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That is so untrue that I can't begin to tell you how wrong that is. I write professionally "sub millisecond" algo trading software (yes, that is a latency expressed in micro seconds) on Windows. That notion of "quantum of time" is ridiculous, whatever you are smoking, I want some of that to...

Stuff like that can be developed. at a cost. Broker/Market connectivity will also be an issue. but most of what you are talking about is feasible.

It is on a case by case basis. new() in C# is faster than new() in C++ for example. Generally speaking, you need to benchmark your particular scenario. I wouldn't be surprised if C# were on some cases 30% slower than C++. but when you benchmark it, you will see that you spend about 300% more...

1% of the market share may not seem like much, but when that 1% is a handfull of Multi Billion Dollars a year Investment banks with more money than sense, I would take 0.001% of that market share even if that meant saying goodbye to the other 99.999% ;-)

Short answer : no. ;-) The time needed (and skill) to write efficient, multithreaded, latency critical C++, debug it and make it reliable is just prohibitive. Linux itself gives no guarantees to be more performing than windows, and even if it could be, again, the amount of skill and energy...

On windows platform, try googling for IOCompletionPorts

The market has no memory, but men do ! And when it comes to their money, men usually have a very good memory. Therefore creating support and resistance area (and moves between those support and resistance areas). you, wake up.

in my view nothing beats (or anywhere close to beat) Google's protocol buffers for serialization.

For the most scalable distributed logging, I would use the Enterprise Library but with an MSMQ (Microsoft Message Queuing) trace listener, and I would then get a process to handle items arriving on that queue. MQs can handle redundancy, mirroring, filtering, persistance and are the most...

Oh boy ! Trading with real money and not knowing the calendar of your particular market (not just talking closures, but also options expirations, rollover etc) is a little bit like playing at Vegas, except you don't get free drinks !

There was, at some point, a guy who said he had prepared a doc with the main ideas summarized and all the noise removed. I asked him for it but he told me that, after discussions with jjrvat, they chose not to publish it right now and do it properly. I would still be very interested to read it...

I don't really want to give the name of the Ibank I work in at the moment, for obvious reasons. But it is the Front Office branch of the Global Equity Derivatives department. I also interviewed for UBS at their Zurich offices, for a complete rewrite of their Trader Order processing system, in...

I am not talking about client side at all. All I do at the front office of the IBank I work in is server side development. All in C# >What substantial open source projects are using C# ? I can't name a single one. One google search will fill you in real quick. >What major financial...

One could argue that this is more for historical reasons than anything else. A little bit like saying the absolute vast majority of cars nowadays are running on petrol, so why even bother developing a car that runs on bio ethanol ? Interesting analogy since it has been proven that the same...

I think you forgot one argument in your reasoning. When you try to start an open source project, one of the goal to really gain traction is to get people (developers) to work on it for free, outside their daytime office hours. That is, they need extra motivation, and it needs to be fun for...

I think you misunderstood me quite a bit. Load time is instantaneous. I was talking about "save" time, ie, how long it took to save all those in a db. The thing is, this save time is going to be pointless since, for historical data, you only do it once, and not during your normal usage, but...

Ok, little update on my storage thing here. So far, I have only one day of tick data. That amounts to 485218 ticks. This saves into a 31 MB Db4o database. That means roughly 600 MB per month, so around the 7.5 GB per year, or 75GB for 10 years of data. Not bad (this is only for one...

Well, I don't mind doing it in an open source project, but as a professional software developer I get fairly picky as to what I am working on, so I'd have to see it first before committing. That little project I am still going to do anyway, in my spare time (bear in mind I develop software for...

Extracts from db4o Documentation : "In simplest cases db4o handles schema changes automatically: * If you add a new field, db4o automatically starts storing the new data. Older instances of your stored class (from before the field was added) are still loaded, but the new field is set to...

As far as storing Time series with an open source technology that works with C#, I would personally go with db4o (http://www.db4o.com/) as it has proven many times to be very reliable, high performance, easy to use, support queries and is object oriented (ie you just save objects in it).