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The guy has nothing to complain about, in terms of opportunity, really. All that has happened is that the fast robot traders have taken away all of the low risk opportunities he was enjoying for all this time. The market still provides him with opportunities for profit, but they are just...

I'm just ranting, but our firm basically bought an off-the-shelf implementation for exchange connectivity. I took a script to run through the entire market activity, find our trades, do some analysis, etc. I go looking through the logs calculating latencies, and I end up finding negative...

Interesting. When I develop strategies, I try to get stylized facts for a specific stock or set of stocks, and then move out and search through the space of all stocks to see if I can get some easy, low-hanging fruit by simply reparameterizing my strategy. I mean, in terms of just looking...

I'm asking some questions for educational purposes, so do not interpret the following as an attack on you or your ideas. Could you clarify your 1st point? I don't see how an equity trader can trade "multiple markets" (multiple products) very effectively, unless he specifically looks for...

There's a book by some guy called Rupert (Introduction to Statistical Methods in Finance or something), and he wrote it for some master's level class at Cornell -- in his book, I think he used SAS, and SAS somehow generated a beautiful table where it showed the results of all of the models in...

I'm guilty of this at times, but wanted to mention how great a quote this is. Fantastic post.

http://www.nbcnewyork.com/news/local/Man-Poses-as-Dead-Mom-to-Collect-Benefits.html This guy is my new role model. I might have to wait a few years till ma and pa croak, ... but this guy is true innovation. This guy is now on my top favorite awesome people list, which includes greats like...

I know it has been tried a thousand times: Some graduate student thinks he can make big money trading deviations from commercial factor models. He then contemplates raising capital and trading off the commercial models. I didn't go so far as to get a subscription, but I did build a model...

Nothing preventing you from colocating. 10g a month should give you a pretty nice shot.

... Never tried before, too much documentation to sift through, Google giving me weird answers. Anyone know? I'd like something like: For each tick, I would like to see what was quoted on each ECN. If they don't have a function to access it, is there any way I can write code to access it...

The .NET framework has a redistributable that comes with a compiler. These programs probably just expose a front end to the compiler and then dump the compiler output to a status window the same way visual studio does. Once the output is generated, it's a matter of loading the dynamic library...

This is a troll post, but in the event it isn't -- wtf? Unauthorized access of wifi networks??

Because tech work in finance, for most people, is not as intellectually engaging as the firms make it out to be. They'll make you go through a 3 hour interview uncompensated. When you "win", you still get a boring job. It is -extremely- difficult to get into a position (from the tech side)...

A tech job in options-MM is what I used to have and it's really not that great a job. I wouldn't be surprised if you were interviewing for my old job. I would've just said, "Get a job with an options MM firm, steal their edge, raise capital, and do it somewhere else." It's not like these...

Depends on whether there's a double top pattern on her chest. If there isn't, I suggest you short this "woman" named ____.

I view trading as a business. In that regard, I've found a weak point in my personality: I'm a perfectionist and tend to drill down into minute details. This is a problem because a business demands attention to the big picture and learning to prioritize what's important. Have any of you...

"will"? They are used in the industry for almost everything imaginable.

I'm in this thread because I want to see screen shots, even if it's text output. Carry on, and don't disappoint. :-)

My guess is that you are trading all of these over the same time frame, based on when the jumps occur. Perhaps try your strategy against a monte-carlo simulation where you're running a random-walk where each sample is drawn with volatility that happens to come from a bounded-random walk.

Intraday Bill, Just for thoroughness, would you mind telling me what you have placed on this screen? I get wildly different results if I go with per trade vs. per share/contract, and I'm unclear as to what "contract" means in FX spot. 1 100k lot? 1 10k lot? If you wouldn't mind taking...