If you already understand basic data analysis (e.g. You can answer what the difference between data mining, overfitting, and data snooping is),...
IMHO if you're trading your own money there's very little upside going with a prime broker. The only real upside I personally see is they can make...
Now post their footprints :)
Gloria, Are you asking which theories could be applied to developing new strategies? Or which theories are used to backtest existing strategies?
I went through ~100 trades today running the code in parallel in two separate accounts. Only difference was smart vs directed. It's also worth...
Has anyone found that IB's smart routing adds a significant amount of latency? Just doing simple testing today and I'm finding that I'm...
I've kept things simple thus far and have just use a modified optimization process using a specific non-linear objective function (don't want to...
ATS has different meanings to different people, do you plan on employing strategies where latency is constraint? Or are you just looking to get...
The approach I would be making assumptions about how your interaction will affect the order book, then model it.
To answer your question about microstructure, I don't believe there's any real way to achieve confidence inspiring backtests at that level of...
No one in their right mind is going to build a proper OMS/EMS and release it open source. It sounds like you're using IB, given what's offered...
Eh this is an incredibly vague question and also Joshi's book is mostly on implementing specific design patterns for derivatives pricing which...
End of the day, you're never going to find any good books on this subject whatsoever and no one's going to teach it to you. I think some of...
My 2 cents.. I don't think there's any reasonable pre-packaged solution, you'll inevitably be held back be held hostage by whatever the...
Just glancing briefly at your code, one issue I see is you symbol definition. So for example: EDZ3 (Dec 13 Eurodollar futures) Local symbol...
My 2 bps... It clearly depends on your trading strategy. However I think in general there are things humans are good at, which computers are...
Being read from a database or something else? For tick data I like HDF5 and for less granular data flat files are fine (we are far too cheap to...
So first question I have for you, is how are you reading the data? Are you loading all records into memory? Or iterating line by line? I use...
I've worked as a quant mostly on the buy-side and am currently in the process of launching a fund with a few partners. We've been working on an...
Current workaround for this issue is just to assume I'm getting order acks for orderIds which I'm getting fills on which definitely is not ideal...
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