optionsgeek Yeah, I have been interested in a Mass Quoter for about two years now. You are right about all the moving pieces, but that is what motivates me. This is a very difficult problem to design, and program correctly. Well, the CBOE implemented the CBOE FIX engine on top of the CMi engine, so there is a small penalty to pay. Eventually I expect CMi to die and FIX to take over, using FAST (I am not a fan of FAST since it is stateful over UDP. Brilliant aye?) I wrote it in FIX because I wanted to get acquainted with everything but the actual protocol to communicate Mass Quotes. Since I understood the CBOE FIX specification well, it was the lowest hanging fruit. Plus the CBOE is super friendly to developers. Figured if I got everything else right, this would be the easy part to change later of the whole project. So it is more of a testing ground for me than a final product. Besides, for options, it is the stock feed that really matters. Well, since the system is distributed, and the FIX engine can handle many simultaneous connections at once, it can handle many many symbols. The computationally intensive part is not the FIX engine, but is all the computation that goes on from the time the underlyer ticks, e.g., from volcurve-> to implied vol->greek computation->quoting "script"->to filling the data structures->to FIX engine, etc...I am working on offloading the whole thing to CUDA. Finally, one of the most important parts is the conditional quoting module. I would say this is probably the most important feature of any automated program, but often overlooked. I wrote my program to IRealTimeData interface, and then I attach it to any stock feed by just implementing a given feed. This way my program can work with any feed implementation and my program has no idea where the data is coming from. I program to interfaces. I have done this for the stock quotes in Activ, Sterling, Interactive Brokers (notice no direct ECN feeds on the stock side ). On the options side, my program understands CBOE FIX market data, and Activ market data. If I were to turn this into production level product, I would probably write directly to exchange feeds on the stock side, ARCA, INET, etc. The options side would probably also be required, but I think I would just do PHLX, ISE and I already have CBOE. Alternatively, OPRA is fine too. Sad, but so true. Direct feeds are the only way to go if you want to be a player. Activ, Spryware, all a bunch of crap. I don't know yet. Right now it is just for me. If there was interest I would probably form a company around it, but it is just me. I would love to find a good programmer that does exchange feed connectivity to become my partner. Usually what happens is that a trader or two want a custom solution, and then they end up backing the whole thing. They get killer software, and a tech firm. That is how OptionsCity got their start I believe. Who the heck wants to pay ORC $20K ++ a month per seat for Liquidator? And that only gets you like 200 symbols.
I realized that I did not answer this question. I just use a binomial model with discreet dividends for now to price options. I am implementing it in CUDA. I wrote one in C#, but it gets killed even on fast hardware on fast symbols. As to volcurve, I do simple things. I want to implement a calibrateable swimming skew vol curve, but not sure how that is done, yet (probably a fancy name for Cubic Spline). In the end, your volcurve needs to model Risk Reversals for the wings/skew/slope, Straddles for the ATM/level, and Butterflies for curvature, and some way to piece it together smoothly. Add the usual tricks like cutoffs, etc. That gets you 90% of the principle components. How hard can that be? Quote script is defensive (how can you be anything but with shit feeds ?). The usual MMer stuff.
a lot of guys are using ORC liquidators. The original ORC programming team actually split off into their own market making firm. So if you think you can use ORC trader to auto quote/MM, you are going to get ripped off. I once sat next to a market maker using ORC trader and he got picked off by other autotraders every time futures gap. It was horrible to watch, 1 lot of put/call combo 100x in a sec. He didn't have a chance at all. If your quotes are not speed sensitive, ORC trader is an OK solution. They should be able to tell you which brokers are available. last time I checked NewEdge works for all asian exchanges and most US ones. I don't think they have IB connection yet. If you are not trading options intensively, it's probably easier just to use IB's API to program your own. It's not that hard for simple spread trading. I tried to do some thing for options, but gave up very quickly.... No career in programming for me.....
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No offense, but you are probably not qualified to ascertain where the problem is. You are blaming ORC without knowing if it is the datafeed that is slow. Or perhaps his computer is too slow, or perhaps he was runing too many symbols, maybe there were network latencies to his stock feed, or ... There are lots of moving parts in these things, and unless you understand the systems, you may come to an incorrect conclusion as to where the problem lay.
Hi guys, I know this thread is fairly old but I am facing the same problems (which is should i program my own mass quoting system). Any change over the past two years regarding vendors? actant has a new trading platform, do you know how good it is? Finally, nitro, is your quoting system up and running? Thanks.