Recent content by Graham1

As I understand it you get paid $1.95 per 100K for adding liquidity if the order is subsequently filled (so you don't pay 2.95 and get 1.95 back, you actually get the 1.95). Anyone using them ? This might even make it worthwhile to write a FIX application to act as a market maker in some...

http://www.cmegroup.com/trading/metals/precious/gold_contract_specifications.html

I suspect you will find many of those forex traders using interactive brokers IDEALPRO are day traders. Their overnight financing costs are rather expensive compared to traditional swaps.

Do you mean buying the bonds on margin or as a cash transaction ? If the former then surely just buying the bond future would be cheaper and if the later then I can't see any margin required for the trade - if you then use the bonds as margin for other positions I'm pretty sure they will mark...

Finspreads, minimum size 50p/pip, I don't know if this means multiples of 50p (so nothing between 50p and £1, probably does). Odlmarkets allow dollar denominated accounts, I don't know if their minimum is then $1/pip or $2/pip, you would have to ask them. Otherwise for £ denominated...

You could also use a spread betting company for the hedge and use one of the quarterly currency contracts to avoid the daily rollover charges. The spread is wider but it will still be cheaper in the long run. Most only accept bet sizes in multiples of £1 per pip but I think there are some that...

Yes, if you send £10,000 to the broker and it's converted to $ then just go long £ vs $ for a size of £10,000 (which is $1 per pip) on the spot forex and that should hedge against any movement in the exchange rate. As your broker balance goes up or down the hedge will be less exact and you...

If you try to use spot forex to hedge it will cost you the daily swaps amounts to hold that position. There is a significant mark-up on these (more expensive that just the difference between the interest rates on the currencies) and will probably add up to around 2% of the amount over 1 year...

Yes, I just re-read your post and realized that is what you meant.

If it's of any help I have in the past benchmarked very simple algorithms in both C++ and C# and found the C# versions to have a speed penalty of around 30%. This figure may not be relevant here as that code was doing very few memory allocations, it was mostly integer arithmetic and boolean tests.

Re: that C# IB-API library. I tried downloading his library and running the test application that comes with it. If the IB/TWS connection is broken I see the message from the callback saying that happened ("Connectivity between IB and TWS has been lost.") and when that connection is...

I notice this guy has done a native C# implementation of the IB API : http://www.dinosaurtech.com/utilities/ I have never tried using it myself. It might be worth considering. One thing I have heard is that IB make changes from time to time to the underlying protocol that passes across...

Yes, I would agree with the above. The main problem I see with flat files is if you are simultaneously collecting new data (adding data to the end of files) and running simulations on past data there are likely to be short periods of time during updates when the end of a file contains a...

Is the .tck file it is reading from a flat file or a database file ? I presume most users would want their data collected into some kind of database to make ongoing data updates easier and simulation runs involving subsets of the data more efficient.

There are various tools that reduce the workload involved in making Python wrappers for C++ code - the one I prefer is SIP (http://www.riverbankcomputing.com/static/Docs/sip4/sipref.html) But it takes some learning on how to use it - and you still need some C++ experience to understand what...