Recent content by ZeroSigma

But why FTT? I wish those predictions of yours were a bit more... green;) I mean how about the carbon tax option? So Lewandowski is the new recruit in the Tobin Tax International fight for social justice? Haven't those guys forgotten that the UK taxpayer has just made more billions on their...

Call that a tuition fee in the university of trading. The anecdotal dropout rate among short term traders is amazingly high (in some estimates reaching 100% as the time progresses;), but mostly among short term ones, and mostly because of the easy availablity of credit (called leverage or...

... that can be a distinct advantage;) But only in a general case, not in this one;). Simons incidentally seems to be expanding his operations even further or possibly suffering from high personnel turnover rates (and I know exactly which is the more likely option). Attention all Quants...

...the evidence of a widespread (in the US) use of the liquidity holes technique by HFT bots in order to obtain price improvements at the entire spread level. Your slower bot falls into such holes whenever it believes the quote it sees, and whenever a price improvement is used without...

From the perspective of U.S. retail traders that's probably true, given the amount of competition, which has completely commoditized U.S. arbitrage spreads (made them resemble single-exchange contracts trading with constant interquartile ranges of the implied bid/ask spreads all day long, at...

.. looks like your thesis covered selling (yourself) short... Aren't you a bit overqualified? Ever considered relocating from India (or wherever it is that makes you so unreasonably reasonable)? You can make not $500, but 500 times more! Don't dump into this market, please leave consulting for...

So "Finance experts call for 'Tobin tax' on foreign exchange trades" Who exactly? I notice experts don't have their own publications, but they do quote all the usual suspects: Baker, Pollin, Spahn, Spratt, Schulmeister et al. - a pretty comprehensive gathering, and yet ... their total impact...

Remember how long they have resisted providing you the opening quote? Well, I'd rate this volume display 'bug' as a minor inconvenience (on par with the separation of size and price events or the 1 Hz downsampling of charts and price history, or the 10 Hz downsampling of the 10 GHz market data...

It is quite likely that the calculation formula used by IB is more sophisticated than we think. Order type and its special fields may be factored into the excessive messaging calculations. It would be sensible for instance to exempt all actions performed on hidden non-native orders (i.e. those...

Good to see the European Sir Humphrey on our side (perhaps unsurprisingly, see e.g. http://www.elitetrader.com/vb/showthread.php?s=&postid=2755403&highlight=Semeta#post2755403 ). It will be much easier for him to oppose the FTT on grounds of easy circumvention now that the rest of the world has...

At the risk of sounding shill-like: its not their fault... those 3 modifications (and 1 submission) per 1 execution are a tragically low volume ratio (of 4:1) for a contract like ES... (clearly a monopoly markup in comparison to the less popular contracts) ... and once we are at it - CME fees...

I've recently learned to my rather innocent surprise that as a market maker you can turn over 10% of the exchange annual volume and never need to show up on top of the order book... And here we have Timber Hill - the global market maker and IBKR - the broker-dealer being in the same hands...

That would create perverse incentives for the very thing social engineers want to curb: gambling. The size per order would increase, directional speculation will be preferred over hedged bets and arbitrage, the use of low-market-impact fragmented orders like VWAP would decline, the use of...

"George Osborne says he wants to look at stamp duty on shares". Source: BBC News [http://news.bbc.co.uk/2/hi/uk_news/politics/5289954.stm ] A uniquely British tradition is the consistent failure to keep their promises to abolish transaction taxes (aka Stamp Duties). For instance...

Surprisingly many. Error-free execution of complex orders under conditions of human stress, when most true opportunities occur. The synergy of the entire traders rulebook analyzed in real time and kept into the future, irrespective of the quality of human memory.. Scaleability over many...