Search results

I thought institutions competed by internalizing orders and using there own dark pools.

http://www.amazon.com/gp/search?index=books&linkCode=qs&keywords=0792376013 I change parameters depending on market conditions but this might be better and will poke around.

why a list instead of a tree?

fpga based http://www.novasparks.com/news-and-events/press-releases/novasparks-announces-fpga-based-order-book-capability-for-global-cash-equities.html

is the map orderid->position in queue so you can handle order cancels in o(1)

it is about the basics. if you know the foundation you can pick up anything quickly. If you dont know the basics you end up memorizing and continually learning proprietary tools. I worked for big trading operations in a programming capacity and everyone had the basics down, even the traders...

so what is it? I can processes each message in about 209 ns :D

if you learn the technology/tools you will endlessly be learning some new product each year and not know what its doing. Just learn the basics of programming and you're set. here's how to program... 1) set variables. a=1 b=3 2) write some functions add(a,b){ return a+b} 3) do...

is bid/ask analysis less important than last trade? imo, i like looking at the market rather than last trade

whats your data structure? I use a tree for bids and tree for asks. Each node/level is a list of orders. There's probably a lot of other places you can optimize other than the orderbook.

what does "they will allow you to use upto $ 1 million" mean? Can I use that 1 million to buy a parking lot?

you can use http://quantlib.org Here's compiled python windows bindings

I pipe static messages through the prod(realtime) code base as well but only after things look promising. for research, it's easier/faster for me to hack around with ticks in a striped down environment where I only need to deal with one thing.

I refer to tick data as static ticks in a database of some sort. I refer to realtime data as data streaming off a feed. Programming for static vs realtime is different

usdyen rr

I used this with tick data, not a realtime feed. This was for time bars but you could make transactions bars, etc. For realtime stuff i use a library that does almost everything for me

this is what I was referring to with a list of bars class BarList(object): def __init__ (self,barsecs,runningtime): totlap=86400.0 self.barsecs = barsecs self.totcount = totlap / barsecs self.bars = [ Bar() for i in self.totcount ] def newTick...

you're right. actually i use esper which does do a window. but I remember I did create a list of bars and set those with ticks for something somewhere, maybe it was for static data ticks

use realtime. create an array of bar objects and then as quotes come in set the appropriate bar's attributes

I remember about 5 years ago the wifi on the floor went down due to one firm