Recent content by arbitech

If you want to know what is hedging go to: Hedge4you.com

Hi, Have been trading gap on pre open for auction trading as long short intraday basket.... made several hundreds bucks per day not to say several thousands... after 2015, the hft or big hands cames in and I lost my speed advantage. the base idea is to build long short portfolio based on...

GARBAGE IN GARBAGE OUT! Dude, I am gone to make you saving a lot of time.. If you are able to find the good features, inputs, you ou even will not need ml! I spent last year on ml... it’s just a piece of shit... From dqn to lstm... Majority of quant articles are just charlatans....except...

IB is still the worst place for automated traders... understand: -if you choose to direct route your orders outside of their smart router (which is smart for them), they apply ADDITIONAL insane fees..i tried IEX, i got of course much less adverse selection, but my order cost went from 0.0035 to...

forget it...i have been trading (automated on a market neutral basis) morning auction orders...moore than 80 orders per day....i made it work very well up to last 2-3 years...the issue is difficulty of execution even if you wait the last half second to send your orders, there is now hfts, which...

i coloc to exchange...but not connected in fpga despite tcp accelerated. i agree its impossible to compete with hft. top of them are below 20 micro tick to trade, but even today if you want to trade a stock simply one time a day. you have no choice to try to set up a kind of antigaming framework...

i am in nj, few hundred meters from equinix ny4. i pinged equinix and it was ....1-2 didnt calculated poly feed timestamp, just pinged.

in the past i measured iqfeed years ago and i found 42 ms delay... i made the test this week to re use iqfeed in live trqding and i noticed a bigger number of missed orders compared to poly. the fact also that poly distribute from equinix, comapred to iqfeed who is located far from ney work.

Hi qlai, sorry for my late reply. after having discussed with them in details, they dont broadcast raw data stream as you sugget or as its written on the picture you sent. raw data stream is known to be direct feeds from each market, i mean not normalized feed. they told me that they receive...

Hi guys, 8 years ago i left bank world to set up arbitrage-technology.com since time i done it all alone and i confirm, its sometimes very difficult to not collaborate. i am only interested in intraday and i dont think all mushrooms frameworks you can find on internet now are valuable to...

no all they send is consolidated NBBO but for trades, sometimes, you see spikes. but as i told you previously i dont decode trade conditon (for speed purpose), in order to see if the trade i receive is a late report.

yes i didnt filter anything. obviously, some times trades completely outside the bid/ask from far, but i didnt filtered trade condition if that was a late report condition or a bug.

Hi guys! put on production polygon this week from my server in new york....after years with iqfeed. here is what i saw: - polygon is clearly clearly faster than iqfeed, you can even see it visually....BUT, iqfeed data is cleaner. - polygon is faster until the market becomes crazy, then you...

also my back test is in question...as you say, may be.... but i use past trades EVERY 15 minutes on past 100 days and my trading target profit is DAILY volatilty (90bp avg) which is far above 15 minutes volat. Honnestly speaking, i was sure that price variation every 15m was far bigger than...

my obssesion is simple: my model as every stat arb, bets on high diversification level. so, at the end of the day, if i missed 4 trades on moore than 80, it can comes that my pnl is few hundreds usd negative instead of few hundreds positive. this is very true on low volatility days which has...