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seen Apr 18 at 18:04

Feb
21
comment how to represent financial data as a spatial process
@Phil H - yes after writing my comment and rereading the question I was a bit confused as well. I may have misinterpreted the question and was more thinking along the lines of visualizing orderbook related quantities within a network representation, so my comment may be a bit unrelated to the question by pyCthon.
Feb
21
comment how to represent financial data as a spatial process
I've been pondering over a similar idea and believe for my application representing the data in a spatial network makes sense. My main objective is visualization - ie remove the temporal component to highlight meaningful spatial relationships in the data. Within a network representation this can be easily done by coloring the connections between nodes wrt their weights for instances. Not sure if that's what you're after with your question though.
Dec
5
comment Forex ECN for Algorithmic Trading
No personal experience with it, but how about LMAX?
Dec
3
comment How to improve the Black-Scholes framework?
@SRKX: Thank you. This is one of the most annoying (and surprisingly common) misnomer you see in a lot of papers/ discussion boards/ blogs but is never pointed out.
Sep
30
comment What are the advantages of knowing the bid and ask over the best bid and ask?
Level 1 bids and asks = best bids and asks. In your question you seem to be discerning between best bid/ask prices and bid/ask prices. I interpreted the latter as you referring to bid and ask prices on levels deeper in the book. If that's the case then prices (on the deeper levels) alone are not very useful in a liquid market as they'd be just a tick apart most of the time anyway.
Sep
30
comment What are the advantages of knowing the bid and ask over the best bid and ask?
Do you mean prices beyond level 1 bids and asks? I don't think prices will be useful at all in a liquid market, but volumes potentially.
Apr
1
comment Real-time & Fast S&P 500 E-Mini Futures (ES) Data
I have no experience in retail trading related setups, but how well does this work on the execution side of things? Say you get your feed from Nanex and execute through IB - how bad is your slippage on aggressive trades and/ or bad fills you thought you had cancelled basis your model and feed?
Mar
21
comment Limit order book size
No links handy, but I read a white paper/ technical manual on CME's FIX implementation - it's public. They also have real sample data of what a day's worth of trading the eg ES looks like in raw format. Somewhere in there they tell you by examples how additions, cancellations and modifications are being treated by their matching engine. Obviously, you'll need to figure out/ infer yourself how and where the queue is affected.
Mar
21
comment Limit order book size
I see. I think matching trades to the front of the queue in a non pro-rata market is the right way to go. At least all the main CME products work that way (Minis and FX). I'm not sure though if you get the speed improvements you are hoping for. My guess would be that locking can become quite expensive - even within user space threading. If this is for backtesting then other aspects have to be considered where it might be better to process each new order on a single thread and also have your strategy run on the same thread. It can get extremely messy otherwise.
Mar
20
comment Limit order book size
Can you clarify how concurrency w.r.t insertion and removals arises in your implementation? I just have experience with futures LOB models, but (in sim mode) concurrency (from an input perspective) only arises when depths or trades arrive at the LOB. IMHO any messages that alter the state of the book should do this on the thread the LOB runs on, ie it's better to enqueue messages on at least one producer upon their arrival and then be consumed on a separate LOB thread. This way arrival time priority will always be maintained and you also don't have to lock any (otherwise) shared resources.
Feb
9
comment R: How feasible is it to store — and work with — tick data in a database connected to R?
I do it similarly. There is no point in using DBs if there is no or limited concurrent access. I use plain binary files stored in a columnar manner from which I load the data into memory in one sweep. I've benchmarked this against a few DBs (including range retrievals on other criteria than time) and POBs win hands down.
Feb
8
comment Is Visual Basic a fast enough for millisecond orders
Unless you're trying to pairs trade across the Atlantic, with a 120ms latency I honestly wouldn't worry too much about sacrificing 1 or 2ms on computation. You won't be even close to being competitive on speed, so you may want to focus on strategies that work within that frequency space.