I'm going to use this line when they try to give this old geezer's job to hotshot college grads.
My definition of backtesting might not match yours. I define it strictly as simulating how a strategy performs through historical data. It's...
1. Depends on which exchange. At CME for instance, you can get a response in less than a millisecond. 2. 'HFT' is too broad to classify a...
I've never always been the kingpin at ES-SPY (might have been at times :)), so I can assure you that there's some money to be split up amongst the...
I disagree on a few points. I don't think Reuters and EBS report specifics about counterparties to banks. I agree that CRNX and HSPX do. Keep in...
Generally speaking, liquidity providers gross negative and make on rebates. Liquidity removers gross positive. Sure they exist and HFT's use...
It's not so much raw performance differences as much as ability to customize settings (network mainly) and configure how processes run. All of our...
Nothing special, but with 10+ equities exchanges, you're more likely to flatten position somewhere other than the place you initiated, rather than...
Buying a stock at one exchange (say BATS) and selling it at another (say ARCA). With the intent of actually grossing a profit (like $0.01) or...
Your box sucks. Or maybe you're misreading a decimal point, my not-so-great workstation pings localhost at 0.05 millis :). I see your point if...
I said that index arbitrage is primarily ES vs. SPY. I haven't seen ES vs. full basket done as a pure arbitrage. I have seen ES vs. small basket...
Might not be exactly what you're looking for, but you could serialize arraylists into files for future access. final ArrayList<Integer> list...
That can certainly be one example of HFT. "Low-latency trading" is really a better term for HFT.
Reminds me of Sears + Kmart circa 2005. Neither firm is doing very well and I don't expect them to do much better together, if it even happens.
It depends on what your other options are and how good the backtesting software is. As far as colocation, you can just deduct that cost from the...
Hard to say because there are so many variables, but my one-line educated guess is that bid/ask spreads will simply widen on average, enough for...
I don't think there is much, if any, advantage that can be gained by taking advantage of exchange microstructure with non-HFT infrastructure. Like...
Partial fills aren't too much of a problem in futures trading, at least in the grand scheme of things. Comes up a bit in hedging decisions, but...
I wasn't aware of the FX hedging banning. From reading about it though, it was for your own good. Why would you want to be long/short the same...
The entertainment feeds like Ransquawk have a few customizable options (like a Equity feed, Regional feed, etc.). The direct feeds have uses...
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