Search results

Out of curiosity, can you please expand on this; which broker/colo infrastructure offers 60-80us?

Rome was not built in one day, which is very true to trading systems in development. Start with higher timeframe strategies and let your system mature... as you gain experience see if reducing the timeframes assist you with your PNL. Latency is not an issue if you trade beyond 1 min imo. Focus...

IMHO: you might want to add notes about forward contract tick/candle data as well. This can help for spread trading. I collect forward contract info although I don't trade forward contracts, the change in the spread can at times help ones strategies.

I suggest that you start with C++11; don't bother looking at the older versions. Try this book: http://www.amazon.com/Standard-Library-Tutorial-Reference-2nd/dp/0321623215/ref=sr_1_16?ie=UTF8&qid=1427005463&sr=8-16&keywords=c%2B%2B11

My 2 cents: Learn how to trade first; since you are a programmer, you can then architect your trading engine. You will end up wasting your time if you start working on your trading system without understanding what it feels like to trade live. You should atleast be break even with a good working...

Unless one is hell bent on latency, there is no point in even thinking about a language of choice. Pick any language as long as you understand its pros and cons. Hell, one can even write a strategy in fourth... no big deal here.

I have SW dev background and with the recent plunge into algorithmic trading (not low latency) with my own system; my 2 cents: Custom implementation puts you in a different league because as I see your creativity (and off course discipline) is what limits you once you plunge in. Although retail...

The former; within what time should we store an incoming tick in order to avoid a lag on the trading system side... for 1000 ticks as my rough math suggested, its about 1 ms, which is quite reasonable. But do we see any volume spikes in the tick data that it can even go up to say 10,000 ticks...

RAPI doesn’t have the integer ID for tick data; it does have id for other data such as order reports etc.

Ya, you are right; threading libraries have a lot of overhead. Concurrency can also be achieved when two processes running on two different cores share the same memory through mmap… similar to oracle’s latch design. I had this design in mind when I typed in the question… Even in that case, cache...

:) ... re-read my sentence... yes it sounded a little arrogant... sincere apologies; "Bjarne" was a misnomer. Implied that I really didn't make an effort to contribute what I (along with my colleagues at my company) noticed to the open source community to whom I personally owe a lot.

This is interesting; totally got blind sighted here. Two questions 1. Since each cache line is 64 bytes, I was wondering if padding the table with some arbitrary empty bytes ensures that the array starts at the beginning of a cache line and ends in a cache line that doesn't have any other...

No, don't get me wrong; STLs are great libraries, no question about that. I personally use STL libraries (Poco actually) and other C++11 features pretty extensively in the trading system that I have developed. Having said that, I have personally observed this the years: The architecture of any...

Hi everyone, I am trying to design a component that inputs futures tick data from rithmic feed/RApi [C++11, Linux]. I want to capture the tick data for approximately 40 contacts live (off course, half of them are low liquidity forward contacts anyway). I have this rithmic call back routine that...

Steps to become a professional trader: 1. learn trading (this takes quite some time) 2. Identify the right trading strategy you like (this takes time) you now have two options (either or): a. Learn to master your emotions and trade manually (this takes quite some time)( b. Learn programming...

No, I was talking about employees of quite a few companies whose stock price is not going up due to various reasons... Besides, majority of the engineers here sell the moment their employer grants them some stock (espp/RSU) just to avoid a flash crash that can happen any second (according to...

Well, it appears that folks in the Silicon valley build something useful, but they constantly keep complaining that the value of their RSUs/espps/401K loose value for no reason and keep wondering what it would be like to be on Wall Street. :-)

I see what you are trying to say. Intel processor requires the executing software do certain things before its optimization algorithms can kick in and improve performance... take a look at this...

Don't want to get into this debate/discussion, but let me add some numbers from my own experience for the benefit of everyone... I worked for a company that offers Tier 1/2 type storage products to Banks and other institutions. They have developed a all flash SAN solution from scratch and I was...

Debugging python applications is pretty hard... No software company (to my knowledge) that develops applications spanning 10s of thousands of lines of code use python... although they do base their entire QA automation on Python. Python is great for small quick and dirty type of applications...