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3m
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".
5m
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.
22h
comment How do exchanges make money?
I have a first hand perspective to the current investigations and I can safely assure you that the focal point is the activity and reporting requirements of dark pools and the maker/taker fees, both of which I agree should be revamped. As for Schneiderman's actions, let's just say he's running for AG re-election. I never said I was representing electronic market making firms in my opinion, I'm assessing the situation from a neutral perspective.
23h
comment How do exchanges make money?
@MattWolf That's irrational. It's like complaining that your software only lets you submit market orders and not limit orders and saying that the market environment is unfair because of that.
23h
comment What are good internship positions I should look for as an undergrad student?
I've found that BScs with solid work experience stand a better chance than MFEs over 10^4+ resumes. Most MFE programs are overpriced degree programs designed to fund universities with students who are desperate for a job in finance, couldn't find one with their BSc, and otherwise wouldn't have been admitted to their undergraduate programs. I got started in finance because I had a few IMO medals and I can say there were more Olympiad medalists than MFEs at my jobs.
Oct
18
comment How do exchanges make money?
You've got to be joking. Have you heard of Tethys, Fidessa, Tbricks, ULLink, QuantHouse, Wex, Lime? There's so many execution software providers that I can think of that are better than BBG/Charles River and more widely used in the automated space. If Bloomberg really was as good as you describe, they wouldn't have had to acquire RTS (another subpar product).
Oct
18
comment How do exchanges make money?
The same goes with EDGA/EDGX's HNS: it's exposed over the standard FIX interface (tag 9202) and there's no reason why you shouldn't be able to use it if you can already execute on EDGA/EDGX. Blame your software vendor or your company's software developers for being lazy, and yourself for being uninformed. HNS does abide by price-time priority, I have to post an order at a superior price first, so when I do get repriced, I'm in fact losing my price priority for time priority - which is an inferior position to be in.
Oct
18
comment How do exchanges make money?
This is not the exchange's fault but your software vendor's for being subpar and yours for failing to do proper due diligence on what they are supposed to provide you with. Learn whom your real enemies are.
Oct
18
comment How do exchanges make money?
BBG, TWS and Charles River are indeed subpar execution platforms. Take for example ARCA: the equivalent of HNS is EPNP Blind, and this is available over the standard (most commonly used) FIX interface. If your execution software supports order entry on ARCA, it's most likely using FIX. In other words, ARCA does expose the functionality to your software vendor and you, and you are supposed to be able to use the order type, but your software vendor who wrote the API wrapper around ARCA's protocol decided to obscure that functionality from you.
Oct
18
comment How do exchanges make money?
I've never mentioned anything about liquidity in this thread, you need to take a chill pill. You're probably throwing your frustration at me because you're here "buying and selling risk" with the recent uptick in volatility.
Oct
18
comment How do exchanges make money?
Hide Not Slide is actually available to all participants. The only reason you might not have access to it is that you're using a subpar, third-party software platform. The order type that you're thinking of is probably an ISO. It undermines your credibility when you don't know your order types and are reading off some Haim Bodek narrative. There's nothing wrong with HNS, it adheres by price-time priority and reduces messaging volume. Before HNS existed, we would replicate the exact same behavior using conventional order types and that was truly unproductive, so I'm glad that HNS exists.
Oct
17
comment How do exchanges make money?
A fair market should guarantee its participants an equal, nondiscriminatory opportunity to invest in technology - which BATS, NASDAQ etc. all have. The net revenue to operating capital ratio is significantly higher at an equities EMM shop than the major HFs and banks and this is mostly the effect of the denominator - how is this unfair?
Oct
17
comment How do exchanges make money?
What do you mean that "certain proprietary feeds are only available to a select few"? I've had access to the same feeds in a 350+ man EMM doing 5-10% of the volume in the major derivatives markets and after that when I first started shop and was taking out my own trash. Most of the proprietary feeds are more affordable than a Bloomberg terminal.
Oct
17
comment How do exchanges make money?
@MattWolf FX has always been an old boy's network of a few banks and precisely because of that, they've slowed it down both in the infrastructure and in the credit arrangements. Electronic market making in the equities space is much healthier than EMM in the FX space because we've allowed speed to thrive.
Oct
17
comment How do exchanges make money?
@MattWolf: If we had only 1 market, we'd just be paying monopoly rents, and that's not ideal either. The complexity of the equities market is a factorial problem, and shaving off even 1 dark pool will have a tremendous effect in simplifying the system.
Oct
15
comment How do exchanges make money?
I have my criticisms of Reg NMS but you're putting the cart before the horse: As you've pointed out, fragmentation is the underlying problem and the ECNs and dark pools are at the root of it. I'm open to more stringent regulation and definition on non-listing markets that would wipe out broker-preferencing dark pools such as IEX.
Oct
15
comment How do exchanges make money?
@MattWolf The firms play by the rules of the exchanges, which are easier to quantify in an electronic, high-speed setting than in the traditional floor trading environment that it replaced. Your traditional floor trader wouldn't stand there waiting to get run over either.
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. :)