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I downloaded this paper before and it struck me as pretty bad. The author talks about "high frequency" trading and using "bars" in the same paper -- are they joking? If HFT firms used "bars" rather than tick data, my guess is they'd be out of business literally within a few hours. The fact...

QuantHouse, Thomson Reuters, Interactive Data, or Activ may be able to help as they either own or have relationships with the private network providers and (I think) have servers globally. My guess is that they will charge you in the realm of thousands of euros per month for this type of...

Interesting -- I've been wondering how the HFT's are doing, now that markets seem to be becoming mercilessly efficient in the short term. IBKR is, by my reckoning, one of the largest (as well as one of the original) HFT firms -- the IB brokerage was seemingly tacked on to their existing HFT...

If you've got a budget in the 000's, you might try NxCore -- http://nanex.net/. They provide full feeds of NBBO/Level 2 for various markets, accessible through their API which also works for real-time quotes (which of course you'd have to learn).

You're completely entitled to your own opinion as to what "fastest" means, but in my opinion a well-OC'd unlocked Gulftown beats all comers, including of course any Nehalem Xeon, all of which are locked.

Not necessarily. Xeon is simply a marketing name. It has only a vague relationship to the architecture, L1/2/3 cache size, socket count, core count, and (believe it or not) the gigahertz speed of the chip, all of which strongly influence the "speed" of the chip, and which are implied by the...

If you want the entire OPRA feed and are willing to pay for it, NxCore offers the OPRA feed (best bid/offer for each of the options exchanges). It costs a few K per month, if I'm not mistaken. That's the most info that OPRA gives, but I think that Activ will give you even more (e.g...

That's funny; mark of a truly good trader, bravo! These payment-for-order flow relationships have got to go, and the SEC seems to agree with me here although is meeting with resistance. Why is the retail investor going to get a "better deal" when some backroom deal has been made between...

Hi TraDaToR, I have enjoyed reading your posts over the past few months, especially given your local perspective on European issues. Interesting that you are going to get to spend some time in the US now! I am not from Chicago, but have spent quite a bit of time there. I would suggest...

Sounds very questionable to me. There's no way for me to know the details of this, but I personally would never fork over $5k based on this info. My impression is that systems that really work are rarely, if ever, sold, and that they are mostly used to trade internal funds or hedge funds as...

If you're life wasn't over before you quit trading, then it certainly isn't over after you quit. Your current situation must be painful, but trading is not all it's cracked up to be, even if done successfully. I'm sure your relationship with your sister(s) is a lot more valuable than any money...

You'll probably have to investigate these on your own as probably very few people here use them; my impression is that these are primarily buyside-marketed algorithms -- they might be termed "HFT algorithms for the institutional buyside" (:confused: ). I've seen (but mostly ignored) a lot of...

This is due to "Broker/Dealer Internalization", "payment for order flow", and "dark pools", where such prices are allowed unfortunately due to their having been sort of grandfathered in. I disagree with some of the earlier, cynical posts; exchanges and the SEC are interested in combating these...

Very well put, Big Outside Bar. This is not a closed venue like the old floors; it's open to anyone who can compete and place orders. And that competition has narrowed spreads dramatically. As for the (wannabe?) traders on these forums who can't or don't want to compete in an increasingly...

Really? If you could really get such gains on a daily basis, by my rough calculations you'd be able to trade your £15K into $2,870,000,000,000,000 on the metals contracts alone within one year using just a retail account, so why wouldn't you just do this rather than relying on prop or someone...

Interesting story, Ghost of Cutten, thanks. The difficulty in guessing the bustability of a trade a priori (regardless of how "well defined" the rules are :D) might also have contributed to a couple of the really high freq shops pulling out of the market on May 6 -- very easy to go bankrupt on...

I largely agree with you, NY0BScalper -- although I'm definitely not a fan the many proprietary feeds popping up in a seemingly ever-more fragmented marketplace, I don't think the information leakage described here is really such a big deal, as a lot of this information can be...

I think that maybe QuickFix can do what you're asking, e.g. see: http://www.quickfixengine.org/quickfix/doc/html/testing.html Just out of curiosity,what broker are you using for this? There seems to be a lot of variance in how "complete" of a FIX implementation a given broker/venue offers.

I think that a lot of the debate here is disagreement over what's defined and what isn't. Clearly, the rule itself is defined, as are the guidelines, but specific bust rulings need not follow the guidelines. This becomes empirically clear when one exchange busts a trade of a certain category...

S2007S, I think you've got a very good point, even though I generally agree with the "individual circuit breakers" idea. One alternative would be to halt stocks with a bid/ask spread above a certain level, determined by some formula on a per-stock basis, then re-opening them later. But then...