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My question is where are the specifications or information available? How do you know that IB is doing the aggregation not their data suppliers? How much data conditioning occurs before it gets to IB? Since IB data is for the purposes of updating quote board in TWS UI both bid and ask would be...

Ok, so where is the source of true information? Quote data and trade data are disseminated on separate feeds. Quotes can change faster than trades but this is not true for most trading instruments. IB is not the original financial data vendor. What do they receive; aggregated data or they...

IB returns several data points including last bid ask etc. Bid and Ask should update when they change. Only Last or so called tick would be sampled. I am not sure if IB documentation is clear separating bid ask updates frequency from tick updates.

This paper is not about finding single prediction "formula". Smoothing is just one minor ingredient in it because of the known concept of noise that authors are concerned with and they are using Gauss (bell curve window) to smooth data which is conceptually more like exponential moving average...

It is getting too complicated for search of one out of 40. You can do it many times over and many ways at once and it will not matter in terms of performance. Check if search is even necessary. Many API assign index to your request or have other specific integer ID attached to returned contract...

STL is created with performance guarantees and carefully crafted for industrial strength applications. It is difficult to beat STL implementations. I do not know where from your suspicion comes in regards to STL. I do not know of any other library in any language that would be better than STL...

Tax is not the solution to speculation. Speculation in stock market is just one form of it. If there is administrative ban on trading or excessive taxation then speculators will take their business somewhere else; be it physical goods, black market and so on. The issue of speculation becoming...

This is why people still go to casino thinking that there is a way to beat the house.

So where are the results of education and "research"? All professors support the same policies that really originate from political establishment. All they want is free pass to print paper money backed by nothing to support their political agenda that is destroying the economy on purpose. They...

You can also consider NoSql or document databases like MongoDB, Hadoop and others. Such type of more flexible store than a table may be better suited for options and futures data. Many of them are open source and can be accessed from multiple programming languages.

Absolutely. Although VB and Python are unrelated one interesting thing that might happen is to turn Python into compiled language (like VB6 but before it was interpreted language) or Jitted language like .NET. After all Microsoft is seeing its raising popularity and VS IDE can be extended with...

I am posting few selected resources that can add to this discussion and clarify some misconceptions about Python and Visual Basic. It is of interest that Python is getting more popular and also more powerful and efficient while VB is becoming less relevant. Here the point is that mediocre VB...

Modern markets are distorted by policy makers and the Fed, and moved to abstract space that has very little correlation with legitimate economic foundations. It makes market analysis more interesting but also quite difficult. Since the pace of this market distortions accelerated recently past...

If you entertaining use of CUDA in the future make sure that you understand the programming model and how you are going to use it from your program. C# is managed code (garbage collector, memory compactor) and CUDA is best accessed from native program like C or C++ native (not the Microsoft...

Could you specify what do you exactly mean by event-driven in the context of back-testing and your software design. Back-testing is not necessarily bad. It is the expectation (I have numbers and computers and I can beat the market) versus outcome issue (why it does not work?). First of all it...

Thank you Jack for interesting and informative post.

Few remarks on points 9 to 12. If you see NYSE floor today there are hardly any traders. This answers your question. Algo trading has replaced traders already and changed market dynamics. The reasons are the same as you experienced: trader can be tired, emotions can distract him, boredom of...

Jack could you explain what is HS, PM, FI in your post. Do you have more concrete evidence of volume being leading indicator of price because you are citing theories that in my opinion were never proven. History of sciences you mentioned has many examples of paradigms (or dogma) including...

This is throwing darts in the dark. You have to re-focus. Choice of language to tackle markets is not done in vacuum. It should be done after market platforms research and after establishing general outline of your algorithms, their complexity and future direction of your work. Language is only...

Complicated, Jack will sort it out