Automated Trading Answers

Discussion in 'Trading' started by Christian Blais, Dec 8, 2009.

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  1. I'll actually make the question more specific, relative to others...

    1. A client wants a full statistical arbitrage package. The architecture would be 13+ client to a static IP. Each of the servers will runs a model very close to the Johansen procedure real-time on a tick basis. The server sends the cointegration measures to the clients along with the real-time market data. The client runs another set of models based on the #s received and sends a message to the FIX server.

    Let's just say that the client is already connected to multiple IBs (GS, MS, C) via Radianz. No quotes, only IOIs from IB.

    So...

    A. What kind of design will the servers have? (OS, language, lib package, quote service etc. etc.)

    B. Messaging. What messaging technology will be the most effective?

    C. What kinds of critical response infrastructure would you implement?

    D. Given the information, you'll obviously need to gather the requirements. What would be your top 5 Qs?

    2. This time... you have a client seeking for a fully automated infrastructure that trades Options... They want to run ARMA GARCH on a tick basis...

    Same questions as above.

    ------------------------------------------------------

    Christian... Before you go on... I'd just like to let you know that, so far, more than 1/2 the guys posting in here are testing your competency. Think about it... you suddenly pop out as a Director of a small IT firm proposing to help people. Considering this being the internet, it looks like a cheap marketing spam. (Maybe it is... who knows)

    Actually, it happens to most of the people who come in here trying to teach people. They test / challenge your competency and if you can't live up to it... they start flaming you. As much as the process sucks, it's how this website weeds out good people from the bad... And it actually works well.

    So if you ever get a negative response, know that they're challenging you and if you can live up to it... You'll gain the respect and less flames/trolls. 95% of the case, flamers and trolls only attack the incompetent in ET... Of course, the person (and his posses) who get flamed won't admit their flaw but that's also part of ET.
     
    #11     Dec 8, 2009
  2. MR.NBBO

    MR.NBBO

    -Not really true, it's just a flamefest here at ET now, but good to see some real traders with real questions lurking.

    That said, I've worked with Christian & Centauris on my projects for almost 3 years, as I continually evolve. They are quite proficient in virtually every area of trade architecture planning, coding, deployment, etc.

    I'm very happy with them....just wished I bought their company years ago!
     
    #12     Dec 8, 2009
  3. Joe

    Joe

    Thread closed temporarily, until we hear back for the original Poster
     
    #13     Dec 9, 2009
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