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visits member for 2 years, 1 month
seen Mar 28 at 20:22

Jan
21
awarded  Popular Question
Sep
29
awarded  Nice Question
Jul
31
accepted How does one measure the effect of latency on potential returns?
Jul
30
awarded  Critic
Jul
22
asked How does one measure the effect of latency on potential returns?
Mar
24
comment Can the J language be used as an effective alternative to Q/Kdb+?
Maybe rather than cloning kdb+ totally it would be worth implementing J on an opensource datastore. I remember looking at this previously and coming to the conclusion that something like tokyo cabinet might fit the bill. That said I may be getting this totally wrong as I have had NO exposure to q/kdb+ and relied on what I could find online. (Yes you can get a trial version of kdb but my mind had wandered by the time I discovered the fact)
Mar
24
comment NASDAQ TotalView ITCH order reference number number characteristics
Hi Louis. Thanks. I have just emailed you
Mar
23
comment NASDAQ TotalView ITCH order reference number number characteristics
No. I am generating data and using samples provided on their website but I would like it to be as realistic as possible. I thought it would just be a case of someone linking to a specification on their site but its probably easier to just profile the samples.
Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
I'm a MEng student at Imperial College London. My final year project brief was just a title "Algorithmic Trading and Low Latency Computation". Purely academic.
Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
@LouisMarascio I may have to although this probably wont be possible as its a purely academic project.
Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
@chrisaycock Similar although the previous one was volume, this one refers to the order IDs. I have added "reference" to the question to try and make this more clear.
Mar
22
revised NASDAQ TotalView ITCH order reference number number characteristics
added 10 characters in body; edited title
Mar
21
asked NASDAQ TotalView ITCH order reference number number characteristics
Mar
20
comment Do you have historical tick data you want to donate?
Corrected my typo :). Yes their trading platform also does it but it limits the amount you can get at a time and becomes very tedious when it takes days to download the whole set for all currencies. Also I'd rather use a full featured connection library which allows me to reconnect and do multiple connections to ensure reliable downloading!
Mar
20
revised Do you have historical tick data you want to donate?
edited body
Mar
20
awarded  Teacher
Mar
19
awarded  Editor
Mar
19
revised Limit order book size
Clarified problem
Mar
19
answered Do you have historical tick data you want to donate?
Mar
13
awarded  Scholar