Search results

Genuine question. I've read some of pneuma's recent posts (seems like a clever guy), and wondered whether he's changed his mind by now. Perhaps we'll get a response..

Hey pneuma, changed your views at all? :p ..Living in the flat yield curve world..

other market makers aggressively screwing-up can be entertaining.. other than the initial pang of worry that it might be "us" off price. good times..

Lol +1. Wait, you're suggesting retail flow actually makes it to an exchange?

Are you selling latency or bandwidth? :p

+1 :p

This just got interesting :eek:

True in derivs. Not so much in delta one.

Quotes priced off the hedge, + a margin. Get hit/lifted on the quote, pay the spread on the hedge, and you're done. Next punter please.

None of this makes any difference unless your external "stuff" actually makes money. Only then will this employer start to care, and then maybe come after you, suing you to recover the upside from the intellectual property you built that they stole, with your consent. A lot of quants...

Yep .. KDB / q & VBA = man-grownup. * I think the free version might boot you out every 4 hours. I fiddled about talking to KDB from Java at one point, for algo analytics. Not the slowest part of the bank's infrastructure.

I might add, that to get started, the OP could use ... ahem ... VBA. Select * from myTicks Then loop through the recordset, picking out "features". Got to start somewhere...

Sometimes there's a fair amount of information that can be inferred, depending on the nature of the strategy. If say, some algo is trading single outrights, it's going to be hard to reverse engineer, as you don't see the model, or the hidden states, you just see the output. But, if it's...

It's likely to slow down their path to ruin. But, isn't this what paper trading accounts are for?

Odds per trade would be the same. Expected trades-to-ruin would change.

I'm expecting more HFT shops to give up, and to try to sell themselves to banks, as technology IP, modern trading platforms etc. Lots of old infrastructure & 1990s trading platforms in banks.

Investors? :D .. I think there will be a gradual return to more of a market maker model, as in, you have to be assigned mm status to do certain things. And, that designation can be taken away if you don't play nice.

That's a recipe for wide spreads. If I quote, I'll be effectively selling an option for zero, expiring in 1s. Quoters being exposed to FOK'ers.

If they're quoting index futures against the basket .. And they're amending size down as basket component liquidity reduces .. And they're adding a new order when basket component liquidity increases (to maintain queue priority) .. Then there can still be a lot going on. Multiple...

I'd guess there'll be a bigass market maker exemption.