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I agree. What specifically are the bottlenecks you've found in concrete terms. Are they using ridculous hashing algorithms or haveingconcurrency issues? tcp stack too slow? Ineffecient queing/locking algorithms?

I've been up since 12:23EST. Your broker probably hasn't switched over to the backup facility.

Nice. Can't wait to hear the reason for this one. 12/16/2005 12:00:41 ET INET's web-based InfoCenter is currently available. Firms can use this as an alternate means to status their orders. 12/16/2005 11:39:06 ET The Secaucus Data Center is now operational. Firms can now status, cancel...

I'm not sure abuot MS workstation, but my linux box can easily update several thousands books in realtime. My API is lowlevel and doesn't maintani its own books.. just a series of callsbacks. I've implemented it in C++ (using stl) and java and both perform very well. Using limebrokerage.com...

It's just like picking up any other language. It has a lot of quirks. It is usually quite hard to learn by example because most matlab code out there is quite dirty and poorly commented.. after using it for about a year I am pretty profecient but I never bought any books on it or anything. The...

I use matlab for all that kind of stuff.

Nothing. Survivorship bias.

Basically.. yeah. pairs/market making strategy.. same way you described.. continually taking different sides of the market all day.. the average profit is very small so it has to make a lot of trades, it scales in and out as well.

Imho, short term stuff is less risky than long term. In any chaotic system (which I think the markets partly are.. ) the near term predictions are always more accurate than long term. Play around with some chaotic functions and try different starting points for some fun examples to see how small...

Sometimes, I'm not even sure what I do. :) My system makes very-very short term 'predictions' about direction and volatility and also generates uncertainty estimates along with the predictions. Volatility is quite easy to predict, direction is another thing. I use the uncertainty estimates to...

Agreed. Several years ago when I first got the idea of developing my automated system I didn't know much about markets and my first instinct was to look for patterns and rules that I could code into logic. After much experimentation and reasoning I decided this was not the right approach...

I know of at least one firm averaging 80 million shares traded a day across all stocks.. not sure how many symbols they trade.

Nor does mine. My ATS is continually self-adjusting and makes no assumptions about "market conditions" whatever that may be. Scalping/Hedging/Statarb/prediction. Yes, it does make directional picks, but uses its uncertainty estimates to determine the "optimal" hedge.

Dude. Couldn't say it better myself. There is truth here. Infer what you will.

lol. maybe for you. there are still patterns in the limit-order-books, just not so easy to see. --Stephen

LOL. Are you serious? I have better shit to do with my time than look at charts and click buttons all day. I'd rather be in bed resting from the wild sex I had the entire previous night.

Yes, you should definately hedge against something highly-correlated. Problem is, your returns will be MUCH lower but risk should be much lower.

Of course, there are no books on "how to make money" because the ones doing it aren't going to tell you explicily how to do it. This book does give a very nice introduction to all the things you'll need to know to build something useful. What books would you suggest? Also, read all the...

definitely an excellent book. You can pretty much skip the chapter on data scrubbing. I've found equity data to be extremely clean.

Seems reasonable.. I tend not to focus on all these types of stats so I'm not sure I can help there.. I don't even know what a bar is, I'm a programmer/automated trader/pseudo mathematicitian, not a trader. From a post on another forum which applies here. At a recent conference I once...