Quote from tiagor:
Indeed. But one could argue what's the use of a ghost without a proper shell.
Seriously though, I've got a pretty decent idea for 2 GHOSTs that work on entirely different levels but I will not even try to "guess"timate their performance before some simulation and then again, with live testing.
I'm laying out the code for some of the logic of the first GHOST (I'll later provide it with the gift of a name if it proves worthy).
Even though this thread is oriented to the buildup and performance of the whole system I won't be going to the minute details of the strategies in particular (for obvious reasons). I can advance though that its decision process will be based on an estimation of the very near term market direction by shoving around some given interpretation of patterns in time, price action and tick volume. This are not fixed rules though but depend on the behavior of the market on the short term, weighting some probabilities.
Failure is already guaranteed. Let's see if I can prove it can have a different ending.
The shell (OMS) is the difficult part, especially if your ATS generates complex multi-leg, algorithmic, and/or contingent orders that, once filled, need to be dynamically hedged. Dealing with partial fills, hanging legs, etc can be convoluted and error prone. I have never seen a non-pro OMS that gets these things right.
Exactly.
I kind of agree, in so far as managing a stack of orders is tricky, especially skewing and re-sizing without losing priority -- but -- none of that is sufficient to make any money.