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Do these guys offer an API? What about NASDAQ TotalView?

Jesus tap dancing christ. Let me try that again. I don't clean the data before replaying and backtesting.

That's not necessarily true. I record all data in realtime to a postgresql database and reply it as-is for cleaning, I don't go back and scrube the data first.

I couldn't agree more. I got money and I'm dating girls with none at all (students) and THEY are buying ME dinner. Spending money on girls is for chumps and sends the wrong message that you are desperate for their attention. I'm not a total ass, I do buy them dinner sometimes but that's long...

How does one post calls on a millisecond timescale in the case of automated trading systems that make tens or hundreds of trades a day?

I completely agree. Simplicity is highly underrated. occam's Razor: "one should not increase, beyond what is necessary, the number of entities required to explain anything". I've read the paper and the ideas in it are not all that complex. The guy is basically saying that market direction is...

That was a nice concise analysis and exactly what I got from it. I'm thinking of writing some charting software to predict and extrapolate these short term movements. Does anyone know if any existing sofware that already does such a thing? I'm also trying to think of a way how to apply this...

Do any of you guys follow cutting edge research when creating models? I have been following academic journals for over a year now related to "econophysics", financial engineering, quantitative finance. There seems to be a large disconnect between academic-speak and trader-speak. How many...

I'm not familiar with X-Trader.. can you tell me where to find the API? I could take a quick look and see if it is possible. Also, can you tell me if you are able to login to genesis with Laser after hours? It hangs during login with me.. establishes a socket connection but that's it.

I just got a copy of the Simple api, "gtapib" which is very basic.. Also got a copy of the gtapi which appears to be c++/mfc/some other crap and I also got the gtapinet (dot net ) version which I was initially excited about and then realized it was simply wrapping to a native win32 dll...