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When dealing with irregularly spaced quote data there are often ghost quotes.. people are fishing for hidden orders and they last less than a few ms. This can create noise it not handled properly in different situations: For example, when creating a reguarly space time series it is common...

Absolutely ridiculous amounts of calculus in my strategy. Start simple first though..

Great question.. of course this is possible. I've been involved in opensource development for 7+ years so I really do believe it can be a great thing. What is the incentive for the ATS developer to share the countless hours of work he has put into it? For people with lesser ability they...

You can always look for past black swans and see how the markets reacted, of course this is not gauranteed to hold in the future.. but large scale correlations (between currencies, markets, etc) change much more slowly than single stocks, sectors, whatever.

How exactly were exchange rates affected? Is it a zero-sum game where some were up and some down, all down?

lol. You think there is some software out there that will masgically predict price for you? This stuff is not easy. Companies hire many programmers and phds to do this sort of stuff and have no interest in selling it to anyone else. Brush up on your coding skills, put on the thinking cap, sift...

Essentially, yeah, I found it pretty hard to find single pairs.. easier for etfs/indicies, but still not exact. Many times they are in the same sector but it's not necessary.. it's a pretty painstaking process to find them: collection of high frequency data, testing for lead-lag relationships...

I am 100% automated.. high frequency, never hold overnight positions.. I look for 'synthetic pairs' or baskets of securities that move in some relation to another basket or single security. The average profit per trade is extremely small but makes up for it by being high volume.

Not sure about this technical speak.. I don't usually look at charts because i think they can be deceptive.. But..I don't hedge with options, I find highly cointegrated ETFs, indices, etc. short one, long the other, or use baskets of etfs, etc. It is not a perfect hedge but it has performed...

Fascinating, how are you performing your analysis? I'm also studying related ieas using cointegration, causality, automatically generated directed graphs, etc.

I'm interested as to how this could happen.. I'm always nearly completely market neutral so even if the exchange catches fire I should be pretty safe.

How can you say that? high frequency systems are much less vulnerable to black swans than long term systems. Yes, tighter stops.. but if you are hedged appropriately your loss is going to be a few percent max.. And then the system should be smart enough to realize the markets have went into...

What can these guys do that you can't do yourself with a nice box in a colo near the market centers?

I think the failsafes depend on the type of strategy, but here are my thoughts (high frequency pairs trading) 1. strict stop loss calculated on volatility estimate (NOT hard coded percentage, dont want to get stopped out by white noise) 2. Dont use arbitrary consecucitve wins/losses, plot...

I agree with this in general, trying something and realizing it doesn't work does have some value. But a *year*?! It only took me about a day or two playing around with cointegration models in matlab to realize it was well worth it. Correlation and cointegration are related but very...

You know, tons of money is made with cointegration and related concepts. Laugh it up. :D

Anyone know much about this yet? I have access to it thru my broker and was wondering if it is worth using. Goldman Sachs Jolts Algo Trading Suite With an updated algorithmic trading suite, Goldman Sachs targets faster and more profitable trades. Goldman Sachs jolted its algorithmic...

limebrokerage.com has an excellent pure java api.

You can still use c++ from JNI by declaring your methods "extern C", and then from there calling the rest of your c++ code. I also use a mixture of c and c++ but most of the native stuff I use is either fortran or C so I don't really have a huge need for c++.