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Maybe try a kalman filter?

Nothing too crazy, but I'll PM you.

Yup, i'm confident my expected value is > 0 and my std of returns is favorable using the method I am... atleast in sim mode. As you've suggested, I may do better if I'm more selective in where I join the book... just haven't gotten around to evaluating that yet... There isn't enough time in the...

I'm an engineer, not an academic so I welcome respectful questioning of my methods.... feel free :) When I cancel and go back to the end of the queue, its not because I got taken out by anything/anyone, its because when my estimated position is nearing the front of the queue, I didn't think a...

I guess I should clarify: I end up canceling orders before execution more often than not. I constanly (usually) have an order on both sides, but cancel before execution if the proper conditons dont exist once my queue position estimate nears the top. After canceling, i immediatly will go back to...

CJ, For what its worth, the open order risk you're talking about has had me a little edgey too. My solution (if you can call it that) has been to be conservative, and only place orders to establish queue position at one book level (usually the top of the book, or the 2nd level... depends on...

If you're looking for a new language... try Python. If you can afford it... use matlab. If you can't afford it... take a look at Octave.

Fortran is still very much alive!

Im sure it can be done with excel, but i have no experience with it. Excel is a toy...youd be better off learning some other coding language to increase productivity

Sorry if I'm being repetitive (I didn't read the full thread chain) Finite differences and Monte Carlo Methods are not mutually exclusive. They can and SHOULD be used jointly. Finite differences are used to to solve systems of partial differential equations (PDEs) numerically. If those PDEs...

Nice post, Sig. I don't disagree with anything you've said.

I don't have an MBA, and I'm of the belief that MBAs are mostly worthless. To me, the only reason to get an MBA would be if you could get into an a "Top School" and want to get into someones "Good Ole Boys Club", i.e goldman or some other prestigious firm. Its not about enhancing your skill...

Yes. I didn't start applying until my junior year, but received internship offers from all of the big aerospace companies. And had a full time job secured 6 months before I graduated. I'm an engineer.. not a finance guy...so I can't really speak to how the job placement is for financial jobs.

It's an awesome place. I will admit, I work mostly with MIT and Stanford engineers and my ASU degrees have left a chip on my shoulders. It prepares you to do the job every bit as well as the more prestigious universities... But is more affordable. The downside is purely perception. I would...

ASU was also recently ranked the "most innovative" by US news. Makes me a proud Sun Devil.

sounds like collective2

I'm just getting started with it, and I'm actually not sure whats "under the hood" yet..its proably in the API docs..but I'm lazy. My guess is the API calls are hiding POSIX Sockets (its cross platform.. which is why POSIX is my suspicion). I've never used REST, but google has led me to believe...

In my case, my real time architecture is 100% Linux (custom c++ and Rithmic) . The WINE and NxCore solution exists for me only when processing historical data. I haven't found better reasonably priced historical data than what NxCore provides

I also use Wine and NxCore API for processing Historical Data in my linux ATS. I haven't seen any functionality issues, but there is definitely an execution speed hit for me when I do it this way. It runs substantially faster for when I run it in native windows...but this might be specific to...

I think Rithmic is your best bang for buck. Since you are running Linux, I assume you are wanting to connect via API. From what I've seen, most FCMs charge about $100/mnth for the Rithmic API