Ok a couple of comments. I have been a part of a few HFT firms (a couple that failed and a couple that have been doing fairly well), even a few...
Ahem, if this "Feature" is provided by the Exchanges, then it would make any low latency trading (MM like) almost trivial. Since a simple "algo"...
A lot of what an "investment banker" does is fairly mundane stuff, since I was a "banking associate" until I went over to the trading side. Wait,...
Maybe I am cold hearted as I get older. But I don't see the big deal in this. When I joined a bulge-bracket ibank back in 90s (ok, late 90s), we...
Ditto. MDP 3.0 is just SBE (Simple Binary Encoding), which is basically a fixed length version of FIX/FAST. Bottomline is, SBE is faster than...
I took a look at the CME sample data. Good god, it is just the RLC book update messages published through Globex. In fact, RLC is the legacy...
PM me, I am a CME member, I can give you a hr snapshot of the "raw" Globex feed. It seems that will be what you are looking for.
Start here. http://www.futuresindustry.org/fi-magazine-home.asp?a=1274
The msg / volume ratio applies to MM as well, except some "new" products the exchanges are trying to get off the ground. But MMs, if they are...
Yes, there are systems that do a lot of cancels (say 10k cancels a day), but these systems also trade a fair bit of volume. The reality is that...
Futures Exchanges, I guess I know something about this. In terms of Fill Priority, what Black Diamond described is called the FIFO...
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