0) Full control - extreme speed - highly customizable 1) Scratch 2) VB but API is C++ 3) Windows 4) Basic PC these days - but if you don't have the right CPU complex models may require you to upgrade or start a process and go have lunch or something 5) Can handle handle and does handle lots of indicators -obviously any new complexity would have to be programmed 6) 2000 orders in 10 Milliseconds 7) 2 months given the algorithum complexity and programming optimum efficiencies 8) Total 3 months to perfection - I don't discuss rates here 9) All made up based on experience and edu 10) Yes
yes , on the Current (then) month calcs , with (then) 10 days to the expiration. IRSG had 21 , 26 and 25% ABS report move in the last three qtr , which make a lot of sense to spike vols to the moon. But most of software will show lessor stats IV , because they display an average/mean number (weighted by diff months)
Our software is written from scratch. Platform API C++ Interfaces Delphi and .NET Windows Servers We got it cheap through outsourcing development in Russia and India (about $60k). 7 months of development and then 2 months of backtesting and PATS connection certifications... (9 months for a child to be delivered Our software will not be sold to the public, it was created to build proprietary Market Models... Think about it, if someone sales the software or trading system to the public, that means that they belive that more money would be made from software sales, rather then from trading on their software /system...
IV trader, Great work. I have noticed many inconsistencies in the calculated IV numbers and probabilities from Brokerage firms. Which brokerage firm do you think has better IV calculations. What is the source of your software.
I do my own cals using B&S. I have a lot of "rules and exceptions" to avoid fake and crazy volatility numbers.
Finally, a little Friday afternoon relaxation 0) The driving force for me was the ability to control every and all aspects of the system, in any manner chosen. 1) Software was written from scratch...custom memory allocation, home grown queue's, hash-tables, Mux scatter-gather network I/o, etc. 2) C++ everywhere [did some ASM early on, but C++ compiler did as well]..client software uses WTL framework and I avoid COM. 3) Win32, multi-threaded code...OS specific stuff in separate classes for easy porting if/when needed. 4) Servers are multi-site and multi-host aware. Core server architecture is Grid capable, but need to add symbol manger and integrate with Client API for seamless external interface. 5) Platform supports Component Analysis Module plug-in framework, can perform nearly any analysis, with built-in client <-> module message routing. 6) It's as fast as the Space Station's Horizontal Test Simulator, but not as fast as the B2's Stealth Simulator...so, there is still room to improve 7) After 3 years I thought it was ready, now it's been 5 and still building. 8) Cost was my time (income of $400-500k a year 5 years ago), plus $300k capital. 9) No, did not reverse engineer anything...did do plenty of research, analysis and testing along the way and applied all that was learned. 10) Yes, the client software and servers are commercial quality and the platform architecture is institutional grade.