4 ms·
LOL - it was probably a bug in his sim, some future information leak most likely. Getting your timestamps right is always tough.
by dchichkov 13y ago
LOL - it was probably a bug in his sim, some future information leak most likely. Getting your timestamps right is always tough.
- AndrewBissell 13y agoEven if you get the timestamps exactly right, predicting whether you actually would have been filled at the exchange on a given simulated order is fraught with error (almost always in the direction of overestimating profits). Anyone who thinks this can be done with simple simulations or "a one-line algo" is speaking from a position of severe ignorance.
- dchichkov 13y agoSimulating the fill rates correctly is tough. But getting the timestamps right is also tough. Exchange timestamps are crap. If these there used - that's a possible future leak right there. Standard PC hardware? Remember, that a standard PC clock gives you something like 50ppm. That means - yes - 50 microseconds per second drift. One need their own boxes with stable clocks, GPS, or otherwise synchronized. I doubt that this professor had access to that kind of infrastructure.