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Edit: Also, are you connecting to the same server IPs on each?

Same network connection? Same NIC cards? What kind of program is it (VBA in Excel or C++ or ?)

http://lmgtfy.com/?q=CME+colocation I'd be interested to learn what you find for "futures trading on a small scale" that offers Nasdaq TotalView (wtf?) that is not for retail. I know the conversation has morphed from your original question. As you struggle for answers, forgive us for...

I'd defend JC Trading even though I've never traded there. I talked with them once and even though we didn't make a deal I could tell they were forthright and didn't get a shady vibe at all. Just because someone puts in a good word does not make them a shill.

2894 is a revision number in their version control. I just went back and read that you want to run on Unix - so tradelink is maybe just useful as reference code for an iqfeed data connector if you go that way: http://code.google.com/p/tradelink/source/browse/#svn%2Ftrunk%2FServerIQ-DTN...

I think for the middle of the road between IB and higher end services would be to split your data and execution services. For example, get IQFeed and use IB for execution. You have to use two APIs but you can add more symbols and have less limitations on historical data download. If you use...

Ah, I see. I think it's the first of either trade or executed. They both have timestamps for when it's happening - though maybe you'll want to compare the timestamp on trades to see if there is some lag. Trades come with price information and executions I guess you'll have to keep a hash of...

The good news is I think you only need to look at the Trades and can avoid doing all the parsing that would be needed to reconstruct the book. So, you can just step through ticks and track open (last trade of previous bar), high, low, and a running sum of the volume, rinse and repeat. If you...

I think you always have to be acutely aware of where you are in the food chain. One way to look at it is that the Getcos of the world have made it so that nobody who isn't using FPGAs at the exchange is incapable of making any money. The instant some quirk in the market is present, super...

What broker/platform do you use? What operating system do you run? Since you're already using Open Office Calc, using macros in excel might be a good place to start depending on the broker.

I look at their offering as more of a simulator where you are paying for the chat room, realtime sim environment, and for someone to review your trading. I don't regret paying them $80 for that (I think the fee increased in the last couple of months to $120). If anything I think it probably...

Well you may be right. I tried to outline something that could be within the realm of possibility - where a firm gets their nut and might be willing to incur the overhead. The last time I traded with a prop firm I paid $4/1000 w/ 100% payout - mostly because I wasn't doing high volume. I...

Here are a couple of HFT incubators: http://www.thesystech.com/ http://www.txcus.com/ Here's what I think the main drawback of these shops is: 1) You need significant scale to make it worth their while 2) You often need to give up a significant amount (in fees or equity stake) -...

+1 And another robot periodically comes along and stands in front between your robot and the conveyer. They are invisible and your robot only knows they are there because apples start disappearing.

Here's what I'd like to see available: A prop firm that has space at Genesis or Lime (could be others but these 2 seem more practical, please PM me if you know of comparable shops) offers to startup HFT projects a 6-month deal: Trader/Programmer pays $3000 upfront + $5000 risk deposit...

7out, You find anything? I'm interested as well. Do ECN abbreviations differ on different feeds?

I am looking for something like a directory of ECNs and dark pools and their characteristics (order types, rebates, etc). I can't find much about this stuff out there but I want to learn more about the nitty gritty of market structure. Do you know of any resources? If not, can you post...

I think the OP has hit on a dirty secret that many systematic money managers, even if they _believe_ they have some kind of magic or edge, truly are just taking an occult risk. A simple example is selling option premium. You can trade a system that looks great but runs a small risk of big...

How is an "adjustment" any different from a new position? Whenever I hear this term I just think of taking a losing trade and doing another trade to try and make things better.

elefevre - I'll be glad to see when you all are making trades and running money. Until then, I really like the idea - especially if you are providing significant value. Significant value would be, IMHO: 1) Ability to validate, as much as possible, a "good system", so that your capital...