I would simply love to see the faces of the traders who thinks its sounds cool to be the direct counter party at 100:1 leverage, when the next "Lehman Brothers" happens...

Is MBT really an ECN ?

No - it would pretty much be a contradiction. If you build the infrastructure to compete in this field, you are by definition no longer a "retail" trader. But the entry level is lower than people generally thinks due to increased competition ...

High Frequency Trading!

People tends to be a bit secretive about these things... Nowadays you also have to be careful - if you e.g. are at a dinner party and tells that you do HFT... your uncle might suddenly remember that his stocks lost 50% of their value in 5 minutes ...

High Frequency Trading!

"Toxic flow" = flow that banks consistently looses on.

Currenex platform of LCG , any good?

Does writing a MIPS emulator and then write assembly code to run on it counts?

Object Oriented Programming

It means that if you send them "toxic flow" you will be shown the door. If you don't know what I'm talking about it probably will not be an issue to you.

Currenex platform of LCG , any good?

I found this video to be worth 8 minutes and 51 seconds (plus a few milliseconds) of my life: url

Systematic trading

True. Cool link by the way. I wish Mark Brown would make an interview too...

Systematic trading

This "my compiler is bigger than your compiler" does not really lead to anything useful. As I wrote in a previous post, unless you have very specific latency requirements (like in options market making and other such exotic things - where you ...

Systematic trading

Wise choice. Unless you need to meet specific low latency requirements or C++ simply just happens to be your most productive language, there really are no particularity reasons for using C++ instead of a higher level language IMO.

Systematic trading

takef586, what's the trading frequencies of you strategies? While the issues you discuss are a major concern no matter what type of strategies you trade - but to really feel the pain, I assume that you at least at some point have traded on a ...

A Lot of Money and Risk

I do the same. The approach I described is mostly only usefull if you for some reason needs to simulate time with a higher granularity than the data you have access to or if you need to check some conditions at very specific time points.

Systematic trading

Simulating real time in a backtest is a non-trivial problem...and the solution to this problem naturally depends a lot on your trade engine implementation. The way we solve this is to have a "time stamp event" data message type which is sent ...

Systematic trading

In case any of you doesn't already know it, this is a really cool blog: url

Systematic trading

Many FX ECN's (especially the "retail" ECN's) is based on the basic architecture: Trader ______->ECN ___________->Local market place ___________->External liquidity provider(s) If your order is matched with internal liquidity the latencies can be ...

ECNs vs. Slippage

One possibility: Adverse selection. You generally have a higher probability of getting filled at a worse price than at a better price. All FX "ECN's" operates differently so it migth be down to specific implementation...which leads to another ...

ECNs vs. Slippage

This is how you would connect via FIX trough the public internet. What I don't get is how this can be news - the gateway has been a standard option for a long time...the VPN thing is new though - Am I missing something here?

Systematic trading

Lol - that company looks about as dodgy as it gets. The story about the Ukrainian hacker who broke into Thomson is even better...I need to move to Ukraine...

Systematic trading

Shiat man - I completely forgot about this rule being passed - all this time I have been living in nameless fear of having my trades busted.... Thx for the link.

How the markets are working?????

It seems I need to get updated on this - I wasn't able to sniff out this particular rule at the NFA website - do you have a link?

How the markets are working?????