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  1. 2

    best way to prepare data for real-time auto-trading under IB?

    neither approach. I would use reqMktData() and build bars in the program. You could use this bluemountaincapital.github.io/Deedle/index.html and keep appending to a dataframe drop older stuff. It lets you do stats easily.
  2. 2

    Python Code Example

    here's a barebones example of getting orderstatus gist.github.com/audubon/b14eeda1c2cad704b333 You can add calling reqAccountUpdates() and implement updateAccountValue() and updatePortfolio()
  3. 2

    Are the majority of great traders systemetic or discretionary?

    they have all been in the right place at the right time: standing in the pit getting all the orders from a filling broker, making markets in options in the 80s/90s, electronic trading ~2000
  4. 2

    picking up pennies from the floor, 12 contracts of SPY jan 15, 215 calls.

    agreed. they are lottery tickets
  5. 2

    CME tag 346 Aggregation

    Fix messages always had multiple market data entries. That's not cme specific
  6. 2

    RAM Disk "Write-Through"??

    not sure what you mean by written to storage "realtime" but here echo "hello" > /path/to/storage.txt
  7. 2

    Can algorithmic trading systems beat human traders?

    its really hard for a machine to get a truly random number :D
  8. 2

    What defines a successful strategy?

    > 2.5% per annum
  9. 2

    Data structure to store Interactive Broker data

    you can use various cep libraries (esper in java) hazelcast,GridGain java streams
  10. 2

    What techniques to market makers use to manage operational and 'massive' adverse selection risks?

    yes or in similar markets and with rfqs
  11. 2

    Smoothing price data prior to use as input?

    if you have a lot of spikes you can't really scale using mean. you could use median and percentiles
  12. 2

    What techniques to market makers use to manage operational and 'massive' adverse selection risks?

    pick your market. I wouldn't make markets in front month crude oil but would in csos or any rfqs. there are still people in the options pits making markets: grains, meats. on the screen with average software you can't stream quotes on anything but otm without getting picked off
  13. 2

    Any instruments insensitive to broader market price movements?

    cash would be the most sensitive to price movements
  14. 2

    Data structure to store Interactive Broker data

    What are you using this data for? I would use python pandas or blaze libs. They do all this
  15. 2

    Financial Transaction Tax and the future of HFT

    if there's a tax then people would just widen their quotes. if i have make a market 10 at 11 hoping to make 1 but the cost is greater then 1 then i post 10 at 12 instead.
  16. 2

    Storing tick data with Python

    castra and dask seem pretty good http://blaze.pydata.org/blog/2015/09/08/reddit-comments/
  17. 2

    Real Time in the browser

    i go with websockets . https://flask-socketio.readthedocs.org/en/latest/ yes, you listen for messages from somewhere and then fire a message in your web app and https://github.com/mleibman/SlickGrid
  18. 2

    What algorithmic trading firms use Scala?

    credit suisse
  19. 2

    What algorithmic trading firms use Scala?

    cs had a treasury auto market making system in scala
  20. 2

    Looking for Interactive Brokers "shell" in C# or Java

    Unzip. Click bat and exe. No source. You need java8
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