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I used the two (direct feed/ public feed) interchangeably. Any changes to the orderbook due to places/cancels/trades are disseminated to everyone that are subscribed to the market data feeds and are thus public. The market data feed and executions are on different links and I am referring to the...

Not sure which part exactly you are referring to but if it's this one: Then this just means that once you receive your fill you should also see it on the public feed within the same millisecond. Executions and market data are on different links so they're just trying to better sync the two...

Again, quite vague especially when you look at the other more recent press-release: http://www.enyx.fr/2013/06/accelize-and-enyx-deliver-a-fully-integrated-fpga-accelerated-platform-for-ultra-low-latency-trading/ This is just latency measured from and to a network card via the FGPA and...

That is not a loophole (referring to the article's headline). Of course, you will receive fill messages when your limit orders are hit before they appear on the public feed. The link you provided: http://www.b2bits.com/trading_solutions/direct_exchange_access/cme_group_direct_access.html...

Again which latency and exchange are we talking here? I am specifically referring to CME and the roundtrip time it takes from a colocated box in Aurora or Equinix/ Cermak (will be a bit higher) to CME's matching engine and back. I haven't measured this recently, but last time I checked it must...

120 microseconds round-trip latency on CME and/ or Eurex Futures? I dont know ORC or RTS but highly doubt this is achievable especially going through a 3rd party technology stack. I'd say best you can do is maybe 1.5-1.8millisecs average RTT (ie sent to ack) on CME for instances using TT...

Don't mean this to come across offensive, but it seems a bit weird to me that coming from one of these prop shops you'd be inclined to go down the MBA route? It's certainly not unheard of, but assuming you come from the sciences (CS/maths/physics/engineering) this seems like an odd choice...

Since you were asking for maths/ stats books, this is one of the best introductory stats/ ML books IMO: http://www-stat.stanford.edu/~tibs/ElemStatLearn/

How about each stock [object] holds a reference to a container/collection of baskets (where it is a member of) where each basket itself is a container/ collection of references to the stocks? So whenever a stock's price updates you enumerate over the basket collection/ container and call a...

If Sterling's feed is not encrypted (which I dont know) then you could just use the Wireshark API to scrape it off the network card.

Good point. Can't argue with that. Don't know much about some of the exchanges on OPs list, but I do know that the exchanges' latencies vary quite a bit and was hence interested from that perspective.

Disagree on that part. For at least one of the exchanges in OPs list I am very doubtful that you can achieve round trip latencies as envisaged by OP (unless something has changed exchange side from late last year when we got some ballpark numbers from the exchange tech reps).

Yup - would be curious about that detail as well. Are we talking internal latency or round trip latency? Measurements taken where exactly?

time priority is maintained in the list, but because I need to make assumptions as to where cancels, mods affect the queue I found that a map allows for o(1) lookups of specific order qtys that need to be removed as per my queueing model. As a result the cancels/mods aren't always o(1) - only in...

Yeah it's hard to compare then, as I need to make a few assumptions as to where and how cancels, mods affect the queue and how I represent the data. I suppose with ITCH you will know exactly as it provides the order IDs.

Not familiar with the NASDAQ ITCH feed - is it order based as in you know the composition of the queue exactly? Personally I am more familiar with the CME FIFO markets where you need to infer queue composition and the more accurate you want to be the slower it'll be. In regards to data...

Most crucial issue is to have the right data. If you're reasonably good at coding it's not that hard to build a properly functioning orderbook simulator to test your strategies on. Yes - modeling queue position is crucial but I found you can get very far and accurate with very heuristic level...

Not sure what your question is but provided you have the right data, a good understanding of what your latency is and a decent simulator, your fills can be modelled quite accurately.

Nice presentation - it confirms what I've been doing for a few years now in terms of how to best represent/store financial data in particular full OB depth and trades data. Plain old binary files stored in a columnar manner - one file for each column be it Time, Depth Levels, or Trades. Fully...

If you don't mind me asking, do you use "physical/ tangible" risk factors or latent ones (or a combination of both)?