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seen May 9 at 8:55

Nov
11
awarded  Popular Question
Aug
22
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Dec
1
comment open-source implementation of orderbook from FAST?
and what about implementations I've mentioned, can I use liquibook for constructing orderbook?
Dec
1
comment open-source implementation of orderbook from FAST?
i know that's why i'm looking for orderbook implementation. best bid / offer is mandatory, iteration (from best bid/offer to worst bid/offer) is desired.
Nov
30
comment open-source implementation of orderbook from FAST?
MDEntryID is OrderId (not equal to real order id but this is not important). MDEntryPx is order price and MDEntrySize is order volume and MDUpdateAction is what happened with order (added, modified or removed)
Nov
30
comment open-source implementation of orderbook from FAST?
this is for moex.com for this template ftp.micex.com/pub/FAST/ASTS/template/FIX50SP2-ALL.xml
Nov
30
comment open-source implementation of orderbook from FAST?
i know. I just mean that i don't need to much information. Best bid / ask is OK - primary requirement is latency!
Nov
29
comment open-source implementation of orderbook from FAST?
in simplest case I just need best bid and best offer
Nov
29
comment open-source implementation of orderbook from FAST?
decoding FAST messages is separate task, let's assume I have decoded messages. in general FAST messages are all prety similar and looks something like my structure in question. I don't care about priority. Just give me good implementation of orderbook from FAST for SOME case and I think I will be able to adjust it for MY case.
Nov
29
asked open-source implementation of orderbook from FAST?
Nov
27
answered Calculating true value of a stock given the order-book and recent trades
May
21
comment help me compare methods to compute one instrument price from another instrument price
thanks, currently i've switched to "mean of ratios" and it seems it's much better.
May
21
awarded  Scholar
May
21
accepted help me compare methods to compute one instrument price from another instrument price
Feb
5
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12
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4
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Jun
30
comment help me compare methods to compute one instrument price from another instrument price
@chrisaycock I want to know the difference between 1 and 2 from mathematical point of view. What are prons and cons of these calculations? What behavior should I expect from TruePrice when these algorithms are used, or they are pretty similar?
Jun
29
asked help me compare methods to compute one instrument price from another instrument price
Oct
27
awarded  Commentator