Chris Donnan : Programming – Brooklyn Style


CME Study Claims HFT Reduces Price Swings

CME Study Claims HFT Reduces Price Swings

Original Story

Filed under: algorithmic trading,HFT,high frequency trading,trading — chrisdrop @ 18:48


Phantom Indexes

Phantom Indexes

If so much volume trades off-primary – how valid are our index values??? Good food for thought.


Reposting Matt’s SOR Reading Links …

Smart Order Routing: Multi Agent System for Real Time Adaptive SOR in Dark Pools

More SOR Reading

Filed under: algorithmic trading,Finance,trading — chrisdrop @ 10:19


Old but good – Technical Report on C++ Performance

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.
Filed under: C++,coding — chrisdrop @ 19:47

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