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No serious trading algo compresses data into bars. Bars are just a visual aid for fitting large timeseries datasets into charts so they can be eyeballed. They should definitely not be used to make trading decisions. Get yourself an unfiltered datafeed (which includes the exchange's...

It's a real shame that the volume on the big S&P contract has dropped to such dismal levels otherwise that would still be a great contract to trade. Agree about the 6B. The contract size is just plain wrong though. Needs to be $125,000. $6.25 per tick is ridiculous. Means you have to load up...

What sort of HFT strategies were you running? Arb based? Am guessing round trip messaging times were in the 100ms bracket. What were the position holding times? We talking ms ,sec, min? You say you traded all the majors. Didn you find the small contract size on the 6B troublesome from a...

Yep. It's just a wrapper around the R API. I remember speaking to the Zen support team a few months ago and them admitting that they'd made a mistake with the architecture... At least they are honest. :o) The R API is just a pure messaging API. As it should be. If you understand FIX you'll...

I don't see Rithmic as being interested in moving into this area. Their business model is focused on providing a very low latency infrastructure and bare bones API. Everything else they leave up to you. Synthetic OCO orders would entail the API implementing business logic which doesn't seem to...

Can also vouch for Vision. The Rithmic setup is as good as you will get in the retail marketplace and their support is excellent. If you colo with the Vision servers in Chicago you are looking at extremely low latency.

Yep. For hedging purposes. Mind you I only use the ATM strikes where the liquidity is nearly reasonable.

The real R experts live over at Wilmott. Try posting there if not already.

Of course, you are right. My technical background was initially in C++ and then I moved almost exclusively into Java and C# about 8 years ago. I code in C# because it is the language I am most comfortable with and it was the highest level language that meets my performance requirements. If I was...

Exactly. Let's be honest, we can sit here all day discussing the merits of various technologies but really, honestly, making money all comes down to the quality of your alpha generation ideas. Aside from HFT strategies, I think the choice of platform is probably mostly inconsequential. Many...

Might have done. Never looked at it before to be honest. http://javolution.org/target/site/apidocs/javolution/io/Struct.html It looks like they've had to implement a lot of botchs to get around this hole in the Java spec and at the end of the day you are still passing around a reference type.

The lack of struct support in Java pretty much ruled out me using it for my trading app. Having to put even the simplest data structures on the heap would have just totally killed performance. Java's only real advantage these days is that you aren't tied to Windoze.

I iterate through 10,000s of collection entries multiple times per second without problems. What sort of strategies do you work with Rosy where performance requirements are so stringent as to make all the hassle of avoiding dynamic memory worth your while? If you're not involved in HFT...

To my mind the complexity in building trading frameworks isn't in the coding at all...it's in mapping out the possible operational scenarios and ensuring that you handle them in a robust manner. I have generated quite a few Mb of Visio diagrams now in mapping out these functional flows. I...

Apologies. Yes, this is correct. I know of several broker/FCM platforms that use FIX/FAST on the backend to connect to the exchanges. However, as you said, they then tend to expose this through their own APIs to cut down on verbosity and to save you from having to work to their particular...

You trade OTCBB!? No wonder you are seeing outages. You have my sympathies...

And you definitely won't be hanging out at ET. If you have the money to play this game and enter the HFT arms race in arenas such as index arb then you'll have your techie minions worrying about all this whilst you sit on your yacht rubbing cooking fat into a bronzed 21 year old.

Nobody with an iota of sense assumes this. Again. Nobody with an iota of sense assumes this. Data cleansing is an ongoing problem for everyone. If you are trading pit contracts then your problems will be exponentially greater than trading purely electronic contracts. Anyway...I have...

I had similar experiences when evaluating Ninja's logic. Good luck for the go-live. Have you thought about doing a journal of your experiences post launch? I don't mean the usual sort of piker journal regularly seen here on ET...not really interested in (or expecting you to divulge) any...

As has already been pointed out by Aitch Eff Tee, this is very very different to an exchange or product going offline. You are talking about liquidity issues. No it is not the same thing. From your perspective they might have the same impact on your trading strategy but you can't expect to...