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I'm lorbing since noone dares or cares express an opinion so lemme say it: I hate this zero-sum game. I'm not here to steal your money or abuse your kids, I'm here to save myself and my family. And once you develop conscience then you is me. We need a better version of the change of measure...

The only guys I hate more than programmers, as in exceeding them in how knuckleheads they can be, are accountants.

I have seen situations where someone inverted the spot with the strike, which brought my employer some $300k in a split second. I know of a case which changed the way Tokyo Stock Exchange operates where some trader accidentally inverted the price with the quantity, it happily passed all 11...

I'm not bragging (with what? that I worked 12 years so far for nothing?). I'm just statistics. For all it seems, I'm gonna lose this game. Someone's gotta lose for others to win in this game and just because people only see those who make it to the top of the iceberg also implies there's an...

Well, perhaps I'll read (skimp through) it if I find time and mood. Right now I'm working a regular 9 hours day job (+ transient times add another 2 hours) then switch to my options trading software side project. So from the start I always incur an 11-12 hours penalty. Working (as in programming...

Nope. I saw the title, I'm quite familiar with "Options, Futures and Other Derivatives" and read a great deal from "Arbitrage Theory in Continuous Time". Published one of my option pricing models (useless in trading hopefully, though I'm escaping one or two key insights in there. Published for...

In terms of trader's knowledge I'm neither a beginner, so please stop the condescendence, nor at the end of my career, thus rotten rich. As a developer, I'm in the top 5%. I could go 2% but if you're a trader and know probability even intuitively you realize that's not "just" a 3% effort. It's...

Think it like this: everyone (here and outside this forum) explains me how I should do this business *once I come up with a working, profitable, proven, risk-managed, live-tested, years-long in the market strategy*. Like I freakin' don't know that. Also everyone in this business is a highly...

>> But you want to put your 50k (x2 with investor) to a developer... and then what? No way a developer. Plain developers are useless for what I need now (I'm a developer myself so programming is the least concern). >> Does it actually work? I guess I'll find out. >> Have you got more money...

The time decay is rather constant with respect to the number of "periods" remaining till expiration. So at 90 days till maturity, the decay of day 90 is approximately equal to the decay of day 89. But at 90 *hours* to maturity (approx. 4 days that is), the decay of hours 90 =~ decay of hours...

>> Classic entrepreneur mistake is to scale the business (hire, etc) without a business model. Backtest, trade small and manually, find some simple and small wining strategies. Oh, no. "Backtest, trade small and manually, find some simple and small wining strategies" IS THE BUSINESS MODEL :)

I've programmed a backtesting framework where I'm trying models / strategies / algorithms over historical data. What passes validation goes into a live trading system (very minimal but functional). Main problem: well, no killer strategy yet. Although I'm starting to get the feeling it's more...

I dunno about this "10 years to live", might be bullshit, might be true (or at least what he truly believes). But the "giving to charity" stuff is 100% bullshit. At best way it's something on the same intelligence line as losing 900k out of 1M. There are 100x opportunities out there, they're...

>> This whole problem could of been solved easily by IB by sending all aggregated changes in one message instead of splitting to a message per field. I don't know if the exchange itself sends atomic updates or not.

Nope, I don't synchronize price and size. Since by the way, you also get price updates incrementally and not atomically. So it's possible you're in equilibrium, say bid/ask at 99/100, then you suddenly get a bid at 199 and after some undefined time you'll also get an ask at 200. So what do you...

Also, C++ today is equivalent to template metaprogramming black magic. If you can't do it at the level of maintaining boost MPL, you're regarded as an utter failure who's better playing with some toy language instead of calling himself a programmer. Read Zed Shaw's rant on C++...

I've skimped through the conversation here but seems to me like Java was hardly mentioned? Not to go as far as to actually consider it... I did and still do both C++ and Java. At work C++, for my own stuff where I don't have to suffer, I use Java, hands down. Much friendlier to the developer...

@leonbrag215 : if it helps, you can take a look at my IB marketdata wrapper. It's Java and it's available on GitHub, private message me for the actual repository :P I had to decompile their JAR too in order to figure out how to write my wrapper. There were some examples on the net but didn't work.

Checked Tradier API doc and it says "Market data delivered in real-time through HTTP request/response". Isn't this a contradiction in terms, HTTP request and real time? With Interactive Brokers socket connection you've got 5 updates per second on 100 instruments, this doesn't seem achievable...