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visits member for 2 years, 6 months
seen Apr 2 at 0:34

Apr
1
revised What tools exist for order book analysis and visualization?
link update
Feb
13
comment Change of order size
@LouisMarascio, I wonder, is there any exchange that allows to keep the queue in this case?
Nov
30
revised Quotes and Transactions Streams from Exchange
added 15 characters in body
Nov
30
answered Quotes and Transactions Streams from Exchange
Nov
30
comment open-source implementation of orderbook from FAST?
Each exchange may provide its own algorithm to manage order book. Please provide more info. I see that your struct does not contain Order ID, so it looks like fixed depth order book (e.g. CME). But there is also no NumberOfOrders field in your struct. Is this just a fixed depth order book where each level contains only <price,size> entry? In this case it's just 20 lines of code.
Nov
26
comment Deep bid ask orders
The only reason is to make money due to others' errors. Such orders are very rarely being updated or cancelled. The queue position is irrelevant in this case.
Oct
22
answered Are two stocks with the same beta have a correlation of 1?
Oct
22
comment IB API quotes and speed
From my observation in recorded feed files TWS normally updates 1-3 times a second. As far as I know, API generates the same events. But using Java API, I see updates slightly earlier than they appear in TWS. Your delay may be a result of implementation or slow DDE communication.
Oct
22
answered How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Oct
22
answered Semi-strong efficiency and HFT
Oct
22
awarded  Commentator
Oct
22
comment How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Are you asking about how electronic exchanges manage and match orders?
Sep
27
answered FIX- what exactly do repeating groups represent?
Sep
27
answered Trader's identity in a limit book
Sep
27
answered How to simulate stock prices with stochastic time change subordinated arithmetic Brownian Motion?
Sep
27
answered Calculate Average Price, Cost, (Un)Realized P&L of a position based on executed trades
Aug
28
revised What tools exist for order book analysis and visualization?
added 85 characters in body
Aug
28
answered What tools exist for order book analysis and visualization?
May
28
awarded  Yearling
Feb
6
comment Position management and market-making techniques
I agree with Freddy. The math is strong, but not simulation. Using raw exchange data it's possible to simulate limit orders execution with very high precision. It requires implementation of instrument-specific matching algorithm like FIFO or Pro-Rata. The only assumption needed is that each order size is negligible, and there is no long term impact on price, i.e. low volume participation.