I used the two (direct feed/ public feed) interchangeably. Any changes to the orderbook due to places/cancels/trades are disseminated to everyone...
Not sure which part exactly you are referring to but if it's this one: Then this just means that once you receive your fill you should also...
Again, quite vague especially when you look at the other more recent press-release:...
That is not a loophole (referring to the article's headline). Of course, you will receive fill messages when your limit orders are hit before they...
Again which latency and exchange are we talking here? I am specifically referring to CME and the roundtrip time it takes from a colocated box in...
120 microseconds round-trip latency on CME and/ or Eurex Futures? I dont know ORC or RTS but highly doubt this is achievable especially going...
Don't mean this to come across offensive, but it seems a bit weird to me that coming from one of these prop shops you'd be inclined to go down the...
Since you were asking for maths/ stats books, this is one of the best introductory stats/ ML books IMO:...
How about each stock [object] holds a reference to a container/collection of baskets (where it is a member of) where each basket itself is a...
If Sterling's feed is not encrypted (which I dont know) then you could just use the Wireshark API to scrape it off the network card.
Good point. Can't argue with that. Don't know much about some of the exchanges on OPs list, but I do know that the exchanges' latencies vary quite...
Disagree on that part. For at least one of the exchanges in OPs list I am very doubtful that you can achieve round trip latencies as envisaged by...
Yup - would be curious about that detail as well. Are we talking internal latency or round trip latency? Measurements taken where exactly?
time priority is maintained in the list, but because I need to make assumptions as to where cancels, mods affect the queue I found that a map...
Yeah it's hard to compare then, as I need to make a few assumptions as to where and how cancels, mods affect the queue and how I represent the...
Not familiar with the NASDAQ ITCH feed - is it order based as in you know the composition of the queue exactly? Personally I am more familiar with...
Most crucial issue is to have the right data. If you're reasonably good at coding it's not that hard to build a properly functioning orderbook...
Not sure what your question is but provided you have the right data, a good understanding of what your latency is and a decent simulator, your...
Nice presentation - it confirms what I've been doing for a few years now in terms of how to best represent/store financial data in particular full...
If you don't mind me asking, do you use "physical/ tangible" risk factors or latent ones (or a combination of both)?
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