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Yes

Your execution code needs to be aware of global positions. At the very lest, you need a hashtable of positions and net them out and a position per system. The speed inpact should not be much since it is all in memeory. Think about the edge case of a net long swining to a net short. Do...

Become a exchange member and meet all of the requirements of membership, including fees and capital requirements.

Well said.

That would be the way do to it for a more complex web ui. Apache would be a good way to go. For this, I just used something quick and dirty. Just have a thread wait for connections to a socket. On each connection, spit out the html for a page, with the status info. Point your...

I only trade NSDQ stocks. I don't know the detail of the NYSE open, but I believe that it has a manual component and takes a lot longer to open.

It trades five systems. each with different time frames and symbol sets. None of these are what I would consider HFT. Java is fast enough and so is the IB API. Might have a dozen or so positions on at once when the market gets moving. The user interface is a simple web server built...

Just throwing it out.... Trading is inherently asynchronous. Orders are issued and events are received from the market. If you have a lot of code that tries to make it look synchronous, then you are making it more complex than it needs to be. Just make everything state driven and be...

In the opening and closing cross, all shares trade at the same price, in one print. There is no bid/ask. The crossing price is chosen to trade the most shares. It is possible to not be included in the cross, but not likely if you issue a market order and issue your order early. I have...

For nasdaq symbols, the opening and closing trades published as the daily open and close prices are not generated by normal trading, but by a crossing trade. The cross picks one price to trade as many shares as possible. The cross is a good time to trade: * Easy to get historical...

Here is the thing. Many of those sub penny trades never reached the exchange at all. The broker internalized the order or filled it in a dark pool, or routed it to someone to fill it for them. Most retail marketable orders are handled this way. The broker has the first right to fill...

If you are doing hft, then you will not use IB and you will be colocated, rather than use a leased line.

Has anyone here had success with peg orders? Every time I try it, I always get a bad fill. I think that the problem is that peg orders are given lower priority at the exchange. So, yes, they will auto bump to match the NBO, but they will always be at the back of the queue for the price...

I think if you trade this live, you will find that your actual execution will differ from backtest. The problem is that some of your trades will be rejected because the shares are hard to borrow and many of these will turn out to be winning trades. On the other hand, loosing trades are...

Yes, I use Java with IB. As I recall, it takes a little fussing to get it configured, but not a big deal. Biggest pain in the ass is that it shuts down once a day and requires a pin code to be keyed in. Silly.

Interesting... I think that a huge issue is that a lot of the prints reported on the tape are executed off exchange. So, there is no way that you could get filled on them. Best that I can tell from the SEC required reports, is that the broker really like to fill market orders, but tend...

Just saw your edit. Yes. Modeling a limit order fill is very frustrating. Dealing with this much data is not easy either. I ended up building my own backtest code that runs on a map/reduce cluster. The nice thing about is is that I can backtest any number of systems with one pass...

Thanks. Yes, it is a interesting problem. Surprised that you find the snap shot data to be more useful than tick by tick data. I currently download tick data each night from IQFeed. It is cheap and better than I had before and avoids issues with data drops, etc. Lots of trial and...

Winston: Do you mind sharing a few hints? I am starting to work with tick data and have the same issue. The standard approach to count trades that go through your price is a start, but it does not account for fills that you might get at your price. Trades marked as TFR should...

GPU's are just chips optimized for the problem they are designed to solve. If your problem fits, then it is hard to beat. Much of the space on an general CPU is dedicated to cache. Most of the space on a GPU is dedicated to cores. Basic trade off. A lot of this is about memory...