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so what happened to that SLB trade? maybe i missed it.

y - (z % y) + z where: - y is your higher interval number (3min, 5min etc) - z is your 1 min bar time output will give you your higher interval bar time. then just do the high/low comparisons as jeb mentioned on each 1min update.

apologists? no. realists. the fact of the matter is, in this thread there is a big misunderstanding of the scope of how entrenched algorithmic trading is in modern markets. what's being incorrectly labeled as "hft manipulation", is actually a fundamental change in market microstructure that...

candletrader, computers are tools used by humans to increase efficiency. their primary utility is calculation and automation. computer useage in the markets is no different. the reason you were able to trade profitably in the timeframes you posted, was because the inefficiencies at those...

although i trade equities not optioins, the same principles apply: the market making algos you're seeing are maximizing the premium they receive for any market orders in an inactive market by sitting at the widest competitive price possible. however, when you place a trade, the algos...

@377.... it's a logical theory, but a couple points. fix can do at least 2k orders/sec. my last executing broker with a very inefficient implementation could push 1k per second no problem. real hft firms though aren't using fix. they're writing directly to the exchange specific api's...

i think the images imply a few things: 1) there are some firms out there with some pretty incredible resources doing some seemingly idiotic things. 2) there are some firms out there with some incredible resources that are doing some seemingly clever and/or manipulative things. 3)...

it's not a question of performance, it's a question of economics. they will beat them with low-end marketshare, not with hpc cores. intel's sandy bridge architecture is going to meld cpu/gpu on a single chip. targeted to medium to low-end users this will add some HEAVY competition to nvidia's...

nvidia's new fermi board has around 450 cores. you can fit 4 in a 4slot pci server. so 1800 highly specialized cores vs 24 general purpose. if you have problems that are highly parallel and aren't too memory intensive (ie trading problems), it can be worth it to muck around in specialized code...

agreed. it's amazing, the size of the shop, without a basic trade frequency check.

for someone intent on schooling the op, you seem to be pretty confused as to what a clearing firm does.

no, definitely incorrectly added a 'T'... on your part. your posts on this thread have zero relevance. hf = hedge fund. hft = high frequency trading pellegrini runs (well, now ran) a macro hedge fund. about the farthest you can get from high frequency trading.

wondering if any of the guys at the beginning of the thread are still using these... riskarb, any '5 years later' comments?

exactly how much are CBSX firms 'highly levered' and what are you basing this statement on?

what if the desired spread is not reached and the target price never returns? if the answer is don't take the trade, then you'll be faced with adverse selection. there is usually much more involved in decreasing slippage and not at all trivial.

you know fat, your championship might actually have some value if you were to structure it based on risk adjusted returns. it's funny that almost all the comments in that article say, 'well, in my real trading i do this, but to win the atc i have to throw caution to the wind and do this'. pretty...

they are.

theoretically, it should be indepedent, but in practice it's 100% dependent and will screw you. i've seen the exact same behavior countless times and am currently researching alternative rdp clients. current workaround is to have rdp off when running anything time critical. i've spent some...

i don't know about you, but the architecture we run can turn off parsing at the symbol level. cusip is usually one of the first bytes in a msg. you shave a non-trivial number of cycles ignoring, especially since most of the heavy lifting comes afterwards. 5k updates per second x 300 symbols is...

no, if you know when and where a quote flood is coming, you can easily avoid processing them.