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This could just be a function of the fact that currency market movements are having a greater impact on stocks and commodities than before. What happens to the analysis of commodities vs stocks when they hedge out the currency risk, and by that I mean with some counterweight on the other side...

(Moreover, these "fundamental assumptions" may have been insignificant issues at the time of design.)

Well, this is what I was referring to when I said the obvious answer. But it isn't so simple, at least, I don't think so. Let me give you a (possibly poor) example: Win32. If you, for example, designed around an event-based system, but then find that certain scenarios make the event...

Moreover, this is why when people do backtests, they really have to account for asymmetric results and add a hefty dose of slippage and commission.

Liquidity is what you're missing. It can vaporize or the nature of execution can change. Your assumption is that execution on both sides of your trade (win/loss) is the same and that the market has a kind of symmetry to it, but there isn't necessarily symmetry.

And by architect, I mean how do you avoid bubble-ups from core code in the trading world affecting everything downstream across all the various interfaces you use to trade? I know the obvious answer, but everyone knows the obvious answer and yet it seems unavoidable that small feature...

Yes and no. My experience tells me there are no-news spreads, which are tight and efficient and then there's vapor-spreads, where you "see" (i.e., at a human speed) a spread, but your fill at that spread is unattainable. Like the other poster said, if it's an illiquid stock, that vapor-spread...

Oh, with one exception: trading the news with the herd. But this is still most of the game of the manual trader, more so than the automated trader -- the vast majority of retail tools don't allow widespread portfolio-level testing in such a way that you could backtest a strategy that trades...

I don't doubt your comments at all, not one bit -- at least regarding speed. But on the topic of security, the reality is that if you run, say, a firm in Chicago doing HFT, your employees end up interviewing everywhere else and people know stuff about other people's stuff everywhere else...

The code on the servers doesn't matter, because my code could be cryptic or even shitty. The part that matters is the fills that I get and where they store them. If that's the risk, then we have that risk from people working at the CME, the clearing firms, and so on and so forth. And from...

Also interested in their costs. It says you can deploy your code onto their colocated servers. I'm sure it's expensive, but I'd be interested in them as an upgrade path, or perhaps doing like what some groups that use Genesis do and pool their resources and get the bots deployed to a...

Mean reversion -- on what time frame? Intraday or several days?

What are the guys who are succeeding doing, in a general sense -- what types of strategies? Momentum, multi-day reversion to the mean type stuff, and what kind of hold types are we looking at?

They are not strictly liquidity providers. They remove also, for a number of reasons. And when they do remove, they leave a mark on the tape that looks like something that would be trade-able during a backtest on a retail platform, but isn't. So the question I am specifically asking is where...

Any idea where to get sub-second tape?

I'm familiar with how HFT players execute their edges and rely on technical infrastructure, and I'm familiar with how the analysts and fundamentals players derive an edge. But what is the path of least resistance for an automated retail trader? The more the trade trends towards riskless and...

Send the 30mil illegal aliens home and you have an instant job creation scenario, plus welfare rolls that can support citizens.

It's the price I can't get over. You get so much more computing power per dollar with non-Apple hardware. It's also the fact that if you buy their hardware release at the wrong time, you end up losing even more money. As far as UI and usability, Apple products have always been more usable...

This kind of mirrors my results, I get about 10% per 20k thrown inside the market per year. I can't push this much higher for very long because the edges just disappear. I get about 2-5 cents per share traded in profit day trading.

Do any of you guys use volatility as an input to determine (predict) direction in any of your systems? Are there differences in how this works in the short term vs. the long term?