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Right. Can't say I saw that coming.

Additionally, if you care about speed you want to avoid the exchanges routing your orders. I have stuff that necessarily does that and when it's busy they can take 3+ seconds. Unfortunately the fragmented equity marketplace is making it difficult to do this stuff well cheaply. In any...

IB throttles data delivery and all orders go through a risk check in Greenwich. They are unbeatable for anything that isn't extremely time sensitive, but you can't do (what I keep calling) HFT. For many people, and probably rightly so (it's a matter of perspective), HFT would be 1-minute...

Yes, low volatility!!!! I'm not nuts, I just happen to be one of the many traders who don't just daytrade stocks and ES!!!! Even where something like weekly ranges are decent, correlations like this are normally reserved for times like summer '97, '98, '01, etc.

The best part of this is that Themis keeps being pointed to as a source of information. Oh, and ZeroHedge. What I don't get are stock777's motivations. You just continually out yourself as ignorant, and when called on it, pile on more.

Wtf? Python "isn't OOP" but "VB.Net is though"? Learn Java because it is nearly a Lingua Franca in enterprise development. Java isn't always the best solution for a given problem, but it is never the worst, and it's a good learning language because of its verbosity / explicitness. C#...

We can't be comparing apples to apples. When I refer to AMM/HFT I'm talking about the ability to trade equities. options, FX, and futures, and at rates and speeds where buying on the bid and selling on the offer has meaning in the sense that it is STILL the bid or offer when you've gotten...

When was that? 4.x (I can't remember) is faster. They still suck relative to Nasdaq and BATS, though. And if raw is 0.75ms, total time should be under 1ms if the logic is colocated.

You seriously just make me feel sad. I used to love the fact that people like you participated in the markets. Now I feel a little... embarrassed. Dirty, maybe. Getting older is bullshit.

That is an excellent idea (and I'm not being facetious).

Wtf nonsense are you talking about now? Who is the HFT mafia? How were they acting in the first place, and how are they acting now? You're constantly accusing others of not providing real information, misdirection, etc. and this is the ONLY thing you ever do. You're just a jackass with...

This is a major, major element of the current landscape. The current market is a pure factor game. What all these articles don't mention is that correlation is at all time highs in a low-volatility environment.

Trading is 0% mental. You either have edge and win or don't and lose.

Depends on FIX matcher, 3.x, or 4.x. The latest version supports a new C/R type that is considerably faster. Only way I know of to get real info is to send some orders, call them up, and ask for an audit trail. In my experience the FIX engine is probably 2.5ms, and the latest ARCA...

To clarify, by "true HFT" I mean AMM/arbitrage.

You can start a solo operation now, but it is MUCH harder than it has ever been. True HFT is almost totally out of reach. The top tier (including Chi<>NJ networking) going to be $500k/mo in infrastructure with a term commitment. Then you have to write the logic, get the correct access in...

The internet might be the worst thing that has ever happened. The world was a far better place when you retards couldn't find each other.

^^ Excellent post. This problem occurs a lot. Someone who has expertise in something will attempt to help by offering some info; but then when that info isn't understood and the expert doesn't feel like / have time to explain everything, the original info is dismissed as insincere, incomplete...

Use ADF to generate the framework for a trade; in other words, the structure of a "neutral" portfolio. That doesn't tell you how/when/where to price or place the trade. That pricing aspect is a completely separate matter.

You've answered the question you meant to ask in the first place. If they were cointegrated at your trading time frame what would be the point? The cointegration itself (better, it's lack) is what you want to trade.