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Ok a couple of comments. I have been a part of a few HFT firms (a couple that failed and a couple that have been doing fairly well), even a few well known ones. You need to realize that HFT is essentially a "cottage industry", in that the firms are relatively small, even some of the largest HFT...

Ahem, if this "Feature" is provided by the Exchanges, then it would make any low latency trading (MM like) almost trivial. Since a simple "algo" would be like: 1) Enter a bunch of orders on the ladder. 2) Keep Inside order only if there are enough others Orders to "lean" on. 3) ??? (fairly...

A lot of what an "investment banker" does is fairly mundane stuff, since I was a "banking associate" until I went over to the trading side. Wait, first of all, let me clarify, there are "investment bankers" (strict sense), which are the people who structure deals, whether it is an IPO, a...

Maybe I am cold hearted as I get older. But I don't see the big deal in this. When I joined a bulge-bracket ibank back in 90s (ok, late 90s), we were told on first day, "50% of you won't make it past 2 years, a lot of you are going to bet burned out." Honestly 90 hours / week is not a big...

Ditto. MDP 3.0 is just SBE (Simple Binary Encoding), which is basically a fixed length version of FIX/FAST. Bottomline is, SBE is faster than FIX/FAST (and substantially easier to implement in hw), so if for a latency sensitive Rithmic customer, why not migrate to MDP 3.0?

I took a look at the CME sample data. Good god, it is just the RLC book update messages published through Globex. In fact, RLC is the legacy format and will no longer be published by Q2 2009. Every system uses some consolidation mechanism to merge the updates into the ticker plant, then it is...

PM me, I am a CME member, I can give you a hr snapshot of the "raw" Globex feed. It seems that will be what you are looking for.

Start here. http://www.futuresindustry.org/fi-magazine-home.asp?a=1274

The msg / volume ratio applies to MM as well, except some "new" products the exchanges are trying to get off the ground. But MMs, if they are sanctioned by exchange as such (not running a "pseudo MM algo", say), need to do a minimum volume as % of the total product vol daily, so almost by...

Yes, there are systems that do a lot of cancels (say 10k cancels a day), but these systems also trade a fair bit of volume. The reality is that the ratio is applied at FCM level, so the FCMs can choose to apply the ratios at an account level or not. It all comes down to revenue, let's say a...

Futures Exchanges, I guess I know something about this. In terms of Fill Priority, what Black Diamond described is called the FIFO (first-in-first-out) matching Algorithm. But a lot Futures products such as the EuroDollar and Treasury complex uses the Pro-Rata matching algorithm, which is...