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I don't see what the big deal is. log( x / y ) = log(x) - log(y) You take the top price, divide it by the bottom price and take the log for an arbitrary fixed window size? Your max peak-to-trough return possible for a single hold, and that becomes a measure of the volatility. Fine, I...

Tried to get them to answer some questions via the live chat facility: MBT Kaine: Hello, Welcome to MB Trading! How may I help you? MBT Kaine: Emily Deshawn Washington: i would like to know what ECNs your forex platform Deshawn Washington: gives connectivity to MBT Kaine: we do not...

Maybe post the paper, or reference it so we know what you are talking about.

A lot of people say it's high school math, but I find myself at odds with traders who only understand the math at a high school level. The fact of the matter is that you need someone with a real statistics (maybe MA Math-Finance or MFE) to do your risk calculations correctly. This isn't to say...

If you're fading stocks like AM, how do you guarantee that a burst of flow doesn't come in and thump you? Are you making discretionary trades based on the time and sales and depth of book while counting on retail flow to dive in and take your offer? Who exactly is offering liquidity on a...

This is why I started the thread -- I can't control the way the text files are. They're created for us by a third party, and they're wrong. The vendor has some loose system where you have logging of tick type events, and those ticks are more or less marked so you can track responses to them...

Boost is cheating, but I think you know what you are doing so we'll just silently acknowledge each other's points. ;-)

I did a bit of everything, from exchange connectivity to strategy development, to working out hacks to improve our bottom line. The difference between me and your usual software/hardware guy is that I was in a business group, not in an IT group. That's the distinction. To say I gained...

I can't speak for others, but my compensation has never crossed 200k annually. My bosses and such have told me that it's because of my timing and such, and that people with my exact same position have crossed the 400k mark in good years. To me, there's no difference between 50k in a cheap...

My bad. To be fair, there was no way you could have read my mind. Still, I'd like to make it clear to you that your approach is still not scalable with a practical example. I'll use an example that isn't all that uncommon. The code you have listed above is not really what I had in mind --...

I don't know. :-) It's an open research problem I'm working on, and have a journal for. I post on ET hoping someone will tell me I'm horribly wrong every now and then so I can go revisit what I've looked over, but so far people seem to agree. For example, I was looking at a stat arb...

Slower infrastructure implies that you're carrying more risk. Liquidity and availability of liquidity are essentially functions of time, as is order flow. Retail traders, through broker-imposed constraints, are essentially boxed into running either long-time frame arbitrage strategies or...

Yes. You find that when you run certain strategies, you need things like rebates, support from exchange, and direct connections to the exchange that retail brokers tend to abstract away from you. Even Genesis (one of the better retail brokers) gives you nothing more than a...

One comment, though. I have the unfortunate predicament of being only able to work in large institutions. All the strategies I work with and employ require so much infrastructure that my career is very dependent on wealthy organizations. Trying to go independent has been extremely difficult...

... I am a 'quant trader' -- I have a BS in computer engineering and a masters in statistics. I can't tell you how awesome this combination of degrees is. The reason is because the math you pick up from the electrical engineering side of computer engineering, the software and algorithms side...

Even in the general business case, people underestimate the impact of a malloc() or a new in their code, or the cost of a constructor. I've seen, in the IBank world, people losing milliseconds because they have the idea that that 'new' is cheap. It isn't cheap, and neither are operations that...

This I semi-don't agree with. If you're writing code to deal directly with the exchanges, you should use C/C++ and you should do it correctly. This is where there is real trading edge, because too many participants on Wall St. don't understand what makes this piece of the puzzle really work...

Problem is that I need the OpenBook and BATS data from the same day as that sample.

And another thing: Working with time in C++ is a total waste. datetime.timedelta and datetime.datetime = simple, fast, lazy. FWIW, C# people have a good class for this stuff also. But in C++? Maybe link in another good time library? Total waste!

The amount of time it takes to change the code to adapt for a new formatting is tedious if I have to rewrite the parser using istringstream. Log files can and do change in organizations. I'd much rather change the regex and the group ordering than go adjusting my reads out of an istringstream...