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Similar risks hold for any physically held peer-to-peer stored instrument. Cash can be lost, gold coins can be stolen, bags of coffee can be damaged by flood, the disk that holds your crypto wallet can crash. At least crypto can be backed up; no way to back up gold bars! Maybe insurance... I...

Heya Lee, Thanks... on that note, can you recommend a couple of switches at different price points?

https://www.poloniex.com/exchange#btc_xrp

So, do you want to check this into github, or should I? https://github.com/kmiklas/Ritchie/tree/master/data Imagine an exchange run by the open-source community. Linux, Gnu, Node... Ritchie! This project is a winner. Where else will you have the opportunity to build a market data server from...

Working on the Ritchie market data server, and I've hit a UDP socket programming problem. Why is this unicast not being received by the client? I've been hammering away at this for hours. Grr.. ;( - I'm sending price ticks in the form nn.dd; e.g., 42.23, 93.75. Just 5 bytes for test purposes...

Make sure that you stay in compliance, especially if you're trading others' money. That's is on the short list in your threat document; The Powers At Be will put you out of the business--permanently--if you don't play by the rules.

Heya Robby, Welcome! Who is your broker? Reason I ask is that broker Application Programming Interface (API) vary by broker. Some are much better suited to programming than others. Also, where are you getting your market data, both "real-time" and historical?

Yes, Python has a regular expression library, but speed is usually the issue. Generally speaking, Python is slower than C++. When an arbitrage opportunity arises, the C++ algos eat through the order book, claim their profit, and slower users get stuck with the leftovers. It's annoying; you place...

Yup. We can represent any price pattern as an ASCII string, and execute regular expression pattern matching algos. Its reasonably straight-forward, and C++ provides a rich pattern-matching library in the form of the <regex> library. This is pretty much what Citadel et al. are doing behind...

If you're interested in quantitative strategies I have some pattern-matching algos that might be worth testing. Basically, I translate candlestick and price points to character streams, and then use C++ libraries: either string function or regular expressions, to match patterns. Example...

Funny you should mention this! That's the type that I used to build the class; great minds think alike ;) Note that I'm not sold on this exact implementation of price. Noting your comment regarding fixing decimal places per instrument, I've tried storing the number of decimal places in the...

Ah, ok... that was a stupid question. :confused:

Which numero uno? There's a couple of them in this thread :D

Hmmmm... do counter currencies with a relatively large fractional value against the base in pricing carry more significant figures? Rounding in this situation can cost. Example: Assume these exchange rates. Note the relatively large fractional value of the JPY against the USD of about 1/100th...

Thank you! That was very helpful! I really like the idea of creating and extending a "Price" class. I had thought of making price a fundamental type (int, double, some size_t, etc).

What is the smallest pricing increment that you've seen for Forex? I've searched around, and according to The Google and Wikipedia, the smallest Forex price increment is a pip; specifically, $0.0001. On my terminal, I see a fifth significant figure, that appears as a small 5, sorta like this...

Why do you think that I'd be better off building this in C#? As I see it, C++ has some clear advantages: 1. Implement in Linux, making available an open-source, open-kernel platform for perf tweaking, and all other Linux beauty. C# can't be compiled on Linux (at least not a C# compiler that I...

Usage is for price representation on the Ritchie Stock Exchange. How should I store prices in the order book, market data, logs... prices are everywhere. For U.S. equities, the price must be accurate to the penny; for forex, to the pip (0.0001). Zero tolerance for error in price!

Thanks for your replies everyone. This is one of those problems that seems trivial on the surface, but there's a lot of "gotchas." We all know that if the price is wrong because of machine error and number representation, somebody is going to hurt! I want to do this properly, and get it right...

Hey All, What type is considered is "best practice" for price representation in C++? I'm building an order book, and have run into the rounding error gremlin. The problem is ubiquitous, but in this example, I'm using a double to both represent a price point, and also as a key in the bid/ask...