2,936 reputation
1336
bio website fitnr.com
location Houston, TX
age 35
visits member for 3 years, 1 month
seen 11 hours ago

Louis Marascio is an entrepreneur, market hacker, and trouble maker in Houston, TX. He's also a husband and father. Occasionally, he writes a bit of code.


May
10
comment Cross Bid and Ask prices for Forex trading
Where did the data come from? Did you collect it yourself or receive it from Knight? Are there gaps or out of order messages in the data? Data cleanliness could be an issue that you should investigate. I don't know how HotSpot works, whether it does automatic matching, etc, so you should contact them to see if the crosses are artifacts or real.
May
9
awarded  Nice Question
May
9
answered Cross Bid and Ask prices for Forex trading
May
9
answered Reference on Electronic volatility trading
May
7
comment HFT - How to define and measure latency?
You just timestamp it on send and receipt. Depending on what resolution you care about you can do this in software or hardware.
May
6
answered HFT - How to define and measure latency?
Mar
23
comment NASDAQ TotalView ITCH order reference number number characteristics
@JonathanEvans Send me a note via email. I might be able to provide some help. It is my last name at gmail.
Mar
22
comment How to choose a data center for deploying high frequency trading strategies?
Sorry, I can't take this question seriously. Surely if you developed true HFT models you've considered proximity and latency to matching engines and associated venue fee structures very carefully. Right?
Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
The only thing you're guaranteed is that they are day unique. Anything else would be heuristic, which I'd urge you to try to measure yourself if you think it is important.
Mar
19
comment Historical Level 2 Data (Market Depth)
Of course it means writing feed handlers for each, that was implied. However, you can have accurate data or you can have crap from a vendor. You pick. Relying on venue specific time stamps will result in crap data.
Mar
18
comment Market order quantity greater than quantity of the inside quote at the exchange
You should go read the various order entry specs and websites for the venues. They have copious amounts of information on how orders can be flagged for various route handling.
Mar
18
comment Market order quantity greater than quantity of the inside quote at the exchange
The fees are all published and are complicated. There is no "one" fee for inter-exchange routing. However, all fees are public. Look at the exchange websites.
Mar
18
answered Market order quantity greater than quantity of the inside quote at the exchange
Mar
17
answered How to get list of all CUSIPS/ISIN?
Mar
17
answered Limit order book size
Mar
17
answered Historical Level 2 Data (Market Depth)
Feb
17
awarded  Tag Editor
Oct
4
answered What techniques are used for testing order book implementations?
Sep
22
revised Is Walk Forward Analysis a good method to estimate the edge of a trading system?
rephrase title
Sep
19
revised What is more appropriate: the EMA of the option price or the EMA of the underlying?
rephrase title as a question