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Liquidity isn't really an issue in itself, it's just to going to be a measure of capacity. Like someone else pointed out, the reason why premiums exist across exchanges is due to lockups. Also no one here has said anything about transaction cost either. If you plan on crossing the...

Depends on how competitive the product you're trading is. Equities you'll likely need something done in C++ at the minimum using FIX in order to be competitive, a consolidated feed won't be helping your cause either.

I mean I think it's fine, esp if you're not doing HFT as event driven will tend to get computationally expensive as the number of strategies you're running increases. The implementation on the open-source side is just poor IMO. They mostly use fixed timers across the board, whereas I think...

It's a bit more complicated than this, even for a non-HF system. I think in general, one should be first aware of common design patterns for ATSs. Batch Pattern (simplest) - Basically you download historical data at some point in the day, re-run your models, and if your trade conditions are...

I suggest just installing cygwin (if you're using windows), then using pip/easy_install for all module installs. Then use ipython for your interpreter/ide.

I don't understand why people keep saying python modules are difficult to install. It's incredibly simple just use either pip or easy_install. And the code is far simpler than C++ or Java. I think for a basic OMS trading EOD strats, Python would be great.

FWIW I'm not a software engineer by profession or training. So this is more or less what I've hobbled together from friends who build automated trading systems for a living. Operating system should not matter, just whatever is easiest given your broker API. If milliseconds matter to...

My 2 bytes.. From what you've described, it's unclear what you're trying to achieve. Are you trying to build a research framework, automated trading system, or both within the same framework? It appears like OP is trying to explain basic functionality of the API. What you're asking with...

I just use java swing for gui w/ jfreecharts and d3 for visualization. It's pretty straightforward.

Missed this question, but the answer is that it depends on which venue you're trading on, but off the top of my head. ARCA - Post No Preference Blind DirectEdge - Hide Not Slide BATS - Display-Price Sliding That way you'll be able to maintain order priority and not get hit for taking...

This one is no secret, so I'll go ahead and post it for those who don't know. For VIX futures, if one is so inclined to, someone who isn't me would blast the strip prior to final settlement thus skewing settlement calculation.

All pairs are multi-legged systems, but not all multi-legged systems are pairs. It's the same in principle but the uncertainty of fills increases with the number of legs. Suppose you submit marketable limit orders for both legs and you're able to hit the bid on SPY but you either miss or get...

From what I've found you rarely want to simultaneously send orders out for multi-legged strategies which require limits. Suppose you're trading pairs, you basically want to leave the order out for one leg, use cancelReplaces to update the orders. Then write a listener waiting for an execution...

I think this conversation is deviating from what the OP had originally intended, feel free to PM me.

What's your definition of simple? Mostly stat arb (includes vol arb), liquidity peddling, and some small time repo plays.

Maybe something like Duda & Hart for ML or Kay for DSP, obviously depends on whatever subject you want to read about. It's worth pointing out though, that there's no magic bullet. I don't know if you come from a traditional scientific/research background, but that's kind of the approach you...

I would be reading more seminal texts on these subjects, rather than something that explains how to apply specific complex methods to trading, then form your own application/conclusion. Sure there are useful application specific methods that you could always learn (e.g. interpolating a yield...

You're effectively trying to eat the lunches of market makers here. The issue is, is that you need enough capital to blow through multiple levels of the offer. Then you have to get the MMs to be willing to quote enough size for you to offload your inventory. Fairly similar to what these...

You need to consider more than just commission in your transaction cost analysis. You're going to want to also consider market impact, slippage, and signalling risk. Look at this way, if you're experiencing $.01 slippage on 10k shares due to slow execution time then paying $30 to get the...