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The author (and operator) of the system is someone I know well, and we exchange ideas (we trade different markets, so the systems are not in conflict). And that's all I am willing to discuss, no information about the markets, strategies, of the system, since it is not my own. As I have...

Best is a highly subjective term. But just to illustrate some of the level of performance, take an example, I know of one system that started with a little over $1.4M on Jan 1 of this year, and has generated about $10.8M of profits as of close of market friday, never had a drawdown more than...

Yes, quite a few people use QuickFix here, I use a blend of QuickFix and my own Fix package (eventually replacing QuickFix) to connect to Globex. I have not heard of tech consulting firms selling the standard market data feed handlers for MDP for a low price, I believe CMC would charge about...

Basically, you are looking at one of three possible setups. One is to co-locate at a broker / clearing firm that has a direct link to CME, you need to ensure that the firm has at least a 10 mb/s network link (should be the 20 mb/s ideally) to Globex. Naturally, most firms would want you to...

Well, I run a few automated systems, so the systems are working I suppose. It is hard for a single big local to come up with a complex automated system, since these systems require quants, developers, etc, all are fairly expensive resources, unlike the clerks that could be had in the old days...

Interesting, I was never a floor trader, being mostly an upstairs quant and all. But to give some context in today's automated systems. An automated system that does 10,000-20,000 a side today is not that big (probably considered "medium"), I know of 2-3 systems that averages 150,000 a side a...

First of all, I have zero knowledge about IB, so any information I have might not be applicable. Savvis do provide data center hosting services in Chicago and New York, I host my servers in both Chicago and New York. It is not too bad, about $1500-$2k for a single server setup, and connect...

I will try to answer. I am a CME member (along with other memberships) and trade some of the CME products professionally. First of all, it all depends on how direct the server's connection to CME is, and whether any internal check is done (such as risk limits, etc). 1. If you are in the...

Well, personally I know of a few trading firms / funds that had a bad may. Problem is cerainly volatility, the high volatility during the 1-2 spiky days are problematic for both trend following and mean reversion short-term strategies. Also the commodities market seems to have topped as well...

Somewhat successful. I know Roy rather well, his fund didn't do so well for the last 2 years or so.

Having spent a large portion of my life inside large ibanks, I can say that the large firms tend not be very efficient and highly compartment-ized, and are knee deep in politics. When I was running my analytics group, sometimes I had to appeal directly to the global head of equities just to get...

Well, I am a member of both CME and CBOT. This very topic was discussed a while ago on the futures threads, and my responses are as follows: http://www.elitetrader.com/vb/showthread.php?s=&postid=1058393&highlight=CCL#post1058393...

There are more than a few AMEX ETF traders which their own technology, Samurai trading come to mind. But I am not sure if their technology can be licensed, etc. Here are a few more market making software vendors. As of end of '04, MicroHedge and ECI does not provide ETF quoting, but you never...

By the same argument, there are measurable performance differences between pure C and C++ (5-8% by some benchmarks), not to mention systems wrote in pure Assembler vs C (approximately 10-15 has been measured). I am not an advocate of Python by any means (my personal scripting language remains...

The document describes a "professional account holder" as some entity (individual trader or otherwise) that places 100 options orders for 2 or more days in a row. While this seems to be a clear grab for bette order position by the broker / dealers (most of whom are at least EAM for ISE), and...

I am surprised that no one answered your post. My knowledge is probably a year out of date in terms of ETF quoting. But in terms of Vendor software (as versus proprietary software), you can try: Orc Software, http://www.orcsoftware.com Maybe RTS and Actant too...

Actually I am mostly an off-floor electronic trader (running mostly automated strategies for the past 4-5 years), so I have never spent significant time on the floor. But my observations on the floor did show me a different perspective, a very useful one. I used to argue that the core LTCM...

Thanks for the link. It is interesting that when I first saw it in '00, I was doing off-floor analytics, and I have never seen an exchange floor, seriously. I was one of those quants who believed that the models will eventually be proven to be right, almost without exceptions. Then I went...

I can only speak about the automated systems that I know. I run a few automated strategies myself, professionally. It also depends on what "failure" means, is it just a profit/loss measurement, is it a stable return measurement, or is it able to handle different markets. In my opinion, some...

It is interesting that we were just talking about the trade-offs between self-clearing and clear through an established clearing firm. I am not familiar with HLV as an operation, but it seems like they were trying to meet the bare minimum of the DTC requirements everynight, and ran into margin...