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comment Is there a piratebay for data(bases)? (here, talking about historical financial data)
@boulder_ruby you have any contact info? I'm local to you and have similar interests.
Oct
23
comment Data feed API that uses REST?
Agree with @Freddy ... HTTP isn't really the way to go for realtime trading systems. I know this wasn't the topic of the question - but agree, ruby on rails or any scripting language for that matter isn't intended to be used in this way (at least in my opinion). Also, the HTTP based API protocol I was imaging for my system was only for 'development purposes' production systems wouldn't access data over HTTP.
Oct
21
answered Data feed API that uses REST?
Aug
7
comment Limit order book size
no. your not trying to replay the actual input and output of orders. I don't think exchanges distribute logs of the actual matching process taking place (that would be the only way to confirm... if your implementation was working the same/similar)
Aug
6
comment Limit order book size
@sma the purpose of writing a LOB is to create conditions similar to those inside of an exchanges matching engine or create your own matching engine. The software doesn't match trades with quotes that's not it's intended purpose.
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Mar
21
comment Limit order book size
Cool, well I'm still just toying with with my adaptations from time to time when I get some extra minutes to program. @emsfeld any white-papers or places I could look for more info on the CME Products and how they are implemented as you described?
Mar
20
comment Limit order book size
@emsfeld, I agree, I guess I sort of imagined my final implementation would allow the different portions of the 'array' to be locked simultaneously so as to allow for market orders to pull the 'top' orders (fifo) out of the list, while limit-orders would be inserted elsewhere by their own thread: [[head: .00][.01][.02][03]] Assumption: the head of the list is what "market orders" are matched too. Therefore, threads lock the order array in different segments, which would requires some concurrency and synchronization issues to be addressed. Ex. resetting the head of the list.
Mar
19
answered Historical Level 2 Data (Market Depth)
Mar
19
revised Limit order book size
added 694 characters in body
Mar
19
answered Limit order book size
Mar
12
comment What programming languages are most commonly used in quantitative finance?
thanks @Marcos I've removed that before I get in trouble.