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So you have an array of bars, the length of each bar defined by barsecs, then the array size is (86400 seconds) / (barsecs seconds) bars. When new tick arrives you calculate to which bar the tick belongs to and you update that bar with new tick's data. So you download real time data but you...

I probably did not formulate my question correctly. I download quotes from a broker in real time. From here I can aggregate real time quotes into (e.g. 1sec) OHLC bars and pass them to Strategy System to analyze bars to generate buy/sell signals. For example, I want to generate the signals...

Since OP is busy working on his system at the moment, I have a related question. Do you guys use real time quotes to generate buy/sell signals or do you aggregate them into, say, 1sec OHLC bars? If you use real time quotes then you get an unevenly spaced time series. How do you deal with it?

That's my thought.

what do you mean?

Just to make sure what ya all touting is to implement a reactor pattern instead of using multithreading which processes quotes for each instrument in a synchronous, sequential way? So if I trade twenty instruments (that's my near plan) then the algorithm will be processing the instruments...

So to process quotes from each instrument in parallel not sequentially. I have yet to look at the reactor pattern - I did not get to it. I remember your post from before. But if it is not multithreaded then it's a single threaded. Let's say not one thread per instrument but one thread per...

My trading is a one-man show, it's easier for me to start a new thread than to spend hours on optimizing an algo that might turn to be a flop. If I think I might be using multithreading in the future I might as well start developing for it now to catch all the bugs while I am trading...

OP is using Python, I develop using C++/STL/POSIX on Ubuntu, I am almost done with infrastructure and soon to start with strategies whenever I get time for this again. At least I need to calculate SMA and st. deviation on, say 1000 quotes, I haven't done profiling to estimate how long that would...

Because processing each instrument takes time, say it takes 10ms, so if I trade 10 instruments it takes 100ms to process them all. That means I am 100ms late on the quotes, so when I start processing quotes in the next loop some of the the quotes will be 100ms old, which is essential during fast...

Looks like an interesting read from a practitioner, looking forward for your review.

Trading a single instrument is ok not to multithread, but I want to have multithreading to handle processing of multiple instruments.

@tiagor - do you use multithreading? Such as downloading quotes (Shell) in one thread and processing quotes (Ghost) in another thread.

Are your shell and ghost two separate executables?

They are dropping FAST protocol which is a compression of FIX because the internet became fast enough and no need for compression. FIX protocol is alive and well.

I hope you're not right.

Any updates on availability?

The value of one contract is 50 times the value of the S&P 500 stock index, meaning 50 x (say) 1350 = $67500. Is it correct?

He was even featured on Wall Street Warriors. A guy had a streak during the bull market with his penny stock strategy but now he's just milking his popularity. Oh, he also won CNBC challenge. He is one of the managers on covestor.com, his performance is not bad actually.

The usual suspects Dow, Reuters, and Bloomberg provide real-time market news. Also, theflyonthewall, celerity, ravenpack, and recordedfuture. You can select what sort of news you want them to send to you. I do not do news trading so I cannot comment on them. Good luck. If you find a news...