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fix8 has much better benchmarks than quick fix :)

for an open source fix engine checkout quickfix: github.com/quickfix/quickfix/

I was under the impression that they supported Linux, guess I was wrong. Good to know about IB. :)

On the execution side of the business, FIX is the standard. If your system works through FIX it can work through most big brokers, regardless of your choice of OS. When it comes to institutional order flow, almost 100% goes through fix. Im not promoting to chose the broker based on a technical...

Wine can be a bit of a pain... Ideally I prefer to avoid windows altogether, but if given the choice I rather run a windows box and share the data through a samba server or write from the windows straight into db... mixing apples and oranges only leads to strange headaches in hard to reach parts...

http://www.cmegroup.com/trading/files/co-location-hosting-facility.pdf checkout the contact info on this product, Im pretty sure they can answer your question.

Here are some numbers on the latency of CME's FIXFAST feed using b2bits's parser: http://www.b2bits.com/performance_lab/cme-fixfast-market-data-adaptor.html this benchmark is on not-very-impressive hardware running on windows... so im pretty sure it could be optimized by moving to a thinner...

what kind of latency where you getting on rythmic's API? how much of it came on the quotes side and how much on the execution?

the latency on the exchange side is the same for everyone connecting to the exchange. So like the tide, everyone goes up and down with it. Once you make sure you are connected in the most efficient way, the right network cards, it configuration etc... then all you can optimize is your side. How...

hft To what extent do you guys use machine learning and AI in your systems vs using static rules? for example, earlier you mentioned comparisons between the bid and the ask size to forecast the next tick with a given level of accuracy. To what extend would you use a fixed interpretation (say...

Lovely. I got to b an Aprils fool in their August newsletter. :O

Some ppl can be almost religious around this subject. I see it as windows going 1 step closer to being a Linux distro :D

looks like windows is going to get a decent kernel for version 9!! :) http://itsfoss.com/linus-torvalds-to-join-microsoft/

There are orders that are truly hidden, like the non displayed orders at mayor markets (like NSDQ) or the orders sitting at darkbooks that have no routing. then there are orders that do go to darkbook routers, which try to find liquidity for your order across a range of darkbooks and liquidity...

the problem with this approach is that you are testing 2 things at once. 1. the predictive value of the signal or pattern 2. the effectiveness of the rules which you use to trade as a consequence of the pattern. separating the 2 effects can be tricky.

models that give future value? you mean like fundamental models based on the dividends and other corporate events?

R is the best of the 3 languages for doing any heavy statistics work, but lacks as a general programming language... (performance is not its forte). Python and C# are pretty evenly matched, in terms of performance and verbosity. Python's numpy and pandas libraries may give it some edge when it...

how would you go by testing to prove/disprove their predictive power once the computer plots the line correctly?

what's your usual holding time? (weeks? months?) how many strategies did you include in your portfolio of strategies?

very nice read. thank you. i specially liked the last line. """ the methods for analyzing systems for the presence of bias are in many cases more important that the methods used to generate the systems in the first place and are considered an integral part of a trading edge. """