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location Russia
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visits member for 2 years, 11 months
seen May 9 at 8:55

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.
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.
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?
Oct
27
comment What strategy would benefit most from having the fastest connection to the exchange?
Thanks. I can't find on the referenced website what is "Equity price arbitrage in fragmented markets". Do you have direct link desribing this term?
Oct
26
comment What strategy would benefit most from having the fastest connection to the exchange?
Thanks, do you have concrete example because HFT is too general. I think classical arbitrage and statistical arbitrage would benefit from the low-latency connection, what else? Probably someone can add a link to most popular HFT strategies with detailed description...
Sep
9
comment Techniques to optimize the placement of orders in market making strategy?
"Stop moving price if price moves too often without actual trades" - then likely my price will be beat by other trader. for example if I buy 1000 lots by 100.01, another trader immediately buys by 100.02... but thanks for these advices anyway, probably I will use them somehow
Sep
9
comment Techniques to optimize the placement of orders in market making strategy?
i am not authorized MM
Sep
5
comment Real-time & Fast S&P 500 E-Mini Futures (ES) Data
I don't know. I was using ninja trader. I don't know how to export data from ninja to outside, but I'm sure it should be possible...
Sep
5
comment Real-time & Fast S&P 500 E-Mini Futures (ES) Data
thanks Dmitry, 1500 Euros is too expensive for me now, but thanks for information may be I will use this service one day :) I can pay 100-200-300 Euros per month otherwise It seems I have to stay with zen-fire.
Sep
5
comment Techniques to optimize the placement of orders in market making strategy?
@sheegaon Thanks for clarification, I mean market-making, the one, only one and the same contract is involved. I've updated title and description
Sep
5
comment Techniques to optimize the placement of orders in market making strategy?
@sheegaon what's the big difference betwenn market making and spread trading? in context of my task these strategies are the same. stock exchange charges for extra orders (for example if you produced 1 000 000 orders and 0 deals then you will be charged for significant ammount of money by stock exchange). let's focus on my question - how to minimize/optimize number of orders during spread trading/market making strategy?
Sep
5
comment Techniques to optimize the placement of orders in market making strategy?
guys, i removed "best price" from description, please ignore "best price". the question about classical market-making en.wikipedia.org/wiki/… Obviously market maker strategy involves a lot of orders movement (say I buy 1000 lots at 100.01, now some other guy buys 1000 lots at 100.02, now I have to move my order to 100.03 and other guy moves his order to 100.04 and so on and so on, dozens orders movement may be produced every second) The question is - how to optimize/minimize orders movements...
Sep
4
comment Techniques to optimize the placement of orders in market making strategy?
@Mike Furlender Sorry 'buy and sell simultaneously at the best price' is not quite right. I'm talking about classical market making en.wikipedia.org/wiki/Market_maker it's applicable to almost any market. The price of the market maker is not mandatory to be the best, but it tend to be one of the best, so market maker need to beat other traders to win a "deal" :) However other traders also move their orders as a result a lot of useless movement produced, like 100.01 100,02, 100,03 100,04 100,05 100,06 then back to 100,01 and again...