Recent content by gigi

I have this idea about how to reduce the latency of the link between NY - London (this would be the biggest target). State of art should be around 30 ms one way. I can improve it by several ms. This would be very valuable for arbitraging EUR/USD across the ocean for example. I don't want any...

Not even one of the quant papers I've read used candle sticks. All of them used "line graphs".

Today, because of HFT, you need to use market orders. Limit orders will only be filled when the market goes against you. http://quantinvestor.wordpress.com/2010/01/09/sub-penny-pricing-is-it-price-improvement-or-front-running/ There was another article with a much nicer explanation but I...

I agree with you, but careful, the argument goes both way. Pushing it further, I can ask why would you do the strategy in C#/Java when you can do it in Python (like I do) given that speed is not an issue for non-HFT systems, and considering the (massive in my opinion) Python productivity gains...

NetTecture is right, COM is not slow. As a matter of fact, DirectX is COM based. You probably mean OLE Automation, and that indeed is slow (because it's dynamic), but that's something build on top of raw COM. That said, I'm not recommending COM, but not because performance reasons. About...

I'm also working on my own trading system, and I want to tackle this problem using the NASA way - have multiple pieces check each other. So I will have a second independent little process which will also connect to the same trading account and monitor simple things, like ensuring the total...