- Search Metals Mine
- Ultimate6 replied Apr 20, 2013
I believe cointegration simply does not work (anymore) on currencies. The work done here by 7bit and others is a great proof of concept and of great acedemic value and I'm sure can be applied elsewhere.
Synthetic hedges, cointegration, mean reversion and similar stuff
- Ultimate6 replied Feb 28, 2013
These appear to be exactly like those FMRL numbers that were sold on FF previously. This is awesome!!1, they helped me a great deal.
Quantitative Market Reversal Levels
- Ultimate6 replied Dec 30, 2012
Ok. Scare over. This only applies to banks using LMAX Exchange InterBank Service 31 Conditions for using the LMAX Exchange InterBank Service A Bank Member may: (a) enter Orders primarily for the purpose of: (i) offsetting risk in the FX books based ...
LMAX = revolution?!?
- Ultimate6 replied Dec 30, 2012
"High -Frequency Trading means trading conducted for the purposes of generating earnings by entering a large number of small-size, small-profit trades using low latency automated trading systems with limited or no human intervention"
LMAX = revolution?!?
- Ultimate6 replied Dec 30, 2012
Sorry what is the story regarding HFT and what is their definition of it? Do you have a link please?
LMAX = revolution?!?
- Ultimate6 replied Dec 30, 2012
Maybe they have then. Either way, their liquidity is enough to create their spreads and I have not had partial fills, until then I won't complain.
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
I think if you're serious enough they can help you out perhaps.
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
it is the c# api at the moment. I will move over to FIX sometime.
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
Yes it is, if you can find someone who will do it. I don't know what happened to him.
System to hedge every major dollar pair for profit / low DD
- Ultimate6 replied Dec 6, 2012
It's a fantastic proof of concept strategy, but it needs a lot of work if you want to actually use it.
System to hedge every major dollar pair for profit / low DD
- Ultimate6 replied Dec 6, 2012
Yea I will be looking into a server next door to theirs when I've finished my little hft project
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
you need to find co-integrated pairs. this is tested for with the ADF or johansen test. I think ADF is implemented in the ea.
System to hedge every major dollar pair for profit / low DD
- Ultimate6 replied Dec 6, 2012
If you're in an area with the infrastructure you can get a 100 mbps fiber line for around £600pm url
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
This is not a server, it is direct internet access through equinix, I see some routing is different now - via exponential-e london metro network. Tracing route to 46.38.179.103 over a maximum of 30 hops 1 <1 ms <1 ms <1 ms 192.168.12.1 2 <1 ms <1 ms ...
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
From London using Equinix London as my internet provider.
LMAX = revolution?!?
- Ultimate6 replied Dec 6, 2012
This is their data center hosted with Rackspace still...
LMAX = revolution?!?