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Processing tasks are assigned to each node on a round-robin basis until the maximum # of tasks is reached. There is no head node -- each node listens for changes to the cluster group. My objective was load balancing, not so much failover. The delay is because I'm using Esper for ESP, which...

I am using JGroups for basic clustering. Each node works on a fixed number of contracts and puts results into a Replicated Hash Map. Since every node has the same hash map in memory, there is no single point of failure. The only problem so far is a ~2 minute delay to reload analysis tasks from...

I think it's impossible to actually calculate market impact, for the same reasons stated above. You would need to know the counterparties intent before you send your order, which can't be predicted in advance. One method that I tried is continuously sending orders to buy 1 share at the bid...

Variance swaps can be replicated with straddles and hedges in the underlying.

Cheaper than index options

Not even close.

Complex event replay ("backtesting") isn't simply querying a SQL store and iterating through rows of input data. It's recreating temporal relations between captured external events AND query chains exactly as they occured in real-time. The problem with SQL is that you end up with a backlog of...

That's right. Not everyone is a billion dollar fund with a huge IT budget and infrastructure.

13F-HR

No - IB's quote is the price you are executed at. If that is out of sync with your other data providers, that's a problem of an even greater magnitude.

Why would you post this without providing any evidence? Retail can't arb ETFs because the transaction costs are greater than the actual differential. The closest strategy is trading mispriced mutual funds, and that is barely (1%) profitable becuase of trading restrictions and redemption costs...

How did you calculate transaction costs and slippage in your study?

If TWS is dropping your API connection (1100), there's an exception being thrown somewhere in your code (that will be fun to debug in C++)...

I'm curious how you calculate probability of a gain. What type of probability distribution do you use? How well does it hold up in real trading?

That's the point of Reg NMS. Small retail traders are treated the same as institutional traders. Block traders are concerned with VWAP, not the best price. If sellers see large buy orders on the book, they would probably hold out higher prices. Ultimately, added trading costs for...

Analyst ratings almost always occur AFTER significant company news is released... News about positive earnings usually results in an upgrade, warnings result in a downgrade, and so forth. It's better to filter a news stream (Dow Jones, AP, Vickers, Reuters) and watch for those events...

I too have an Anthro Fit Console (sans 2nd shelf). They're expensive, but good...

Global warming IS the corollary of economic progress. Think about that...

Stochastic actually means random... :D