Search results

There are plenty of off-the-shelf products aimed at the institutional market that might be worth consideration. For example, ORC, RTS Tango and Apama to name a few. Depends on your budget and needs but it might be worth going for something better than openquant.

Sid, What were you using whilst working for the banks? Why not just use that?

Do UBS take accounts that small?

I generate and use random data quite a lot to provide a base-line when testing new analytics. Superficially, i.e. by casually observing charts it is difficult to tell the difference between real and artificial random data, especially on a daily time frame. Analysed in more detail they are...

This happens and is just one of the reasons that systems tested on back-tested intra-day bar data never quite match real-time trading. Small shifts in timestamping can create quite different trading patterns.

Could it be that you just have a faster computer??

Dead-lock is quite rare and easily avoided by design. I have only ever had problems with it once with a GUI call. I have never really used more than a few threads, typically one for data, one for returning execution messages and others created for history fetches and analytics as needed. I...

Vista uses CPU cycle counting to try to more evenly distribute resources. However, scheduling still uses the 10-15ms interupt so if the CPU is busy then that pretty much defines the wait to get some CPU resource. A hundred threads is a lot. Does this really offer any advantage over half a...

FutureScalper Have you done any work on Vista by comparison? There are meant to be significant kernel improvements but I have not had a chance to benchmark it yet. Linux seems to do abetter job of scheduling with latencies in hundreds of microseconds readily acheivable. squeeze

I am not sure why Java is so slow as C# is also managed and seems to be on average, just as fast as C++ in all the benchmarking I have done. I have run tests on the C# garbage tester and found it does not get in the way of real-time performance at all. Process scheduling latency under Windows...

Good advice. If everyone followed it performance would be better and fund blow-ups would almost never happen.

Bears still allive and kicking.

I have had a play with this software and like it as a simple backtester. My only gripe is that it is very slow, especially testing on lower resolution e.g 5-min bars. It is much slower that Tradestation. I guess this is down to the interpreted language. Any chance of pre-compling to speed...

It will be interesting to see whether the 20% increases or falls. The markets are becoming more efficient as more electronic systems go online and so my guess would be that the 20% may even fall this year. Automation makes no difference other than giving one individual the ability to trade...

Quite a number but it depends how much you are willing to spend and your exact requirements in terms of delivery/latency e.t.c.

Never really liked esignal charts but still have an old copy of 2000i running. More interested in basic accuracy than anything else.

Doesn't surprise me. To get anything that's right you normally have to end up spending a lot of money on professional products.

All the esignal data comes from Comstock and tends to be a bit rough. DTN get most their data direct from the exchanges but the data quality is also pretty rough. IQFeed is actually surprisingly reliable in my experience and more reliable than esignal. If DTN were to put some effort in...

FIX has a better defined state model than the TWS API and the orderID chaining allows for safer modification of orders. For example the if you send a modify to TWS and get a fill status back you are not sure if the fill is against the original or the modified order. FIX does not have this...

It is all described in the FIX integration manual. You can have concurrent FIX and TWS sessions for the same account. Orders placed via FIX show up in TWS and can even be cancelled from TWS. Makes sense to do all order routing via FIX and use TWS for housekeeping.