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someone with experience or knowledge please reply.. thanks

Hi - what is the typical compensation for IT programmer doing systems development and data management in a hedge fund? (base + bonus) I currently work in a ibank and wondering if I should switch over. thanks, Sammy

Yes, but we need data for futures trading on comex, nymex, cbot as well.

Hi, We need to get historical market data for futures. Some sites like http://www.tickdata.com/html/available_data.shtml provide only trades and volume. But we need historical bid/ask quotes for the futures as well. Do you know where we could find this data (going back to 2007) at...

I am currently working in a hedge fund as a junior strategist and would like to specialzie in this area. Can you suggest some foundation classes to take?

Hi, I am planning to take a course in financial engineering and high frequency equity trading in Jan. Can you guys suggest some resources for reviewing the fundamentals needed for the subject, such as, linear algebra statistics calculus thanks, Sam

Hi, I am in need for a simple automated trading system. I used to work for a hedge fund and now planning to run the strategies from home. I need some suggestions on some good platform that I could use that is simple, streamlined and easy to back-test and automate. I don't need any charting...

Any ideas? thanks, Sam

Hi, I am looking to create a list of all securities being traded in US and EU associated with all possible identifiers such as symbol, exchange, product id, product type, ISIN, cusip, RIC, bloomberg ticker, etc. This will help me in mapping any identifier to any other identifier (e.g...

Perfect! thanks.

Hi, Is there a site that provides a downloadable list of securities mapped to its primary exchange. I should be able to setup a job to download the list automatically from the site (using wget) and use the list to get primary exchange for a symbol. thanks, Sam

Hi, I have accumulated the following data for a set of securities I have been working on for from different sources. The data that I have is computed daily for each security and each exchange. So I have data separate for IBM,NYSE and IBM,ARCA and IBM,BATS.. 1. No of changes in level...

Hi, I have a set of daily standard deviations each computed from a daily data set. I need to approximate the net volatility / standard deviation. I think computing a simple average of the standard deviations is over simplified and may be flawed. Could you please suggest an alternative...

Can you give some suggestion or explain why the above won't work?

Hi, I am doing analysis on a high frequency trading strategy and want to generate 10-sec interval volatility numbers for certain symbols. For this, I snap the top of the book at 10 sec intervals and compute the standard deviation of the log returns for the day. To improve my accuracy, I want...

Thanks for your reply. Yes, I am computing tick by tick returns and then their standard deviation to get the daily volatility. 2 follow-up questions: why is "logarithm" of the return required in this case? Do you think simply averaging daily volatilities to get aggregate volatility...

Hello, I am computing daily volatility as the standard deviation of the returns/movements at the top of the order book for a symbol. that is, midpoint = bid+ask/2 return = new_midpoint+old_midpoint / old_midpoint volatility = std_dev (return..) What do you think about this? Is...