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This is just an educated guess here but it's probably at 60 Hudson. That being said, if your edge is dependent on latency I have no idea why you're even bothering with IB.

I think it'll depend on what you're naturally good at. Designing an automated trading system is going to be an entirely different skillset than backtesting or modeling with little overlap. Data acquisition/processing: -Scripting languages (e.g. python, perl, shell scripting) -Database...

I didn't read this entire thread, so it's very likely that I might just be repeating what other people have already said. First you're going to ask yourself what type of programming do you actually want to do? Being a 'proficient programmer' is such a broad term. Do you want to build...

At my previous job which was with a medium sized fund, we used only matlab. Now at my current position also within a quant fund we use python and R. My thoughts: Matlab is fine, I personally find it to a bit clunky but it's easier to use and debug than R. If you're in a large well funded...

I read through your posts and here are my thoughts. 1) I don't know what your IT budget is, but I'd imagine most people on this website are trading fairly small accounts. It doesn't seem like the differential between monthly rates matters much, rather the upfront hardware cost for a dedicated...

Depends on what you're trying to scrape. If it's in something like flash, then I'd say you're out of luck. Otherwise, I just use Python for any web scraping needs (actually very shocked no one mentioned it in this thread). As far as libraries go, just use BeautifulSoup and if you need to do...

ftp://emi.nasdaq.com/

I didn't read this entire thread but here are common reasons why you see different greeks reported from different vendors. The first thing is what are they using for their discount factor (i.e. risk-free rate)? Typically the way I go about doing this construct a yield a curve, then use...

Ehhh.. a FIX engine coded in VBA? What's the point? I guess it depends on your strategy requirements, if you're only firing once a day then sure this thing would probably work. I presume you're not trading proper high-frequency, but even medium frequency I have no idea what this would even...

VIX^2 underestimates vol, which leads us to the real question.. why isn't 'vol' actually 'tradeable'? Vol swaps would be much more popular if it were easy. VIX doesn't exactly track vol plain and simple, VIX index is essentially 30-day fair strike of a variance swap. There's a negative...

It has to do with the fact that volatility is non-linear (sd = sqrt(variance)) and because of that fact a pure vol position (a vol swap) requires dynamic replication. Now on the other hand one could get into a variance swap, because those can be priced with static replication.

Keep in mind that none of these actually track spot VIX, they're tracking front month VX futures. You can't actually statically replicate the VIX due to non-linearity.

Old question, I know but here's my take on it. Esper allows you to use SQL like queries within a CEP, this makes it fairly easy for someone who's not super-technical to implement something. In general, it'll be entirely dependent on your strategy. I don't think any of these give you the...

Not entirely sure how well capitalized you are here, but one thing that could be reasonable is sort of a capital structure arb. You look at companies near collapse, then look at bonds with a maturity of less than a year. Get into those, extract a juicy yield and hedge your notional with a...

What this strategy boils down to is that you're selling tail risk, simple as that. It's a strategy that will work until it doesn't. And when it doesn't you will see massive drawdowns.

You don't owe dividends in the same sense that you owe dividends if you went short the underlying, but they end up being implied in the premium. Here's a simple exercise to prove this to yourself. If you construct a position such that you're short short a put and long a call (synthetic...

Yes I asked them about everything across the board

Divs are implied into the option also short put is the same thing as covered call.

http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm First you want to take a look at that, the amount of data you're requesting surpasses the limit. http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/reqhistoricaldata.htm This...

I had a brief chat with them on last week about a similar issue, my question was regarding whether they differentiated EDT from EST. Their answer was essentially whatever TZ your system is reporting, then that is the time reported. I suppose this could be verified just by changing the system TZ.