Is anyone aware of any methods to calculate the volatility of price points deeper in the book than just the last-executed price? Let me...
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What do you mean by "works well"? You need some kind of success criteria. Seems like glorified TA to me.
Potentials of Unbalanced Complex Kinetics Observed in Market Time Series Abstract: As a model of market price, we introduce a new type of...
Perhaps you should use some sort of continuous time model.. e.g., the time between events is another parameter. quantatizing tick data is like...
End-of-day data is nearly useless for this kind of analysis. Closing prices are completely arbitrary and don't have much more significance than...
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quickfix is actually pretty flexible.. you can define more messages in the master config file and it'll regenerate all the datatypes and...
Right, fix is usually for orders only.. it CAN handle data, but nearly no one supports that because the protocol is so bloated and slow. I've...
In case anyone was wondering. The Econometrics of Ultra-high-frequency Data can be found here.
Ahh yes you are right. I remember this now.. haven't used a matrox card in years. The hardware situation is still very depressing. I wonder if...
Dude, Matrox was one of the first to open up all of their specs. I led a project way back in the day to create OpenGL drivers based on their...
Are you serious? Any ATS worth it is going to run in a data center on some serious hardware and not rely on some slow/flaky residential connection(s).
lol. You definately won't have any luck with old TA methods like that.
Go and read the QQQQ prospectus. Yes, the NAV is updated every 15 seconds but you can only create/redeem at the end of each business day and in...
What about data? When are you going to publish the protocol for the data feed? Entering orders from linux is useless if you cannot receive tick data.
Unless every single quote on the buy side got lifted within 5ms of each other then it's not hard for an algorithm to think "oh shit, 25% of the...
yes that is overly simplistic. A bot would see the start of the stampede and jump in with it long before it was over.
Where do you get the idea of high risks? High frequency trading is actually less risky because there is less chance of you getting caught in one...
Dude, this is standard timeseries analysis. There are numerious books on this subject and they are using very well known methods.
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