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If you already understand basic data analysis (e.g. You can answer what the difference between data mining, overfitting, and data snooping is), then the rest is an art which isn't really taught in books. There isn't really a catch all, all strategies will have different requirements and...

IMHO if you're trading your own money there's very little upside going with a prime broker. The only real upside I personally see is they can make introductions for fundraising, marketing (it adds an air of legitimacy), and securities lending. Last time I checked GS had a min of 30 bucks...

Now post their footprints :)

Gloria, Are you asking which theories could be applied to developing new strategies? Or which theories are used to backtest existing strategies?

I went through ~100 trades today running the code in parallel in two separate accounts. Only difference was smart vs directed. It's also worth pointing out that the products I'm trading will always be routed to the same exchange by the smart router.

Has anyone found that IB's smart routing adds a significant amount of latency? Just doing simple testing today and I'm finding that I'm missing a higher number of trades using their smart router than just direct routing (I can't confidently say that this isn't attributed to randomness...

I've kept things simple thus far and have just use a modified optimization process using a specific non-linear objective function (don't want to give away all of my secrets). However, more recently I've been thinking about taking a much more online learning approach to money management. I...

ATS has different meanings to different people, do you plan on employing strategies where latency is constraint? Or are you just looking to get filled on VWAP on the last hour? Systems will look quite different depending on your actual trading style. And what's basic for an automated...

The approach I would be making assumptions about how your interaction will affect the order book, then model it.

To answer your question about microstructure, I don't believe there's any real way to achieve confidence inspiring backtests at that level of frequency. I mean sure you might be able to infer some information you could act on. However once you become a participant you've effectively changed...

No one in their right mind is going to build a proper OMS/EMS and release it open source. It sounds like you're using IB, given what's offered (IB Java API/FIX) you should be able to piece something together yourself.

Eh this is an incredibly vague question and also Joshi's book is mostly on implementing specific design patterns for derivatives pricing which will not help whatsoever in building an ATS. Barry Johnson - http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207...

End of the day, you're never going to find any good books on this subject whatsoever and no one's going to teach it to you. I think some of those books could be approached as building a toolset in order to research strategies. However in actual design there's reasonable you'll ever find...

My 2 cents.. I don't think there's any reasonable pre-packaged solution, you'll inevitably be held back be held hostage by whatever the software developer decides to support and not support. And if you're doing anything serious, it will happen sooner or later. The question is actually...

Just glancing briefly at your code, one issue I see is you symbol definition. So for example: EDZ3 (Dec 13 Eurodollar futures) Local symbol is EDZ3 and Symbol is ED. Within TWS check the contract details, that should help.

My 2 bps... It clearly depends on your trading strategy. However I think in general there are things humans are good at, which computers are inherently bad at and vice versa. Clearly processing a subset of R^2s within a large universe of securities is something very poorly handled by the...

Being read from a database or something else? For tick data I like HDF5 and for less granular data flat files are fine (we are far too cheap to pay for kdb). Iterating over a text file shouldn't be your bottleneck I don't think. I've only briefly glanced at QuickFix, nothing really...

So first question I have for you, is how are you reading the data? Are you loading all records into memory? Or iterating line by line? I use callbacks via observer/observable for the backester in our production trading system, that being said majority of my research is done in either R or...

I've worked as a quant mostly on the buy-side and am currently in the process of launching a fund with a few partners. We've been working on an ATS for a few months now and I'd be happy to field general questions on this topic. That being said I think one huge issue which I don't see any...

Current workaround for this issue is just to assume I'm getting order acks for orderIds which I'm getting fills on which definitely is not ideal (increased latency + missing possible exceptions).