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Aug
27
comment HFT to blame for Flash Crashes?
@BobJansen I don't personally believe in the group argument. In certain products, my group trades about 10% of the ADV (and a lot more of the visible liquidity in the book). We see no difference whether we're withdrawing orders as an epsilon % of the visible liquidity or withdrawing orders as 20% of the visible liquidity.
Aug
27
comment HFT to blame for Flash Crashes?
@meh This is a typical correlation vs causation problem as you've admitted yourself. If you've found a way for withdrawing your passive orders to lead high volatility, let me know, you can earn a hefty annual bonus. I stand by my point that you can't exacerbate volatility by withdrawing your passive orders. That's like saying that "if a gun store stops selling guns, it's causing an increase gun-related deaths because demand for guns is correlated with gun-related deaths"... Huh?
Aug
26
comment HFT to blame for Flash Crashes?
Withdrawing passive orders can't exacerbate volatility. This makes no sense... If it's possible to exacerbate volatility by withdrawing passive orders, then there's a practically free vol arb opportunity from withdrawing liquidity all the time.
Jul
16
comment Latency and Delays across Exchanges
@LouisMarascio I believe you meant ms, not us.
Jun
27
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
@vonjd I don't know where you're getting the time horizon and buy-and-hold from. I could know for sure (100% accuracy) that price will be higher within n time steps and I would still not necessarily profit from it because my execution time is n + epsilon. I can always find some epsilon such that this is trivially true regardless of the time horizon of the 'trend' we are talking about.
Apr
19
comment Order routing: correlation of having same exchange for buy and sell
You're welcome.
Apr
19
comment Order routing: correlation of having same exchange for buy and sell
@Jean-Paul No problem. I edited my response to accommodate your extended question.
Mar
13
comment Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies?
I was on the same Putnam team with some of the notable figures at Rentec today, not sure where you're commenting from.
Oct
27
comment Build a customizable trading engine in python
I also don't see why you can't do event-based processing in Python. You can write a TCP/IP stack in vanilla CPython if you wanted to, surely that's fast/robust enough considering some traders are using subpar trading platforms that don't even support basic order types such as HNS?
Oct
27
comment Build a customizable trading engine in python
I don't see why parallelization is an issue either. The GIL in Python leans towards a multi-process rather than a multithreading paradigm for parallelization, but there's no reason to prefer the latter over the former.
Oct
27
comment Build a customizable trading engine in python
I disagree on your latter statement: Python is more mature than say, Haskell (Tsuru, StanChart), Erlang (GSET) or OCaml (Jane St), so certainly, maturity isn't an issue.
Oct
26
comment How do exchanges make money?
Moderators, why aren't you deleting the above comments? They're off-topic; it clearly derailed the topic; and the author obviously had no intention of contributing to this question because he has deleted most of his comments following this. It's rude and offensive for claiming that I'm dishonest - a personal attack that I've proven false, especially considering that I've debunked all of his allegations in the subsequent comments (that he deleted).
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
A good throughput is purely opinion-based. Throughput on its own is a meaningless number anyway. And to the majority of users, standard QuickFIX performance would be considered "good".
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
If you have a client, a good throughput depends completely on your service level agreement with your client. If you're just writing this for yourself (which appears to be the case from your history of questions), use the search function, there's been many similar questions/answers before this.
Aug
27
comment What software should I use for forex arbitrage?
Because in FX, you're only as fast as your dealer/credit counterparty lets you be. Sierra has a far stronger software development team than NinjaTrader, from what I know.
Aug
27
comment Algorithm to detect the aggressor side of a trade
@Serg: Yes, that is what I understand you're looking for.
Aug
13
comment Starting mathematics reading for quants
Not you two, silly. :)
Aug
13
comment Starting mathematics reading for quants
@athos / 1234 - Unfortunately, I hadn't come from a credit trading background. However, Tuckman and Serrat's book discusses credit default swaps, credit risk of corporate bonds and spreads and Veronesi's book briefly touches on collateralized mortgage obligations. Mike - My colleague asks me to say hi. (:
Aug
5
comment Starting mathematics reading for quants
Equity options are probably the most thoroughly-covered among financial engineering texts so I think the 4 books I've recommended cover most of the introductory reading that you need. In addition to that, perhaps you could take a look at Rebonato's Volatility and Correlation, and Sinclair's two books.
Aug
5
comment Starting mathematics reading for quants
For interest rates... Rebonato has two books - Modern Pricing of Interest-Rate Derivatives and Interest-Rate Option Models. I would also look at Pelsser's Efficient Methods for Valuing Interest Rate and James & Webber's Interest Rate Modelling.