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I am not sure what do you mean by "using an automated trading company", are you talking about automated trading systems (i.e., StrategyRunner), or people who are using automated trading systems as an institution. Also, what do you mean about "research", if it is industry research, what is your...

I know a member of the Lehman Prop desk that sponsored the project, hence I have some idea of the inner workings. I thought it was interesting back in '03-'04, since I was working on a similar environment at the same time (actually conceiving, I didn't start working on it until I left the...

Well, good luck with going live. The real market (for me at least) proves that my paranoia are usually false, but would hit me where I least expected. Going live is a big first step, then comes the usuall paranoia and greed.

Lehman's original contract was for 3 years, and that was up by last year, but they have since extended it to put it on maintenance, if you will. The core of the PLAT project was actually the PLAT simulator, which has proved to be very valuable as an simulation market for Lehman to test out...

Yes, I have a set of automated systems trading mostly derivatives (futures and options) with only a little dabble in equities. My concentrate on derivatives because of the built-in leverage, since my own entity is not a hedge fund and I don't trade fixed income, so the reverse-repo (even equity...

I think there is a huge chasm between 1% (or even 3-5% a day) with 10% a day. For all of my travels through the street and funds, I have only seen one system that did about 10% a day for 3-4 months. But naturally, with the increased return comes increased risk, the system was doing extremely...

Obviously it depends on if cost is an issue for your "customer projects" or not, if not that big of an issue (back in my old gig, I had them built a small order routing engine for me for about $250k, it was rock solid and very high performance), then Capital Markets Consulting (CMC) is very...

Well, GS have been unhappy internally about the return generated by Hull (not the person, the group). Rumor around Chicago is that Blair is itching to end his retirement and get back to trading, there have been persistent rumor that Blair would try to buy Hull Trading back, but these are just...

Without talking about specific returns, I have seen around half dozen automated trading cases where > 1% daily being done (present tense), without a single down week for 2-3 years (in 1-2 top cases, actually have only 2-3 down *days* per month). Before everyone reaching for calculators saying...

I generally start the system a little time before the open, and then stop trading a little time before the close. The first hour, even the first 30 mins are choppy, but overall my system have managed to trade through those time frames decently. This applies to all the markets I trade...

If I remember correctly, his developer automated the news request, and then screen scrape the resultant screen. I am not sure. I can not ask since I am now in a competitive situation.

While QuietLight is definitely smaller than Knight, Wolverine, their size is actually only a little smaller to DRW (which isn't that big, really) and Peak6. They do mostly upstairs cross-margin stuff, so you won't see their floor guys do anything. QuietLight's founder (I forgot his name, but I...

Going from applying for a job in hedge funds and applying to be a floor clerk is a huge difference. Why don't you just try going into an ibank as an analyst? It depends on where you got your degrees, of course, but assuming you got it in a decent school, there should be some ibank taking you...

Well, the Floor will be in a slow decline for a long time. There are people out there who predicted the death of floor 3-5 years ago (including yours truly), but the floor is still there, still significant paper volume daily, but the floor is clearly declining every year.

Yes, the MM would know who the counter party is (the exchange member), but not the specific account.

The counter party field is a part of the common-clearing data, so the data coming from CBOT and CME for clearing is the same. There are firms (and systems) that coverts the CCL (common-clearing link) data directly into the TT execution data in real-time (one of my developers used to do the...

Well, I am not sure my experience is standard, but I suppose it will give you some background. I first spent about 8 years in IT on wall street, eventually raising to a director (managing a group of about 80 developers), doing mostly VaR / portfolio risk type of stuff. I then went to a hedge...

Really? Wow, it is possible that I have been doing computational finance for too long, heh. The paper was Alex Sherstov's masters thesis distilled into a shortened version. Agreed, the reenforced learning agent assumes some knowledge about maching learning algorithmis, but the trend...

No clue, their placement memorandum (which I have a copy of) back in 2001 was still very much focused on convergence trades, and CDOs

If I were you, I would stick with C++. I chose C for more or less idiosyncratic reasons, I ended up write a lot of base library in a OO design anyways (just using structures and function pointers). While there is a speed difference between C and C++, heck, there is even a slight speed...