Yes
Your execution code needs to be aware of global positions. At the very lest, you need a hashtable of positions and net them out and a position...
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Well said.
That would be the way do to it for a more complex web ui. Apache would be a good way to go. For this, I just used something quick and dirty....
I only trade NSDQ stocks. I don't know the detail of the NYSE open, but I believe that it has a manual component and takes a lot longer to open.
It trades five systems. each with different time frames and symbol sets. None of these are what I would consider HFT. Java is fast enough...
Just throwing it out.... Trading is inherently asynchronous. Orders are issued and events are received from the market. If you have a lot...
In the opening and closing cross, all shares trade at the same price, in one print. There is no bid/ask. The crossing price is chosen to...
For nasdaq symbols, the opening and closing trades published as the daily open and close prices are not generated by normal trading, but by a...
Here is the thing. Many of those sub penny trades never reached the exchange at all. The broker internalized the order or filled it in a dark...
If you are doing hft, then you will not use IB and you will be colocated, rather than use a leased line.
Has anyone here had success with peg orders? Every time I try it, I always get a bad fill. I think that the problem is that peg orders are...
I think if you trade this live, you will find that your actual execution will differ from backtest. The problem is that some of your trades...
Yes, I use Java with IB. As I recall, it takes a little fussing to get it configured, but not a big deal. Biggest pain in the ass is that it...
Interesting... I think that a huge issue is that a lot of the prints reported on the tape are executed off exchange. So, there is no way...
Just saw your edit. Yes. Modeling a limit order fill is very frustrating. Dealing with this much data is not easy either. I ended up...
Thanks. Yes, it is a interesting problem. Surprised that you find the snap shot data to be more useful than tick by tick data. I currently...
Winston: Do you mind sharing a few hints? I am starting to work with tick data and have the same issue. The standard approach to count...
GPU's are just chips optimized for the problem they are designed to solve. If your problem fits, then it is hard to beat. Much of the space on...
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