Recent content by hoppla

@Gotcha you'd be surprised how many old school CTAs and traders with decent size AUM still trade like this and are just coming around to focusing more on their slippage.

Trading 200 contracts and having 1 tick slippage on average in ES is not bad (but not great too). A former client moved away from Multicharts to a customized software implementation for exactly that reason. The options Multicharts and Tradestation provide are not very slippage friendly. By...

I am assuming here that the Cyprus company has no employees except you being the sole non-resident employee/director, so out of curiousity: if you live in Northern Europe how do you LEGALLY avoid paying taxes in the country you reside in with that setup? Pretty much all EU countries have CFC...

The design very much depends on what feed. Is it futures and everything is level-based or equities where it is order-based? Is queuing FIFO, ProRata or whatever else there is? It also depends on your intention - is this for backtesting? Or tracking queue position in a live environment? Not sure...

Not very useful with respect to the intrinsics of an orderbook but more to do with the concurrency issues you are running into when listening on multiple feeds and receiving execution responses. Some APIs abstract the cross-thread synchronization away. The disruptor is but one pattern for...

It depends on what you use it for. Within the context of simply filtering a timeseries it is not very useful. For parameter or regime learning it is a different story. I'd say gradient boosting, for instances, with a specific target function is kind of like a Kalman Filter.

The xpub/xsub is not really meant to maintain any state but rather a single, more or less fixed node in your network that facilitates connections between actual publishers (those producing the data) and subscribers (those consuming it). I'd say this is more suitable for real-time data feed...

We've been using ZMQ in production for about a year now and I have only good things to say about it. It's really worth it to study the guide and look at the different design patterns. They are even useful to know and understand when doing everything in-process without (ZMQ) sockets but just...

Maybe this has been addressed elsewhere as I did not read the entire thread, but the problem you have here is that you are using a constant volatility in your GBM and price your options accordingly with Black Scholes - how else would you get option prices for it? If you don't somehow model the...

Whilst MS and Windows have their quirks not sure why the sarcasm re Microsoft and AI? C Bishop who is quite well known in the ML field works there and so do other well-regarded ML researchers.

Savings would be around 10c per side on average for us. It adds up.

nitro - I guess most people on this forum do not compete on this level - myself included. To us microseconds do not matter but it certainly does matter A LOT and measurably so $$$-wise if you have feed/execution latencies of 1, 5 or 20 milliseconds which are achievable without any expert...

mmt - that would confirm my observations with TT from last year. I'd see latencies in the 10-20milliseconds range. Note this is not really TT's fault as I know that TT in a DMA setup has pretty good latencies. This is not from personal experience with it but from talking to another trader who...

We are not using TT any longer for reasons unrelated to latency and more to do with access to markets. I think you do not need the TT FIX Adapter for DMA. At the moment we are with CQG using FIX Connect (order routing via FCM also) for executions and I find it pretty slow (again relatively...

mmt - since you mentioned you colocate with your FCM I suppose your executions route via the FCM's TT setup (ie cross-connect to FCM side TT price and feed servers) and you dont have DMA? I am just curious to know what kind of latencies you are seeing there as we have tried similar setups with...