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Oh absolutely! In fact, if I were to do it all over again, I wouldn't have chose to write it in raw C. I am sure that everyone who had to it all over again it would be "better" in one way or another. My problem is that I became a tech manager (I was pretty senior before I switched over)...

I have never done this ... But I know an old-time trader that forgot to roll his soybean positions (he was a big alcoholic) and ended up taking delivery of 3.5 tonne of beans, so he rented a storage to store it (it doesn't go bad that quickly) and then ended up selling it with no less. Of...

Argh, we are working on different product universes. I can see how equities would mean large data storage. I trade about 10-12 futures and options products, and even with all different instruments (expiration dates), my daily data barely break 1GB. Basically, I wrote a separate data...

I believe that sharing design (for in the beginning) is probably a decent way to go. The incentive question is very important. For instance, Jody Goldberg, the author of Gnumeric, works on a number of quant analytical systems (using pieces of Gnumeric) as his RealJob for a while, but even he...

If I remember correctly, Piccolo is just a block book (aggregating all the GS internal and client flows) algorithm, at least that's what I heard at the automated trading workshop that GS sponsored around beginning of '05. Let me see if I can dig up the presentation somewhere (it is probably...

The most successful independent trader that I know lives in Monaco (he is German). I visited him once in his penthouse overlooking the beach (I think it costed him E$4M), very nice. He still trades daily, the hours are almost perfect for him, waking up at 10, lunch, start trading around 2, and...

Pairs trading between future contract is almost a standard trade for statistical arbitrage. The following presentation was given at the Futures Expo in '05, it outlines a fairly standard ES/NQ pairs setup. I know the author (who is a long time CME member, used to be head of interest rate...

I know a system run by a huge treasury trader that downloads the Bloomberg headlines using the Bloomberg API (client side), so that it would react to economic events a fraction of second faster than human traders. The system just do some very simple text parsing on the economic announcement...

Merrill has certainly built up a very big program trading prop desk recently(after hiring D'Souza from Morgan). However, knowing some of the Merrill's customers, these could very well be customer business (they have a few huge hedge fund customers), as they do very little arb type of business...

Not necessarily, the group doesn't necessarily all behave in the same direction. I have seen two or more "big" guys (or blackboxes) go at it, each throwing 1000+ contract orders in opposite directions, interesting to watch. Since I run a purely automated system, I have plenty of time to watch...

If you talking about the SP (the big contract), then only a few index or statistical arb funds or prop desks I know of would take 1000 SP contract positions. But if you are talking about the e-mini, 1000 ES contract is only 200 contracts of SP, quite a few individual traders have known to take...

Glenlivet 25 year old, simple. I once got a bottle a year ago, still haven't opened it.

Generally, building some kind of failsafe is a good idea, however, it should be based what the strategy is, and what the expected behavior should be. For my system, the failsafe is tightly integrated into a completely separate risk management component, one that can go flat, cancel all working...

A similiar question was asked a while ago ... go through the replies for some general industry studies. http://www.elitetrader.com/vb/showthread.php?s=&threadid=59411&highlight=VWAP Rufus

Really? There was quite a bit of activity in ES yesterday (1/11) in the run up to 1300 (which I believe was driven by index arb activity), similar ranges in NQ and YM. Today is decent. But I am seeing that fewer of the retail flow, the flow for rest of the week before the holiday weekend will...

The simple answer is no. As I have indicated before, during my days in chicago, I am fortunate enough to be somewhat familiar with a few trading firms, incluing DRW. While I can't claim that I am very familiar with their methods, their strategy category is quant based market making. To do...

I have a circle of associates (mostly people I went to school with, and former colleagues), all of whom are involved in automated trading in one way or another (prop desks at ibanks, DMA, hedge funds, etc), so we share information fairly openly amongst the group, I just happen to be the main...

Unfortunately comparing automated systems is a bit like comparing apples and oranges. Most of the automated systems that I know are highly complex systems. these systems are all custom written (in C/C++, Java, etc), and are not dependent on a standard environment (such as TradeStation). To...

I am aware of at least 2-3 people on ET alone that runs somewhat sustainable automated trading systems. As I have said before, I run a couple of completely self-built automated trading systems. However, the amount of resources (both time and investment) required to build a successful automated...

Somewhat relevant, naturally it only relates to finance jobs. http://news.efinancialcareers.com/NEWS_ITEM/newsItemId-3828