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I've heard of people compartmentalizing it by hiring seperate programmers to work on seperate 'chunks' of it, but obviously there are some real challenges there.

time horizons...

I think you'll have to define "risk of what?" in order to begin finding an answer to your original question.

MAESTRO, would it be possible to get your definition of risk/reward ratio? It seems to be at least somewhat uncorrelated to sharpe or (more generally speaking) smoothness of equity curve, which appears to be a key element for many in defining it. Thanks for introducing to me the works of Mr...

Ah, thanks very much for your help.

Harris

Assuming globex FIFO rules: Trader 1 sells 10 contracts at the bid Those 10 contracts are bought by traders 2, 3, 4, 5, and 6. They each had buy limits for 2 contracts. What prints on time and sales? A succession of 5 2-contract trades, or a single 10-contract trade? It seems like it...

I'm considering buying some futures data from Tick Data. Can you explain some of the frustrations? I'm guessing from your post that them erroneously cleaning some unusual, but very real trades is one of them. Also, I heard that CQG is only timestamped down to the minute vs. to the second with...

Umm, I've heard of a runaway bot in FGBL...

Looks like it's A: http://www.cme.com/files/GlobexRefGd.pdf Dang, that could have been fun. (Sure somebody's already thought of it, though)

Is a large sell 'market' order on the globex e-minis submitted as: A) sell ordersize@limit [current bid - (.5 * no bust range)] or B) sell ordersize@limit [current bid] if not completely filled, sell unfilled@limit next best bid, repeat until either order is filled or (.5 * no...