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The vast majority of shenanigans could be eliminated if orders had to stay live for some minimum amount of time (say 1 sec), and if all trades had to be in whole cents (i.e. no sub-pennying or internalization). There is no need to add a tax to achieve a cleaner market.

If you rethink "curve fitting" and realize it's about understanding how your systems operates in parameter space; there's a lot to be learned from extensive optimization/curve fitting/or-whatever-you-call it. In general, I trade systems that do well over a large range of SIMILAR instruments...

I think there are two types of analysis that are valuable. You already mention some calculation of deviation from a trend/mean using stdev() or some other measurement. An often overlooked one is serial correlation, i.e. how do one bar relate to the prior bar(s). That's often interesting and...

Just for clarification: it's 500 SPY = 1 ES Pro for ES: lower margin, excellent liquidity without being front-run by 0.0001c Pro for SPY: Lower commission (for retail), tighter spread.

many many years ago I had a similar issue where Cybertrader had a server error. I kept all logs and argued for months, and eventually they paid the majority of the loss.

I think that is a viable approach to optimization as long as you control the process and testing. By example you optimize every week-end and use the settings for the next week. Repeat weekly. That approach is easy to back test (sometimes called walk-forward optimization) and is a solid...

Excellent background, especially the HPC and cloud experience. It's all about scale and performance. I would start with http://www.wilmott.com/jobsboard/ I'm not sure I have any good suggestions based on your location, other than to look at Frankfurt. Lots of financial business in that...

Nym - I think you're been given poor advice. Many of the top wall street firms and hedge funds hire "rocket scientists" without them having any trading experience. If you truly are a rocket scientist with a PhD or masters in a hard science such as math, physics, statistics, or possibly...

thank you. That looks nicely done.

Statical edges shift over time. What works well today will likely have lost some of its edge in a year. If there is any "luck" involved, it's the ability to sense what's shifting and making adjustments. BTW - I don't know a single successful trader who considers "luck" a factor in their...

What I've done is to put a treadmill under my raised desk. I walk a slow 1.3 m/h while working at the computer (incl. trading and programming). It has worked wonders for my back, plus clearly improved my cardio despite the slow pace. Search for "treadmill desk" to get lost of good reference...

One of my dumbest ones were getting buy and sell orders switched (late night programming), so all my limits filled immediately on the OPG and the opposite trades also hit immediately. Costs me 1000s in less than a second. To top it off, I then got called by the broker months later as "I had been...

A really important one to read is "Broken Markets: How High Frequency Trading and Predatory Practices on Wall Street are Destroying Investor Confidence and Your Portfolio" If you want to have any hope of trading stocks on a shorter time frame this one shows you what you're up against. For...

Not that I'm a personal trainer, but here is what I do: I put a treadmill under my desk, raised the desk by 18 inches and walk at a slow pace of 1.5 m/hour all day long. Low impact and excellent cardio.

This is actually explained very well in the excellent book "Broken Markets". It basically means that if you sit e.g. on the bid and decide to take the ask, they can tell it's "the guys from the bid" and move the ask away. I've seen that many many times, so this is a real problem, a really is...

Lately I have noticed this: TWS for me seems about~ 1 sec ahead of my local computer time. This is after sync'ing my local system to both time.windows.com and the nist servers, but using the built-in windows time sync. The behavior of being ahead is new within the last two weeks - prior to...

If you use a hidden order the HFT crews will pick at your order 1 share at a time. If you display you'll get front-run by 0.01 cents. Hard to trade low-vol stocks these days.

I know it sounds a bit crazy, but I got rid of my office chair two years ago. I put a treadmill under the desk and raised my desk by 18 inches. I now walk slowly (1.3 m/h) all day longs. It's done wonders for my back, knees, overall health, and I'm more energetic than before. It took a few weeks...

That's an interesting choice. RISC system are no longer the better performing CPUs, especially if you need floating point. BTW, the fastest arb systems these days are in ASICs and operate at the network layer. No need to traverse an OS IP stack.

It's worth noting that IQFeed costs $300/year for API access. With IQFeed you also pay the exchange fees, which for NYSE + Nasdaq + Amex is $15. So you essentially have an incremental cost of $40/mo with IQFeed in addition to the $65 base cost. Without e.g. eminis, the breakeven point is...