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I think fault tolerance is defined by the brokers' rules. I use FIX protocol to place orders and each FIX message has a sequence number. Every time I receive a new message from a broker I check if it is not out of sequence. If it is out of sequence I send out Resend Request message to resend me...

Exactly my thoughts about LinkedIn. Despite everything I find ET more informative.

You can look what GRE Computer Science Subject test covers which is pretty much what is covered by any CS undergrad program: http://www.ets.org/gre/subject/about/content/computer_science Graduate programs specialize in a certain area such as Cryptography, Machine Learning, etc. If you don't...

www.cplusplus.com Their tutorial is ok, but reference is excellent. They are in the process of updating it for C++11.

Read this ongoing thread you haven't yet. http://www.elitetrader.com/vb/showthread.php?threadid=266270

Ok, thank you.

How do you scale to use more computers/cores for backtesting? Is it like you run a strategy one (housed in an executable) against a first set of symbols for the whole backtest period on a first core, you run the same strategy against a second set of symbols for the whole backtest period on a...

Why did you write down IB from your list? They do offer C++ API without installing TWS.

You are right, MFE programs (also called Financial Mathematics, Mathematical Finance, or Computational Finance depending on the university) are mostly tailored for derivatives valuation and not trading/systematic trading. Usually such programs have only one course in statistics in finance...

OP - that's you - Original Poster.

Let's make a distinction, quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to...

LOL

Someone has already mentioned book by Tsay: http://www.amazon.com/Analysis-Financial-Wiley-Desktop-Editions/dp/0470414359/ref=sr_1_1?s=books&ie=UTF8&qid=1366289256&sr=1-1&keywords=tsay Also, Hamilton - is very theoretical, you use this book if you write a Ph.D thesis, otherwise you're...

Right, I know what you talking about -- thanks.

Why to use int instead of float? Both int and float are 4 bytes, at least that's how C++ stores them. Stock prices use 2 digits after decimal point, currencies use 5 digits (except usd/yen which uses 2 digits). Float type with 7 digits can comfortably store those prices. However, when doing...

Throughput is measured in MB/s that's why I did not get you, that is 16 million messages by 16 bytes per second equals 256MB/s. Do you know your latency?

So it was you who brought up ZeroMQ then I got it wrong about 2rosy. I found an article where someone compared the performance of OpenDDS vs ZeroMQ vs Boost. He claims ZeroMQ latency 170 microseconds, which is ~5882 messages per second. Am I reading it wrong or why do you think there is such...

@hft_boy Excellent post and special thanks for the code. Sometimes ago 2rosy (I think it was him) mentioned ZeroMQ which looks like is using TCP underneath. Shared memory should be faster. I am using named pipes right now that takes ~900 microseconds hence I am looking for something to...

I thought Active Tick is only for feed. However FXCM and Gain were sued by Gov't for front running their customers, hence I would not trust them. Read this thread, it's very informative, geared towards auto trading Equities on Linux but many of those brokers also deal with Forex...

Check this thread on ET: http://www.elitetrader.com/vb/showthread.php?s=&threadid=248841