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http://www.programtrading.com/fvalue.htm

Wouldn't worry too much about the sharp ratio of the individual systems. When you combine them all together you should end up with a sharp ratio in the 1.5 - 2 region.

I would quite like to see it succeed as an exchange but with the business strategy they appear to adopting it doesn't look too likely. They need to go after all the pit traded contracts by offering a viable electronic alternative.

I think it must be some sort of German business logic; attack the strongest competitors head on at their strongest point.

I don't understand why they are battling out with another electronic exchange with established product lines. They are just not offering enough to pull liquidity away from the CME. They ought to go after NYMEX which is a sitting duck whilst it is backing pit trading. Offering 24 hours...

The new CME rules will not have much impact on this sort of algorithmic trading. The message ratios are high enough that the majority of tranching programs will not need to be modified.

O.K but could you make your ratio vary for each product to reflect this difference? e.g 5 for ED, 8 for ES e.t.c Would it be possible to have a small quota of free modify/cancels per day? e.g first 10 or 20 modify cancels are not charged. This would make sure that traders that put in a few...

So what are the other broker alternatives? The ones that offer CME trading via API that I know of are MB Trading and eflooftrade. Will need to find out if these two have cancel/mod fees. Does any one have any experience of API trading via these two or any suggestions for other brokers?

In this case, I don't think the CME has stacked the deck against the little guy at all. The new rules implemented by the CME are more likely to hit the big automated prop traders. However, the way IB has chosen to implement cancel/modify fees will hit small traders. Hence, to avoid the...

LIFFE has done something similar. A lot of arcade traders using auto-spreaders were hit with big bills because they did not register and were sending vast numbers of messages to the exchange. However, I think there is a limit set so that anyone sending less than a certain number of messages...

It's the days you don't get filled that are going to be the most annoying. All you have to do is put in an order move it a couple of times and then cancel it and you get charged on a day when the market did not present any opportunities. This sort of example is not market abuse and is not...

O.K but why not just pass on the message limit to traders? This seems the fairest thing to do otherwise traders using IB will be at a potential disadvantage to traders using a direct link to globex. An arbitrary 5:1 ratio seems to strongly disadvantage IBs own customers. If IB just...

According to the CME the limit they are imposing is 25 messages for each execution which seems reasonable. So if anyone from IB is reading this thread, can you explain why you have set a limit at only 5 cancel/modfies per execution? This limit is low enough to start to cause problems to a...

The unscented kalman filter smells a bit fishy to me.

dChang0 www.tickplusdata.com has level 1 quote + qsize + transaction data for these contracts. If you are looking for level2 order book rebuild then this might be hard to find.

try www.tickplusdata.com