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I'm interested, count me in. I haven't been out to one of these functions yet. I've been in Toronto for almost 3 years and have pretty much just had my head down. I work for a hedge fund in the city.

Jasper6, Maybe it's not time to quit, but I think you should in the very least pause and re-examine your approach. One thing you certainly have going for you is tenacity. Many of life's greatest achievements have come from those who just refuse to quit. You should look at the long list of...

Thanks Wayne, good info to know. The rules must be different in Canada, because I've been told by a vendor about a bank up here that's apparently got an automated platform for the Bourse de Montreal. I had assumed that automation in options was a no-brainer, since the bank up here...

What are some of the platforms that you've used for automated options trading? Has anyone used Orc as part of their platform?

Depending on the company you keep, a Sharpe ratio of > 2.0 is generally considered good. Many HF Stat Arb shops would consider a Sharpe ratio > 5.0 to be excellent. It becomes more meaningful the longer the period, and the more assets under management.

Sharpe Ratio is a measure of risk adjusted return. It's based on annualized numbers, so if you are working with a daily returns, you need to annualize them, Average Annual Return = Average Daily Return * 252 Days. Average Annual Standard Deviation = Standard Deviation of Daily Returns *...

Then choose the one you are most passionate about, because that's the one you'll excel at -- all other things being somewhat comparable.

Aren't most random number generators really pseudo-random number generators (i.e.) with a certain amount of serial correlation?

Are you in a position to take the higher risk for job #2? IMHO, you'll get a much better education than you do babysitting trades and tweaking a black box....and you can take an education anywhere else you go.

That's kind of the point. You're not going to build me a solution -- nobody is. You either pay for it by having someone deliver the bricks you're missing, or you hire someone to build them for you, or you build them yourself at a cost to you in terms of missed opportunity and potential burnout...

[ ...love it! :D 2cents, I appreciate your insights. I came to my current shop looking for something that would take the infrastructure off of my hands (having built the automated trading platform for the Portfolio Trading desk at my last shop), so that I could concentrate on my prop...

Well said. In fact, my platform is Linux. My point is really that one probably shouldn't take a single factor and shoot an entire system down based on that single factor.

What Esper doesn't appear to supply is a rudimentary OMS or a simulator. It appears to be just a matching engine. Is this correct? How does the level of complexity it can handle compare to that of Apama? Has anyone used both? How many people are involved in YOUR operation? Do you have...

It's not that anything is particularly difficult, it's that there isn't enough time to do everything I need to do, and I would rather spend my cycles on strategy generation and modification, rather than on infrastructure. Also, I said something inaccurate about Apama. It is not single...

What level of support do you get? Also, do they throw in connectivity to a data provider and DMA provider? Do they have a built-in OMS? Esper wasn't even an option when I was looking around. Perhaps it's because I wasn't expecting to build a space shuttle with freeware. Not that there's...

I'm pretty sure that Apama is written in C++. They have something called an IAF (Integration Adapter Framework) that is a mix of XML, Java or C++, and their proprietary scripting language MonitorScript which is kind of Pascal-like. It's how events are passed into and out of the Apama...

Hey there. I'm a Quant Strategist/Trader at a hedge fund in TO. I'm thinking about coming out tomorrow. Not sure I can make it, but will try for the next one if I don't.

I'm a Quantitative Strategist at a hedge fund, and an Apama user. I think what makes it "institutional" is that it is extremely powerful and flexible (but therefore quite complex). It was apparently developed to gather and process intelligence in real-time for the "war on terror"....whatever...

You could try this: 1) apply a median filter. This will help remove some outliers, which are almost always present unless the data has already been processed. Take all of the data within each domain, take the absolute value, sort it, and remove or clip anything larger than, say, the 95th...