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Damir, could you elaborate on this? Thanks. Here is a point-by-point comparison of Matlab, Mathematica and others: http://homepages.ihug.co.nz/~monte/ncrunch.html Comments: This is from 1997. Anyone know of a more recent comparison? Mathematica includes somewhat more functions than Matlab...

Here is code that measures the overhead of various timer functions in windows: http://developer.nvidia.com/object/timer_function_performance.html On my dual Opteron I am seeing overheads of: QueryPerformanceCounter: 238 ns GetTickCount: 8 to 16 ns TimeGetTime: 80 ns Pentium internal...

I’m not trying to trivialize anything. Sorry you see it that way. I merely pointed out a paradox with what you are saying. If system calls are waiting for time-slice boundaries then the empirical accuracy tests would be showing much worse resolution. Any process that issued a lot of system...

The structure I see is much more defined than what one would expect from a population of automatons with different latencies. Maybe I shouldn't have called them clusters. A better term is structure. Part of this is pairs consisting of a trade and a change in the last/bid/ask price/size. The...

Thanks for the link. Seems like microsoft is adding support for ccNUMA, automatically optimizing cpu <-> memory locality: http://www.microsoft.com/whdc/driver/kernel/XP_kernel.mspx#EGAA...

If the windows kernel was waiting for time-slice boundaries (typically 10 to 15ms) then calls to queryPerformanceCounter would have a 15ms overhead. It is ridiculous to think that queryPerformanceCounter could have less resolution than getlocaltime! This source...

Damir… you are too quick to dismiss this as a phantom or some artifact of network latencies. If that were the case there would be a lot more randomness, evolution over time and differences between symbols. This is NOT what I observe. These patterns are consistent over time and across different...

Windows also provides a second clock, accurate to 1 to 10 microseconds via the QueryPerformanceFrequency and QueryPerformanceCounter functions: http://www.geisswerks.com/ryan/FAQS/timing.html The 10ms system time resolution (via GetLocalTime, etc) seems to only apply to certain versions of...

I agree with you mostly. My choices are partly due to the system designs I ended up with. These systems need to trade 24 hours/day. They see a lot of activity while I sleep, especially with EUR/USD. So there's no way I could supervise them all day long. Instead I rely on safeguards and small...

Nitro, Here are benchmarks for my system so far: Setup: Dual AMD Opteron 242, Tyan Thunder K8W S2885 motherboard 1GB OCZ Tech PC3200 CL2 ECC registered meory (4 x 256MB, 2 per CPU) Windows XP 64 Bit edition Tested with SiSoftware Sandra 2004.10.9.133 SP2B (IA32, No AMD64 code)...

That case you selected is part steel, part aluminum with an acrylic or lexan window. Those windows are a bad idea... purely for looks. They allow radio frequency interference (say from a nearby cell phone) and insulate the case interior, which is what you DON’T want in a case. Better to get a...

Surprisingly this issue is rarely mentioned. That’s why I ordered 4 256MB modules when I would have otherwise used 2 512MB modules. Answer #5 in the http://www.tyan.com/support/html/f_s2885.html FAQ describes what you are talking about. The “node interleave” mode orders all of CPU 0’s...

Is it possible to control each thread's memory bank affinity, in addition to CPU affinity? Or are the 64 bit NUMA operating systems smart enough to allocate memory appropriately?

Hi nononsense, Yeah, SMP isn’t all that great anymore. One month ago, before I knew about NUMA I would have never considered buying a dual CPU machine… too expensive versus the performance. Multi threading will help some of my code, but not the important stuff because it's memory bound...

Will you try the XP 64-bit beta? http://www.microsoft.com/windowsxp/64bit/evaluation/upgrade.mspx Personally I will not spend the $$$ on a quad unless I first get a dual and successfully optimize my code for the dual. Who did you buy from?

…bringing this thread up to the top. Ok, I see no takers yet. Here is what I have available right now: 1) The 36 month NYSE TAQ data described in this thread's first post, on the original CDROMs. 2) 23 months of tick data for 8000+ stocks (8/01 to 6/03) in a different format (not...

What noise? White or gaussian noise offsetting price? That you can trade because by definition the outliers will mean-revert and are profitable to scalp or counter-trend trade. The more serious type of noise is caused by participants buying and selling randomly. In that case price acts as a...

Almost all of my backtesting simulations require scripting and detailed revision notes. Matlab is highly effective for this. Can implement in one line of Matlab what takes 20 lines in C. Dynamic compilation also saves a lot of time. No scripting is used for execution, though it is possible...

0) I had 10 years experience with Matlab and C and wanted to implement various trained networks and subsystem selection models. Needed to execute a mix of Matlab and C code in real time, per-tick, at high efficiency. 1) 99% from scratch. Uses IB’s TWS API for data and execution. 2)...

Sorry, no I don't have any. I don't know where else to get it except from the NYSE. If you only need a few symbols, there are much cheaper sources. If you need a lot of symbols and only basic T&S (time, price, size), you might get it from Realtick (via real time or EOD-batch downloads)...