Search results

Suppose you have a trading model that generates 100% gain per year. without profit tax, after 5 years, your total gain is 2^5=32 times; but if you pay tax, let's say, it is 50%, after 5 years, the total gain is 1.5^5=7.59. You can see after 5 years, without tax, you make 4 times more money, and...

colocation is a solution of network latency. if the strategy is timing critical, a latency around 10ms is lethal, then colocation is a must. otherwise, you have to build a brokerage house yourself, which is not practical for most of individuals or small hedge fund firms.

excellent! thank you a lot for sharing with us, few of us in the forum have experience of yours.

thank you. one more question, hope you or anyone can shed some light. My program receives level 1 data from nasdaq, sometimes, on level 1 data, there are level 2 information from exchanges like Bats, which is normal. but sometimes the timestamp of the level 2 from bats is delayed 5 min. what...

On IB TWS, there is a trading venue called LAVA, when I send order via LAVA, on Genesis level II, it shows both FLOW and ADFN updated? I wonder if they are the same stuff?

excellent posts. thankyou, rabbitone. but in the case of high frequency trading, the latency is around microseconds, separating trading and database on a computer outside the subnet of the colocated serverr does not seem plausible. When timing is not so critical, as Jerry mentioned, it is simple...

make sense. I have a friend working for GS HFT group, their latency is around 10 microseconds. though they make billions, they do not have strategy not publicly known.

the major benefit of colocation is speed. if you colocate server with several brokers, and request different server to communicate, it will erase the speed advantage from colocation.

it looks like reverse engineering is not that complicated. so does it mean very profitable hedge fund algorithm will never be colocated with the broker? in that case, if the hedge fund has to build data line to the exchange, it could be too costly.

If you colocate the server with your broker, for sure he can have your executable code that generates trading signals. the question is if he can reverse engineer your executable.

besides system reversed engineered by your broker, which is a concern for anyone no matter he has colocated server or not. the major concern of server colocation is that the IT person in the broker company could steal your binary code and reversed engineered it. in that case, generating phony...

If the trading system can be reverse engineered as you said, the method you use should be able to design winning systems for example, for hind-sight, we know the best entry and exit for trend following. given those entry and exit time series, can your algorithm decode the trendfollowing rules?

you can filter out bad ticks by only accepting tick within the inside quote. any outside ticks could be considered outside executions.

in my hypothetical case with inside quote on bats as 40.11X40.12, can I post an order to bats to sell at 40.11 where the order is waiting to be lifted by others instead of my hitting the bid on the book?

thanks for your input. it makes great sense.

goldman makes billions from rebate trading.

even that happens, there is no risk free money. for example, there has to be someone willing to hit your offer, or your bid at the same price willing to be hit by someone too.

there are some ways to hit 45.11 without removing liqudity. for example, you sell the order to another exchange which has an ask price 45.12. but i want to know if there is a way to send to the exchange with best ask price 45.11 while not hitting the bid at 45.11.

Suppose SINA is trading with inside quote 45.11 X 45.12 at ISLAND, I would like to short the bid, but do not want to remove liqudity. Can I send a sell order at 45.11 to island, while instruct ISLAND to make my order sitting on the book waiting for the bid to take it?

Jerry, Since you are veteran programmer, possibly you have idea how to load an encrypted code into memory and decrypted it there and execute without writing temporary file on hard disk first. Is that possible and how difficult to do it? I guess this could be one of the best ways to protect...