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If I understand you correctly, that's quite a bit more interesting than what I did, which was to use only the API calls rather than intercepting packets directly. My "Sterling API server" uses sockets just to communicate in both directions with my bots, and receives/sends info to Sterling on...

The C++ examples are minimal, so I suggest using VB instead (which is what I did). Even though I've barely ever worked with VB, this actually worked out pretty well as the Microsoft editor for VB (coupled with a lot of Google searches) makes it fairly easy. On the other hand, there are a...

TM_Direct, Would you mind sharing which clearing firms you feel are on the edge? Or maybe a rough, subjective ranking/grouping (by risk) of the clearing firms typically used by traders here? Thanks!

The focus in Switzerland being private and commercial banking, you might be surprised at how small the hedge fund world is there as compared to NYC/London/Chicago/etc. That said, I have seen quite a few Switz-based jobs posted open to internationals in the quant field (not necessarily for hedge...

I can't see anything but a secular bullish trend for oil into the indefinite future. I'm not saying that $127 oil is going to hold now, or that it should, but rather that $127 is far too cheap for the long term, unfortunately. There's a finite supply, and once it's used up, it's simply gone...

My bad..I was thinking of a different IMC! :eek: It appears challenging, in any event! Good luck to those taking it.

What country are you in? In the US, that seems to fit the description of an "investment club" almost exactly. If that's the case, just Google that -- there's an enormous amount of info on them since they're very common.

Forgive my naivete (and curiosity), but is this a joke? I can't imagine a management consultancy asking questions of that level. Where's this really from, a graduate analysis course?

Batman28, Very informative post, thanks! I agree with almost everything you've written. The only thing I think we were disagreeing on is how much is available in R, and I think I understand why; I was referring to stats *in general*, whereas perhaps you're referring to stats that are...

WealthLab, Ameritrade StrategyDesk, and CoolTrade all seem to offer this. I can't comment as to how good they are as I haven't used them. A number of lesser-known, third-party products/open source projects exist as well. If you Google <favorite broker name> and "back test", you'll get a lot...

The ioDrive the OP refers to isn't what most people would call a SAN card -- it's a card with a bunch of flash memory on it, touted as a "replacement for a SAN", which of course is only true if the SAN is relatively small. Moreover, it may have a limited lifespan, as flash wears out (this...

I've run into some local amateur traders who used Advanced GET and they didn't seem to be doing well, in the long term. They spent thousands, or even tens of thousands, on various software/seminars (not just GET, but other stuff as well), then had only a few grand remaining -- a capital pool...

I agree that R won't do well with huge data sets. R's relative slowness in such cases has very little to do with the actual floating-point computations -- rather, it's spending so much time shuffling its native data structures. R's data structures lead to really nice representations in many...

I've heard that Schwab's clearing costs are not competitive with the true high-frequency shops (Genesis, Assent, RedSky, IB, etc.). Similarly, there was no technical reason (with their CyberTrader/StreetSmart software) for them to ban basket and API trading; from what their staff told me, it...

The answer depends on what volume you're trading. Here are some suggestions that are probably most suitable for "moderately high-volume" traders, e.g. 2 million or more shares/month: Genesis has at least a couple of API's. Assent has one, too, although it's Microsoft-based and Byzantine...

I can't speak to the quality difference between the Dell computer model names, but I will say that the Q6600 is an excellent chip, PROVIDED you actually use 3 or more cores a nontrivial amount of the time. Running one trading interface isn't going to do it. (You'll be lucky to ever even max...

I'll venture to affirm that; it SEEMS to be working fine for me on ECN's.

Shreddog, You might be interested in knowing that you CAN in fact modify orders through the Sterling API. The command is ReplaceOrder, and it's in the latest docs dated Dec 26, 2007.

It's actually pretty easy to do -- once you can decide on a universal interface. Then you can write all the "strategy code" in whatever language you prefer. What would be REALLY nice, from my point of view, would be if trading platforms provided a FIX-like interface on all of their apps...

Hey Shreddog, Have you considered coding a little server for each brokerage's API that creates a common interface for all your brokerages? That's what I've done, as I can't imagine coding VB for this brokerage, Java for that, C++ for the other, etc., etc.... The lack of a modify or...