Chris Donnan : Programming – Brooklyn Style
software, trading, family, fun
CME Study Claims HFT Reduces Price Swings
Posted HFT, algorithmic trading, high frequency trading, trading on Wednesday, June 29th, 2011.
Posted HFT, algorithmic trading, high frequency trading, trading on Wednesday, June 29th, 2011.
CME Study Claims HFT Reduces Price Swings
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Phantom Indexes
Posted HFT, algorithmic trading, economy, high frequency trading, low latency, trading on Thursday, June 23rd, 2011.
Posted HFT, algorithmic trading, economy, high frequency trading, low latency, trading on Thursday, June 23rd, 2011.
If so much volume trades off-primary – how valid are our index values??? Good food for thought.
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Reposting Matt’s SOR Reading Links …
Posted Finance, algorithmic trading, trading on Sunday, June 12th, 2011.
Posted Finance, algorithmic trading, trading on Sunday, June 12th, 2011.
Smart Order Routing: Multi Agent System for Real Time Adaptive SOR in Dark Pools
More SOR Reading
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Old but good – Technical Report on C++ Performance
Posted C++, coding on Saturday, June 11th, 2011.
Posted C++, coding on Saturday, June 11th, 2011.
Good old reference on basic C++ performance
Contains things like details on:
- type conversion
- base class functions
- cost of virtual, vs non virtual, vs static calls
- inlining
- multiple inheritance
- various casting operations
- time overhead of various exception mgmt schemes
- templates vs inheritance
- object construction
- temp objects
- templates
- std::string usage
- etc.
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