I think fault tolerance is defined by the brokers' rules. I use FIX protocol to place orders and each FIX message has a sequence number. Every...
Exactly my thoughts about LinkedIn. Despite everything I find ET more informative.
You can look what GRE Computer Science Subject test covers which is pretty much what is covered by any CS undergrad program:...
www.cplusplus.com Their tutorial is ok, but reference is excellent. They are in the process of updating it for C++11.
Read this ongoing thread you haven't yet. http://www.elitetrader.com/vb/showthread.php?threadid=266270
Ok, thank you.
How do you scale to use more computers/cores for backtesting? Is it like you run a strategy one (housed in an executable) against a first set of...
Why did you write down IB from your list? They do offer C++ API without installing TWS.
You are right, MFE programs (also called Financial Mathematics, Mathematical Finance, or Computational Finance depending on the university) are...
OP - that's you - Original Poster.
Let's make a distinction, quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying...
LOL
Someone has already mentioned book by Tsay:...
Right, I know what you talking about -- thanks.
Why to use int instead of float? Both int and float are 4 bytes, at least that's how C++ stores them. Stock prices use 2 digits after decimal...
Throughput is measured in MB/s that's why I did not get you, that is 16 million messages by 16 bytes per second equals 256MB/s. Do you know...
So it was you who brought up ZeroMQ then I got it wrong about 2rosy. I found an article where someone compared the performance of OpenDDS vs...
@hft_boy Excellent post and special thanks for the code. Sometimes ago 2rosy (I think it was him) mentioned ZeroMQ which looks like is using...
I thought Active Tick is only for feed. However FXCM and Gain were sued by Gov't for front running their customers, hence I would not trust them....
Check this thread on ET: http://www.elitetrader.com/vb/showthread.php?s=&threadid=248841
Separate names with a comma.