....
Thanks @volpunter , you're correct about where I should be concerning myself I think. No need to read it all really. The rest of the thread is...
Just to be clear, IQFeed provides millisecond timestamps on every product besides FX as far as I know. The biggest concern I would raise to those...
Thanks for the link from CME. I obviously am not watching the full depth nor every future in each subcategory, but it still helps me establish...
Thanks for the input @hft_boy. Yes, at present, latency is not my concern. I won't be doing any live trading, merely collecting orderbook data for...
Right, we're on the same page about latency. I specifically went for feeds which timestamp server side for this reason. I initially was interested...
Eliminating any of the latency concern was first and foremost to me, so made sure both feeds were millisecond or higher precision timestamped when...
Thanks for your reassuring reply. You're correct about the sockets. I dispensed with their significantly easier COM API library (which I now...
I'm hoping someone here could offer me some guidance with regard to servers. Here is my problem: I've written a C# TCP/IP Protocol application...
@Fundlord To your question: the behavior of index futures is dependent on the contract and timeframe you wish to trade. As your frequency...
@jimmiebarton im not sure why you think that every price level being challenged is inherently random. Just the fact that backing and filling...
You must work for the CFTC.
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