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What ever happened to belief in free market economics and the concept of "buyer beware". If someone puts their money into products which could lose value (or be worthless to begin with), they should be prepared to accept responsibility if/when that possibility happens. The responsibility for...

I was looking at the historical levels the SEC fee. Apparently the period of 0.000025~ wasn't too bad compared to some of the rates pre 2005. I was wondering how market makers function with these fees in place? They took up a large chunk of the rebate when it was at 25$ per mm. Does anyone...

has anyone dealt with the issue of TopOfBook data freezing (no longer updating) through the STI API? im using it to build market bid / ask spreads (though im not sure if thats the best way to do it).

qft :P or like saying any business needs to gimp down their technology or practices because average joes cant afford to compete with them on the same level. Grr US Airways. Their ability to 'buy' and 'fly' planes really hampers my ability to extract profit from the transportation market. So...

Its more like saying people shouldn't group drug dealing with pharmaceuticals. I do HFT and I most definitely don't do any front running (ie. using any information which isn't public knowledge). IMO front running is a form of insider trading (trading with knowledge which hasn't been made...

i dont think you read my post. my issue is people grouping 'front running' with the term 'high freq trading'. like they did in that article. i think anyone would agree that front running should be illegal (or at least not supported), in the same way insider trading is illegal. its like...

what you call 'rip off' the rest of the world calls 'mark up'. its something every buyer and seller does. no one buys and sells something unless there is a little extra money to be made. the more high freq trading going on -> the more competition for the profits -> the smaller acceptable profits...

arbitrage serves everybody. its the reason why you never see gasoline futures costing less than the oil it takes to produce it, why cross listed stocks never get priced completely differently. it ensures whatever you are paying is somewhat close to the fair value at the time. without high...

I don't understand why High Speed Trading is being grouped together with front running. One practice is illegal (or should be), the other offers a much needed service to the market (liquidity + arbitrage to fair value) at a small cost to traders who want to use their service. Seems like a lot of...

things I didn't know "democrat" was a synonym for.

Write an option system (doesn't matter if its profitable or not). Backtest it only using the first hour of trading, then backtest the same system from 12PM to 1PM EST. I'd bet you'd see a noticeable difference in the performance, whether it is better or worse would depend if the system likes low...

There are implied 'edges' with trading specific times of day. What time you should trade really depends on what type of system you trade, ie what types of markets work best for the system. Simple backtesting quickly shows that market conditions vary depending on the time of session...

I was wondering if any of the more experienced STI Developers could answer a few questions for me. I am running into messages per second issues testing on 5 symbols, ideally I'd like to run over 100s of symbols, so I need to make things more efficient. 1) What is the best way to get the...

yeah, if you dont reverse the costs in the profit calculations (slippage, commissions etc).

Not rounding your orders to the nearest 100 seems like a bad idea. Might be part of the reason why you are seeing such high slippage.

Though there is an advantage to running separate systems on top of each other, whether in a single account or not. As long as both systems are proven independently profitable (vastly independent equity curves are even better).

"Money can't buy happiness, but it sure makes misery easier to live with."

Agreed. the results of testing random entries would not apply to a different system with 100% certainty. I was just using it as an example of why I want to compare the two orders without going into the specifics of my system. The live testing I am doing is using my system. Though I do think...

I think they are comparable. I wouldn't say its a matter about whether I can be patient or not. Since I know both orders will be filled. What matters is the expected price on entry. What I am trying to figure out is the expected slippage on both order types given random entries on SPY throughout...

Iv recently started using Sterling's Req Top of Book as a data feed. I realized today around 3:10 that quote updates had stopped arriving through the API (on both SPY and MSFT). Has anyone had problems with this?