Chris Donnan : Programming – Brooklyn Style » 2011

February 2011
M	T	W	T	F	S	S
« Dec		Mar »
	1	2	3	4	5	6
7	8	9	10	11	12	13
14	15	16	17	18	19	20
21	22	23	24	25	26	27
28

2010 Reading… Still Mostly Science Fiction
Posted books on Saturday, February 26th, 2011.

Too Big To Fail – Andrew Ross Sorkin – good read, everyone read it
Several Dresden Files – Jim Butcher, bored
Out of the Dark - David Weber, good – 4 stars
Surface Detail – Ian M Banks, abandoned – wanted to lik eit
Towers Of Midnight - Robert Jordan, Brandon Sanderson, FANTASTIC!
Ship of Destiny - Robin Hobb, great – 5 star
Dragon Keeper - Robin Hobb, OK, 3.5 stars maybe
Citadel -John Ringo, Pretty good – 4 star
The Hidden Reality - Brian Greene, eh, hard read, but interesting, very abstract
The Goal – Eliyahu M. Goldratt, Jeff Cox, good, classic
Influencer – Kerry Patterson, Joseph Grenny, David Maxfield, great read
A Mighty Fortress -David Weber, 3.5 stars – OK
The Farseer: Assassin’s Apprentice - Robin Hobb, great book/ series
The Red Wolf Conspiracy - Robert V. S. Redick, eh – 3 star
The Blade Itself - Joe Abercrombie, 3.5 stars
The Desert Spear - Peter V. Brett, people love this series – i say - marginal…
Assassin’s Quest - Robin Hobb, great book
Poison Study- Maria V. Snyder, abandoned – boring
The Way of Kings - Brandon Sanderson, Love the Author – book – not his best but OK-ish
Best Served Cold - Joe Abercrombie, OK, 3.5 stars
The Black Prism - Brent Weeks, OK 3.5 stars
Mad Ship - Robin Hobb, great – 5 star
Ship of Magic - Robin Hobb, great -5 star
Pathfinder - Orson Scott Card, OK enough – 3.5 star
Stormwarden - Jenny Wurts, abandoned
The Lost Gate - Orson Scott Card, Pretty good – maybe 4 star
Live Free or Die - John Ringo, good solid 4 star

* These were ALL on Audible – audio books… a ton of the ‘quality’ indicator will have to go to the reader.

Responses are currently closed, but you can trackback from your own site.

Low-Latency Trading

Abstract

This paper studies market activity in the ?millisecond environment,? where computer

algorithms respond to each other almost instantaneously. Using order-level NASDAQ

data, we find that the millisecond environment consists of activity by some traders who

respond to market events (like changes in the limit order book) within roughly 2-3 ms,

and others who seem to cycle in wall-clock time (e.g. access the market every second).

We define low-latency activity as strategies that respond to market events in the

millisecond environment, the hallmark of proprietary trading by a variety of players

including electronic market makers and statistical arbitrage desks. We construct a

measure of low-latency activity by identifying ?strategic runs,? which are linked

submissions, cancellations, and executions that are likely to be parts of a dynamic

strategy. We use this measure to study the impact that low-latency activity has on market

quality both during normal market conditions and during a period of declining prices and

heightened economic uncertainty. Our conclusion is that increased low-latency activity

improves traditional market quality measures such as short-term volatility, spreads, and

displayed depth in the limit order book.

Responses are currently closed, but you can trackback from your own site.

Google open sources build system – Ninja
Posted C++ on Saturday, February 12th, 2011.

Google open sources build system – Ninja

Responses are currently closed, but you can trackback from your own site.

What to do with your FPGA Enabled Network Card
Posted C++, FPGA, Hardware, algorithmic trading on Friday, February 4th, 2011.

Enhyper – always a good read:

http://enhyper.blogspot.com/2011/02/what-to-do-with-your-fpga-enabled.html

Responses are currently closed, but you can trackback from your own site.

Chris Donnan : Programming – Brooklyn Style

software, trading, family, fun