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Yeah, the CBOE (i believe) put a charge on messages over a certain threshold just for this reason. The answer is, it is essentially free (or so low cost as to basically be free) that there is no risk and do it and there is always a very slight chance that this strategy pays off every once in a...

Heh, 50ms. My algos catch movements of 5 to 10 cents, 50ms doesnt mean anything, it's just noise.

If your pattern matching is that sensitive then there is something wrong. That sort of thing is just driving noise in my models.

I highly recommend Lime They have a very nice pure java api (yes, it's fast!) . Also, the api doesn't depend on some huge monolithic application like IB's does. I'm receiving realtime full depth book data as well as level II, nasdaq totalView, all the ecns and the SIAC feed. All their...

Yeah, really, I have a lot of thoughts about that too nitro. All of my modelling efforts are not specific to automation but could make for some very intriguing inputs to humans. Had some ideas about sonification to let me 'hear' the markets. Maybe some interesting things and a more efficient...

Well, that's kind of the whole philosophical/metaphysical thing I was thinking of. Are they really hastening the collapse, or does the very act of modelling/prediction help to create structure or take it away? I think the answer is really we are creating value, structure and complexity, and...

That's an interesting point. algos can come in an infinite variety, so two algos trade against each other and they can both be winners according to their own exposure to the market, it is not a zero sum game. Modelling and predicting reality inevitably creates a feedback loop and thus in some...

Hmm, looks like good timing for me, I'm just now to the point where I'm very very happy with my intraday high-frequency stuff. The competition is definately getting more stiff. I've been reading a lot lately about topology (the mathematical kind...), fractals, dynamical systems etc and...

lol hey man, whatever makes you feel better about yourself, maybe I really don't know any of this stuff, but as long as my formulas and code keep working like they do then I'm fine with it. I know you are trying to hassle me so that I'll eventually crack and give away some of the secrets...

I sense some jealousy here, bad week eh? you pathetic piece of shit

Well, I'm not a quant, and I don't think this is a typical quant-type activity, not shown are the error bounds on my forecast which implies a distribution with increasing large variance as time moves forward, so I'm forecasting smoothed price change density and not the actual price process.

Wahhhhhh, waahhh! Would you like a tissue?

Well, it uses quotes, not ticks and it doesn't explicitly forecast the individual quotes because they are too noisy, but the accuracy is quite high. I measure forcasts of this nature in decibels because it is much more useful than Mean-square-error or R-Squared because both of those measures...

hahahaha! :D

Say what you want. Your opinion means nothing to me.

I work on my schedule, not yours, and I adjust it to suit myself.

Hey, good luck to you man, EOD is not my thing. :P Is this a 1-day forecast, what exactly does the indicator tell?

lol. Being rich would be nice. My first goal is to be able to roll out of bed and make money sitting in my underwear. :D

Just looked this up and read a brief amount, I'd say he's definately right, but nothing new. Bi-directional causality has been studied quite extensively in economics research. Also, this idea can be modeled with dynamical systems, etc.

Isn't there some limit? I mean, theoretically, if you had every quote and trade made in every market in the world in real time. What more could you get? Maybe you could start to try to find some factors that influenced people to make the decision to post that quote before they posted it and then...