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  1. Food inflation

    From what I've seen, pretty much every commodity (with the exception of natural gas) has gone up over the past year... some of them substantially....
    Post by: drp7804, Apr 7, 2011 in forum: Economics

  2. Tail Risk

    What are we examining here? Strategy P/L per trade over some time period? Volume? Price movement?
    Post by: drp7804, Apr 1, 2011 in forum: Risk Management

  3. Simultaneous calculations, programmatic question

    Maybe the definition of "tick" in this case depends on the type of data feed. If you're getting full market depth (something like...
    Post by: drp7804, Apr 1, 2011 in forum: Automated Trading

  4. Simultaneous calculations, programmatic question

    Not sure what sort of circumstances you're faced with, but if you can, it'd be good to do some initial testing to get an idea of how much CPU...
    Post by: drp7804, Mar 30, 2011 in forum: Automated Trading

  5. My theory that hft traders are scum, proved and documented

    Good links. Looks like the <a href="http://www.futuresindustry.org/ptg/academic-research.asp">academic research page</a> at futuresindustry.org...
    Post by: drp7804, Mar 30, 2011 in forum: Trading

  6. Is trading Gambling or not .."What say You" Vote here.

    So, to be somewhat formal about it, I went to dictionary.com and looked up "gambling": <i>to stake or risk money, or anything of value, on the...
    Post by: drp7804, Mar 23, 2011 in forum: Psychology

  7. TotalView participants vs. actual trades

    That's a really good question... how big a grain of salt should you take with the displayed size? What percentage of the currently displayed size...
    Post by: drp7804, Mar 18, 2011 in forum: Order Execution

  8. Futures (CME) Tick data

    As an FYI, I submitted a quote request via this page: http://www.cmegroup.com/market-data/datamine-historical-data/datamine-purchase.html...
    Post by: drp7804, Mar 15, 2011 in forum: Data Sets and Feeds

  9. Charting is not needed for my ATS

    Similar to abattia, I haven't (yet) put a lot of effort into generating/updating charts for real-time monitoring. I dump a lot of numbers and...
    Post by: drp7804, Mar 15, 2011 in forum: Automated Trading

  10. Dark Liquidity vs. EdgeA on Citigroup

    Do you see the dark executions happening at the sub-penny level (assuming the prints allow for the extra decimal places, etc)? If that were the...
    Post by: drp7804, Mar 11, 2011 in forum: Order Execution

  11. source for stock info (mktcap, sector, etc)

    Thanks, I think the term "screen scraping" is what caught my curiosity, but it sounds like most folks are either parsing page HTML or pulling the...
    Post by: drp7804, Mar 9, 2011 in forum: Automated Trading

  12. source for stock info (mktcap, sector, etc)

    Sorry to dredge up an old thread, but saw the bit above about screen scraping Yahoo. Just curious what exactly you mean by that? Do you mean...
    Post by: drp7804, Mar 8, 2011 in forum: Automated Trading

  13. Relationship between a .01 move in SPY bid/ask and movement in ES bid/ask

    This SPY/ES tick difference is something I've been thinking about recently, as well. There are quite a few factors at play here, the bigger ones...
    Post by: drp7804, Mar 7, 2011 in forum: Index Futures

  14. LOC order type for NYSE / INET

    Awesome, sounds like that helped.
    Post by: drp7804, Mar 2, 2011 in forum: Order Execution

  15. LOC order type for NYSE / INET

    Looking at pages 33-34 of the spec you provided, what values do you have for "TimeInForce", "NoTradingSessions", and "TradingSessionID"? My guess...
    Post by: drp7804, Mar 2, 2011 in forum: Order Execution

  16. limit order execution question

    That's an interesting point, NYOB... I hadn't thought of that. Each exchange/ECN will have it's own queue length for a given price of a given...
    Post by: drp7804, Feb 28, 2011 in forum: Order Execution

  17. Current ECN rebate rates- Compiling the full list as a useful reference for everyone:

    I'd be curious to see how the spread for a given symbol on EDGA compares w/ the same symbol on EDGX. Over the long term, I have to believe that...
    Post by: drp7804, Feb 17, 2011 in forum: Order Execution

  18. Margin Info

    You could parse the HTML for that page, but not sure how set-in-stone a lot of the wording is, etc. As in, I wouldn't feel confident that a...
    Post by: drp7804, Feb 16, 2011 in forum: Risk Management

  19. IB TWS max. number of open positions feature.

    If you wanted some automated way to allow only X trade entries per day and cancel any open orders beyond X... I would think that'd mean coding up...
    Post by: drp7804, Feb 15, 2011 in forum: Risk Management

  20. how to estimate the fill rate?

    You could do some limited live trading on your contracts of interest and track the volume that fires at your order price between the time when you...
    Post by: drp7804, Feb 15, 2011 in forum: Order Execution
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