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Sure. First of all I used winebuild to create a wrapper around the native win32 dll. This doesn't work for c++ libraries yet so I ended up using the stripped down C version, I believe it is GTAPIB. Things mostly worked.. e.g. I could connect to the servers, login, etc, but none of the callbacks...

I agree with you 100% as far as wire-protocol goes. I was actually interested in xdr for defining a wire protocol to marshal matrices over the network, to disk, etc in a distributed environment and also for receiving udp broadcasts from redsky.. they have a nice lowlevel feed which is documented.

Looks like commercial software.. how did you port it?

XDR looks really interesting, couldn't find much in the open-source world about it thought besides NFS and RPC like you said. Are there any packages which can convert XDR to c++ templates, etc?

Maybe my point was lost in translation somewhere.. but I am saying the API should be as low-level as possible, with perhaps a higher level api available as well for those who want it. A lowlevel C api with callback functions is all I need. Preferably they would publish the socket layer protocol...

Not really, I gave up and switched to Redsky. Genesis's api turned out to be too dependent on win32, mfc, etc. --Stephen

Seasonal volatility is not complex enough to require neural networks. An Introduction to High-Frequency Finance is a book I recommend.

It's not *that* hard to calculate huge covariance matrices for different time lags.

Where is "I write my own black boxes" ?

You have to format the drive first (not lowlevel). Don't remember exactly where it is.. somewhere in the control panel.

Lefty, don't listen to these guys. Imho, you are right on. Very valuable stuff and I've found the same thing very useful myself. --Stephen

Sorry, I don't understand what the FIX protocol has to do with what he was asking.. FIX is only for order entry, etc, and is only a protocol, not software.

I actually like native Java implementations. Very easy to decompile and figure out the tcp/ip protocol and re-implement in my language of choice. I've done it many times successfully. :D

Question is. Is anyone listening? I've talked to a few brokers about this many times and they said that basically no one else was complaining so they weren't going to do anything about it.

Imho, a good api is one that doesn't require any GUI components, and is relatively simple (no templates, etc). Redsky has this.. as well as mytrack (but their data isn't so hot). Nearly *everything* I've found is some bloated complicated crap like COM, MFC, etc

Thanks for the link. Can't wait to give the machine a spin. I wish someone would benchmark some LAPACK libraries on it or something..

They tested the Opteron 246 btw, which runs at 2ghz. I'm getting dual 252's which run at 2.6ghz. They tested the xeon on the Intel E7505 chipset.

Only dumb cattle-like instinct.. yeah, I must've 'red' that somewhere too.... So far, a few anecodotal stories about amd boards going bad is not enough to convince me. I'm going with the Thunder K8S. More reviews here and here

Faster, cheaper, 64-bit. AMD has really been making Intel look foolish lately. Intel Xeon 3.6 2MB vs AMD Opteron 252 Database Test Workstation Battle Royale : Xeon 3.6 GHz / 2MB vs. Opteron 252

Definately going opteron, that's why I decided against dell. I checked out HP but they were seriously expensive. --Stephen