Recent content by itmediaco

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    News via an API

    IQFeed
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    Distributed Computing Applications to ATSs

    Processing tasks are assigned to each node on a round-robin basis until the maximum # of tasks is reached. There is no head node -- each node listens for changes to the cluster group. My objective was load balancing, not so much failover. The delay is because I'm using Esper for ESP, which...
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    Distributed Computing Applications to ATSs

    I am using JGroups for basic clustering. Each node works on a fixed number of contracts and puts results into a Replicated Hash Map. Since every node has the same hash map in memory, there is no single point of failure. The only problem so far is a ~2 minute delay to reload analysis tasks from...
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    Calculating Capacity

    I think it's impossible to actually calculate market impact, for the same reasons stated above. You would need to know the counterparties intent before you send your order, which can't be predicted in advance. One method that I tried is continuously sending orders to buy 1 share at the bid...
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    What are "buying VIX" and "variance swap"?

    Variance swaps can be replicated with straddles and hedges in the underlying.
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    What are "buying VIX" and "variance swap"?

    Cheaper than index options
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    Apama vs. Streambase(or any other comparible)

    Not even close.
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    Apama vs. Streambase(or any other comparible)

    Complex event replay ("backtesting") isn't simply querying a SQL store and iterating through rows of input data. It's recreating temporal relations between captured external events AND query chains exactly as they occured in real-time. The problem with SQL is that you end up with a backlog of...
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    what software do professional money managers use?

    That's right. Not everyone is a billion dollar fund with a huge IT budget and infrastructure.
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    Where to find out the current holdings by the famous fund managers like buffet?

    13F-HR
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    easy money - lots of arbitrage opportunities out there (so easy a caveman can do it)

    No - IB's quote is the price you are executed at. If that is out of sync with your other data providers, that's a problem of an even greater magnitude.
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    easy money - lots of arbitrage opportunities out there (so easy a caveman can do it)

    Why would you post this without providing any evidence? Retail can't arb ETFs because the transaction costs are greater than the actual differential. The closest strategy is trading mispriced mutual funds, and that is barely (1%) profitable becuase of trading restrictions and redemption costs...
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    Back Testing Technical Strategies

    How did you calculate transaction costs and slippage in your study?
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    IB API Portfolio Monitor tool

    If TWS is dropping your API connection (1100), there's an exception being thrown somewhere in your code (that will be fun to debug in C++)...
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    IB API Portfolio Monitor tool

    I'm curious how you calculate probability of a gain. What type of probability distribution do you use? How well does it hold up in real trading?
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