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If you look at the bottom of the wikipedia article you'll find a bunch of pdfs that go into it further. For coding in excel look at books by Simon Benninga and Fabrice Rouah.

Babs- The class module wouldn't do you much good on its own. It just has a bunch of simple methods to extract the fields from a single transaction. I only offered because it reflects the data fields but since you already have the spec it doesn't add any value.

Years ago, I wrote a class module in VBA that reads in a line of the CME GX file and has methods that extract each trade's data. If you want I can post it. The file definition is easy enough to figure out from it or you can create a VBA class and use it.

Barnes & Noble has a flagship store at 18th and Fifth Ave. that is not part of their chain stores. It has the best selection of technical books now that McGraw-Hill is gone. The Brooklyn Public Library has a Business branch that is located in Brooklyn Heights. You can do searches online...

I wouldn't call the screen freezing for 2 min. a "minor display issue." Agreed the data manager runs fine but winsig is a badly designed single-threaded app that should have been rewritten years ago.

Frozen quotes from 14:16-14:18 and intermittently thereafter. My broker quotes were fine throughout.

Don't waste your time with version 10; it doesn't appear to be production ready. Roll back to version 8 and see if that works.

Does anyone have the CME time and sales files tr070906.zip and gx070906.zip from 2 weeks ago? Thanks.

Is the address in North Bergen your business's location? It looks like a residential area.

I recollect it was Jim Baker. But the setup happened long before that: rates had been rising since Spring but had been ignored and the market was in a bit of a bubble. (A few people including Paul Tudor Jones had modeled a comparison of the movement leading up to the '87 crash to the...

There is a new book you might want to look at by Barry Schachter entitled "How I Became a Quant" in which each chapter is devoted to a name in the field. One common theme: math, math and more math. The more you know the easier time you will have. The rub a while ago against econ and...

I remember Quotron well. I think they were bought by Citi, but not sure. How about ADP Comtrend for commodities? The attached printer used thermal paper I think. Very au courant for its day.

What happens in safe mode? What happens when you direct video output to an external monitor?

I don't know about now but a few years ago this book represented the minimum amount that a bank derivatives trader had to know. It is pretty accessible to anyone with a just a little math knowledge. I agree with the person above that not much has been added to the last couple editions so so...

I guess, if you think averaging 10%/year is pennies. I see a lot of hedge funds aren't doing much better than that and they're leveraged.

BLSH, I'm curious what the source for this information is. Niederhoffer's performance has been fairly well approximated since the days of NCZ but I've never even seen Taleb or Empirica show up on any performance listings.

You can see this process practically daily in the markets, in which traders are conditioned to respond to price change in some way ("buy the dips") to the point where everybody is doing it -- and then the market "inexplicably" falls apart. I love it when everybody's thinking the same thing . . . .

Prediction Co. did, but I don't know how well they did (except that they sold themselves so I guess they did OK), but I do know that Doyne Farmer is still working with HF data (at least as of a couple years ago). As to the second point, you certainly would be supported in that view by...

The reason that TA as described here is not taught is that there is really no body of knowledge -- just conjecture, hope, what have you. It doesn't mean that there won't be, however. Over the past fifteen plus years there has been a lot of statistical work done with high-frequency price...

Huh? If you don't know this you need some remedial trading education. (Actually after commissions futures are negative sum.)