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This brings up another point... the CFTC needs to make concrete rules on what spoofing is/isn't. Seems like there is too much room for interpretation right now.

I figured that’s what you meant, but who decides what excessive is? What if your cancel 1000 contracts, but fill 10000 ? "Level the playing field"... I hate that phrase, the field has never been and will never be level because some are operating on a deficit of brain power. Regulators are on...

Cancelling orders is a completely legit practice. Every single order I place that isn't filled in a relatively short time frame is cancelled, and not for spoofing reasons (but because my hypothesis was wrong). By penalizing cancels, you are discouraging people from entering the market at all...

What makes you think their market making algorithm didn't simultaneously put in the hedge (assuming they dont already have it and even want it) as they were executing your options order? The serial event sequencing assumption is too great in this case. You'll get your lunch eaten by the...

Well, I assure you Matlab can do everything you are doing in excel (and much much more), more efficiently and probably with less "code". Hell, Matlab can even make your powerpoint presentations and spreadsheets for you (I do this all of the time). Unless you provide more detail on what you're...

Yes, Octave is poor man's Matlab. If you have Matlab, even better. Python is "harder" to learn than Matlab in my opinion (not hard). Matlab probably has all of the statistical functionality you need already built it. What are you try to calculate?

Good point

http://lmgtfy.com/

Working with the IB TWS API is pretty straight forward if you have any basic coding ability. I've used the C++ api, and the examples and documentation are pretty decent. To xandman's point, many will say the IB datafeed is not good enough for anything serious, so you may want to look into...

Check out a software package called "Octave".

I don't disagree that steering the solution towards the higher probability fills (less latency critical fills) isnt a bad idea. I do the same thing in my strategy by being conservative in my back-test fill model. As they say, there is more than one way to skin a cat (who the hell is out there...

In bullet 3, I meant reinforcement learning, not supervised

A couple things: 1. Im no authority in the field, so feel free to disregard anything I say as it is only based on my experience . 2. I dont see any reason why you couldnt do something like youve described, but it almost seemes more like supervised learning than reinforcement learning since you...

I'm not sure I follow. Are you essentially wanting to "forget" what you've learned a long time ago because you suspect it is not as relevant as the more recent input data? If yes... In my experience, this happens somewhat automatically if you are using online training. Batch training is a...

My masters thesis utilized reinforcement learning to control an otherwise uncontrollable aircraft that had sustained some sort of in-flight damage (stuck aileron, blown off wing, etc..) . I may be alone in this... but I don't make a huge distinction between Supervised and Unsupervised learning...

Okay, thanks for clarifying. I was about to say... They must be on the same rack as the CME server..

Is the 1-2 mics number you mention exchange to algo and back to exchange or just 1 way?

Most of the CME markets have a FIFO fill policy, so he COULD (i do) model latency in his backtest fill model if he has full tick level book data.

That being said, developing a trading platform "from scratch" is very time consuming (I've been at it for a couple years). You may want to just look into one of the scripting langues that are available with various commercial trading platforms

My vote is for C++, it can do pretty much everything and does it blazingly fast. I would suggest MATLAB, but it is very expensive unless you work for a company or attend a university that offers a license for you. My first language was MATLAB, and it made the transitions to C/C++ pretty easy...