anonDataUser

8 ms·

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by anonDataUser 14y ago
I work at an algorithmic trading shop and have spent a fair amount of time studying equity market structure. It's great to see an open source trading platform, but I think it's important to stress the following: Equity markets are highly c
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by anonDataUser 14y ago
Much smaller shop than BATS. I believe they have less than 20 employees.
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by anonDataUser 14y ago
Is it just a coincidence that Kansas City is also home to a very small shop that frequently accounts for 10% of US equity volumes?
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by anonDataUser 14y ago
Well, the cost of the initial device is $90. I suspect there's a comfortable margin on that. Beyond that, there are a variety of ways that you can pay for additional services. For example, $2.99 / month for higher speeds. You can also p
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1 points by anonDataUser 14y ago|2 comments
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by anonDataUser 14y ago
You can exchange it for something that you can eat and you can exchange it for somebody to build a house for you, just like dollars. Unlike dollars, you can't produce it out of thin air.
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by anonDataUser 14y ago
Sure. Here's a great video on the subject: http://www.youtube.com/watch?v=PTUY16CkS-k
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by anonDataUser 14y ago
Hi Eric - Firstly, thanks for the work that you do. I can always rely on nanex research to produce thoughtful and interesting discussions. Many of the "bots" in your research seem to be adding quotes that are far away from NBBO. One theor
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by anonDataUser 14y ago
Tableau does nearly instant plotting of millions of data points with a nice user interface; it may be worth checking out if your job depends on visualizing massive amounts of data.
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by anonDataUser 14y ago
This is great. Do you have any solution for highly sensitive data?
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by anonDataUser 14y ago
If only there was some other means of social collaboration. Threads tend to enforce a hierarchy that is not enforced in normal social situations. If several root level comments all present the same idea, maybe it would make sense to respo
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by anonDataUser 14y ago
Here's the secret sauce: http://appli8.hec.fr/rosu/research/news.pdf
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by anonDataUser 14y ago
Human traders = past? You should see the floor that I work on. There are plenty, and they're doing very well. No algo has ivy league connections. > You're not in business if you're looking at an average of 100ms. You're not in busine
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by anonDataUser 14y ago
To expand on this a bit: Within the US there are a number of ECNs/exchanges. Each one publishes there own order book including prices and sizes on each side of the book. To get the most accurate information possible on market prices, you
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by anonDataUser 14y ago
Sub-pennies, negotiated directly with exchanges. They do the same negotiation that Interactive brokers does, except unlike interactive brokers, HFT players can trade 10% of market volume which give them significant leverage.
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by anonDataUser 14y ago
SecondMarket is a start up pushing in this direction. The company whose shares are trading set the trade frequency. Sometimes once per quarter, once per day, whatever they want. Obviously, this is much less liquid.
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by anonDataUser 14y ago
HFT is not front running. Search comments for my remarks on latency arb - that may seem like front running, but it's entirely different. Latency arb involves information that is publicly available. Front running does not.
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by anonDataUser 14y ago
Your numbers are too high. Actual rates are sub-penny or free. Some markets give a rebate for taking, others for posting.
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by anonDataUser 14y ago
This seems inaccurate. Dark pools make up 15% of market volume.
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by anonDataUser 14y ago
FYI - I wrote the successor to posit. Point in time matching goes out of fad when volatility increases. Why take on the risk of executing a block at a single point in time when you can spread that risk out over the day?
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by anonDataUser 14y ago
Sorry for the lack of guidance in my original response. Latency arb was born out of the fragmentation that was introduced when the SEC passed Reg ATS. For those unfamiliar with trading, there are many exchanges, not just one. All of those
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by anonDataUser 14y ago
This offers no insight into HFT and is not an apology. Why is it here? For people interested in HFT, start your exploring with a google search for "latency arbitrage".
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by anonDataUser 15y ago
Tried this on a set of data that I have been looking at recently, and was not impressed. The software actually assumes all fields contain numerical data. Why not handle nominal data? Also doesn't handle temporal data. Maybe this is theo