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Sounds like a good environment for the developers in your shop. Presumably you are in a quant hedge fund, market maker or similar (?) I am writing from the point of view of a global investment bank (blah blah), as a pier and competitor to GS. The environment is as I described. No BS. A...

Yeah actually. I see it every day. Almost every HFT coder is an arrogant nerd sitting in a back-room cost center, far enough away from the business to not interfere, nor stink up the room with their often lack of social awareness and poor personal hygiene. Worlds apart. The full article gives...

“Did you take the strats?” asked one (meaning Goldman’s trading strategies). “No,” said Serge. That was one thing the prosecutors hadn’t accused him of. “But that’s the secret sauce, if there is one,” said the juror. “If you’re going to take something, take the...

Linear combinations that are not very horizontal & require pop corn.

new exchanges new dark venues new order types new products new regulation How can you stand still?

about 1 per month variations on core themes

By large things do you mean 1 lot of futures is too big? If so, what about using .. etfs.

Re leading indicators: Sometimes you can get a bit of a visual idea of lead/lag on a tight pairs trade. Plot both legs on the same chart, one with an offset to synthesize the other, and, some of the time it is evident that one is leading the other. Maybe it's a big fish unloading one, while the...

At max lot size, what would your price impact would look like?

c++ , c# = back office ruby, R = on the desk

Ok, so the commodity is super secret. Whatever. Plus I never heard of a commods trader ignoring the basis. That's just nuts. Good luck with the backtesting.

Apologies for sounding negative, but I think you're missing the point. You can't trade the prices you're dreaming up, and, any analysis will therefore be misleading. Plus, as someone said earlier, the contango/backwardation will be entirely messed up with what you're trying (and failing) to...

This could get more simple if you tell us what commodity you're punting.

Learn how to code yourself. Then all the cost is gone.

Look for an ETF

Ok. I'm going to take a shortcut here, at the risk of sounding like a dick... If you want a continuous price, use an the index, or spot. Continuous futures pricing is untradable pricing. If you want to trade futures inter-month model difference, not a back propagated adjusted untradable price.

Take a look at the guys who punt outright deltas, then check out the spread traders. Maybe report back on the differences.

I know a bit about this. I think there may be a shortcut in just analysing the difference between the price of each contract. Maybe post a bit more about what you're trying to isolate.

A wash trade is trading with yourself. Happens easily when you're running two strategies that don't talk to each other. Great for the exchanges, as they will still bill you. Kind of dumb for the firm as they could have just not done that. "Just" is months of work, however.

"Automated Trading Desk" ha ha ha ha ha. Citi bought this, their IT strategy geniuses promptly f*cked it, and they still can't figure out how to make any money appear. Head ATD quant left as soon as his contact allowed it. A nice trade. On his end. Nothing's broken when it comes to HFT...