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Well, anything by Engle I take quite seriously. Heh. The presentation is fairly well written (but a bit sparse, I am looking up their actual journal papers now), I am actually thinking about applying their modelling technique into empirical observations, I have already implemented a variant...

Calculating a margined instrument, say future is quite standard in Sharpe ratio calculations: http://www.miapavia.it/homes/ik2hlb/sr.htm For an intraday, I would use your intrday Maximum position as contract sized to be used in the calculation (for margining, etc), then calculate the daily...

Since you have a CS degree and did Eurodollars, why don't you try Gator and Geneva? Your background should an ideal fit for either of them. Gator partners are Jack Newhouse and Keith Burchett are the partners. You should have heard of either Jack and Keith, as they are huge ED locals. If...

It is very easy to reverse engineer DLLs, just write a custom loader, and then observe the memory regions change, memory and disk accesses would give away information. However, you can get the developer to develop a generic engine for you, and then you add in the custom parameters (throw a...

Interesting ... I agree that I have yet known one case where a small sized (i.e., not in the top 10 in volume) MM have tried to do full automated MMing. However, although one have no insight into the automated algorithms used, their behavior can be modelled for non-MM systems to be taken...

It is by no means easy, finding a profitable strategy from high volume trading is quite hard, and then it takes a fair bit of work to develop the automated system itself. It is not un-usual for such a system to take *years* and 3-10 people. Most prop firms I know do not have the technical or...

I saw that too, however, only simple order book balance algorithms would get confused by such as size ask, it depends on if the algo maintains a theoretical price, so the size of the book is only one factor in one set of possible algorithms. Most black boxes I know takes a variety of algorithms...

TT will probably continue to do well if they innovate, but their market share will probably shrink as the futures trading market becomes more fragmented. I have observing TT for over 5 years now, but I have never *used* it for trading. Compared to other futures front-ends, TT is the leader...

Simple answer, relationships and track record. I know quite a few of these guys, so maybe I know a bit of the inner workings. Believe it or not, a lot of the sell-side analysts have done good jobs in predicting earning growth, yes a few "promoters" like Blodget and Grubman get all...

I assume you are talking about annual returns, consistently profitable month to month is difficult to achieve. Since I haven't dealt too much with retail traders, rather, spend most of my life dealing with professionals (wall street, hedge funds, mutual funds, etc). I would put around 20%...

nitro, good to hear aout Redsky. But I am curious as to your experience with Redsky, in terms of support, performance, etc. Do they route to NYSE now? Stefano, Brent, and those ex-CRT guys know what they are doing, good outfit. I haven't talked some of those guys for a *long* time...

This is off topic ... But I am curious, how do you find the TT FIX Adapter, in terms of standard compliance, performance, etc? Russ Rausch and I had a long chat about a year ago, when they were working on it, and like their MD mechanism, it had some clear performance problems ...

Yes, I am a QuickFIX user, contributed pieces of code to the QuickFIX team. I interface directly into the exchange gateways (CME, ARCA, INET, etc), so I don't interface with any brokers. I had to extend a lot of the functionalities in QuickFIX, but the base library is fairly good. I...

My system trades often (would almost classified as high-freq), betwen 30-80 trades a day, for the pairs strategy. I use tick by tick data, in an universe of around 500-600 equities (including international equities), updating a custom in-memory pairs table / database. I don't compute...

Good, but compared to some of my other automated strategies, not as good. The vol divergence risk can be hard to swallow, at least for me. Sectors work better since vol doesn't change too much between days. The downside for sectors is finding good representive sector baskets, and manual...

Okay, I will bite. It depends on the instrument that you will be making a market on. Like some one pointed out, Equity market making is almost none-existent these days. With Thain's plan to completely electronicize the NYSE floor, the floor market makers will become order processing...

Most funds (say, Citadel) that uses several prime brokers for confidentiality reasons, since some funds are known to have size of positions that can move markets (e.g., the fairly notorious Turdor $800M short of Nasdaq 100), and such information can / will be traded on. Funds also use...

You need to do research into what the prime broker does and *want* to do, if you fit into their future product / technology / growth strategy, they will take you, even if you don't fit the "standard" profile. You will be the "guinea pig", if you will. The second tier or third tier look...

Wow, I am having flashbacks, it has been almost a year since I left the scene. Heh. This is probably the last brain dump, since I need to tune my model. :) Choosen the right "stable" of startup funds is more of a black art than anything else. If anything, there are pecking orders in...

I absolutely agree! But why so many top grads want to get into Wall Street, I have no idea, is it just the money? Sure, a 25 year old make $250-300k a year is "cool", but that is the big deal? In 20 years the kid will be tossed out to the sidewalks. I been through a lot, the late LBO...