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I have not used it yet but of all the open source solutions its the one that looks like it had design by the most sophisticated programmer. I also note that it will tick backtest with milliseconds (though that does not seem to be OP's concern) which is rare.

There is a lot of junk to sift through to get to good posts but a decent fraction of good posts I think would be unlikely to be made if they had to reveal their name. Look at the recent posts from hft about how high freq trading works. I think his golden handcuffs would make it impossible for...

I appreciate your work and I have a few questions and one suggestion at this point How frequent trading per instrument per day do you want your backtesting system to simulate ? I know you only said down to one minute but how fine time stamps have you implemented ? Have you put in...

HFT you suggested that both futures and options are something that somewhat less funded (slower) firms might focus on. Futures make sense because they are traded in one place so especially if there is no good off exchange hedge, you dont really need fast interconnect (microwaves) However...

Thank you Jonathan. However saying you have space is not the same as saying that we can connect the R | Api directly to a server in NJ rather than connecting through a server in chicago. Can any R | Api user receive data and send orders directly through a server in NJ ?

Does Rithmic have public servers in NJ now ? I ask for the following reasons : 1) i would like to standardize on R | Api for futures/options/and stocks 2) CBOE moved to NJ 3) Bats is in NJ

One thing the OP is likely missing about Rithmic is their servers are in chicago. 250us might be correct if you are trading at the CME with a server in Aurora. Once I saw the CBOE was moving to NJ there was now another reason for Rithmic to put one server in the NJ area other than BATS, I asked...

I have seen people write bucketshop in relation to futures but I did not think was possible with futures. There is one legal place to trade globex contracts (well some still have a floor portion also) right ?

One way of looking at -a- key cost of making a market with passive limit orders is you are selling an option for free. A very rough calculation it seems is just to use Black Scholes with the strike price being the 1+spread/2. Lets say you are making a market all day (but keep in mind right...

A couple of road blocks you might not realize till you have thought about it for a while: You have to risk (or more likely spend) some money to estimate key parameters: 1) Globex, which is overall an easier limit order book to simulate fills in than the distributed us stock one, does not...

winstontj - why dont you intend to trade again ? you posted that in this thread and I have not seen that elsewhere

yeah but at the same clock that amd is roughly 1/2 of intel sandybridge . If any part of your code is single threaded its more of a concern (lots of sql servers) here is a nice 4 socket amd with the ability to put in 2 gpus in addition to 10GbE...

Take a look at vectorwise for a sql solution focused on optimizing for modern processors. Still only say 3x the speed of other dbs on tpc-h. Be ready to hand over huge sums of money though

if your code is distributed as opposed to threaded.There are ivy bridge blades with 8 quads. I seem to recall one with infiniband built in. I have been thinking of 64 core AMD option you have been considering NetTecture but I am still in the sw devel phase. Given your recent posts about...

I probably did not make my point clearly enough. If the market is a continuous random process both delta hedging and auto liquidation will work. However to the extent it is a jump process at times like arguably the recent 'Merkel spike', you cant guarantee to make large trade at average...

I see these 100:1 intraday margin offers for ES. What I don't understand is why didn't some futures brokers go bankrupt on the flash crash day with this. While some who use that 100:1 might actually not be net worth leveraged at all and just use it to have the rest of their money fdic...

My understanding from public postings is that all Rithmic servers are in the chicago area and one is close to the CBOE (350 E cermark currently?). With the CBOE moving to the nj area does anyone know if Rithmic will move with it ? It seems necessary. If so will the Bats api then be available...

With the CBOE moving to the nj/nyc area because (as I have read in public articles/posting) of the latency of the stock options markets to their underlying stocks I wonder if there will be pressure on the CME to move part of globex (eg ES) to the nj/nyc area for the same reason. In the case...

http://www.cmegroup.com/globex/files/CME-Globex-Brochure.pdf

And actually you should pm me rather than post unless it is already public