299 reputation
26
bio website moneyandsoftware.com
location Denver, CO
age
visits member for 3 years, 9 months
seen Oct 28 at 14:46

Jan
29
comment Microstructure effects for a market maker?
I don't expect to hear anyone secret sauce, but I thought it might be possible to discuss some widely known effects, such as the ones I mentioned. For example, does the price moving away from VWAP have a microstructure effect?
Jan
28
awarded  Student
Jan
28
asked Microstructure effects for a market maker?
Oct
15
comment “Real” DMA to Options Markets
You mention both DMA and a fast API, which are mutually exclusive. Do you need the extra performance of direct access?
Oct
15
comment “Real” DMA to Options Markets
If you are doing a huge amount of trades, you are very quickly going to start to care about costs. Try NewEdge.
Dec
19
comment How good is managed code for algo trading?
@Nikos: try writing a small networking benchmark in both C++ and Java, I suspect you'll be surprised how close the performance is. For example, you could write a UDP ping-pong test.
Jul
31
comment How much capital do I need to create a competitive automated trading strategy?
@monksy: I know of several individuals who have written successful trading systems at the time scales you are considering. As a software dev, you are more qualified than most. Check out reddit.com/r/IAmA/comments/9s9d7/… for some inspiration.
Jan
31
awarded  Yearling
Dec
23
awarded  Nice Answer
Dec
5
comment What is a good broker for HFT?
I'd characterize 100 roundtrips an hour as HFT. That is 3 trades a minute. I'd say that is at the border where being colocated may be worth it. To me, Medium Frequency means holding periods of hours to days.
Aug
7
awarded  Necromancer
Jun
22
comment Measuring liquidity
AAPL's price is 13 times higher than MSFT's, but the spread is only 9x wider. So crossing the bid/offer spread in AAPL costs me less as a percentage of the fill than in MSFT.
Jun
20
answered How does order fulfillment proceed with larger orders?
Jun
16
awarded  Critic
Jun
14
answered When should we use SWIFT versus FIX?
Jun
11
awarded  Teacher
Jun
10
answered Are e-mini markets manipulated?
Jun
10
answered How good is managed code for algo trading?
Jun
10
awarded  Supporter
Jan
31
awarded  Precognitive