4 ms·

What language do you write your trading platform in? What FIX engine, if any do you use? Do you colo with a broker or go directly to the exchanges? Do you arb

What language do you write your trading platform in? What FIX engine, if any do you use? Do you colo with a broker or go directly to the exchanges? Do you arbitrage the roll of ETFs that track commodity futures (e.g., VXX, USO)? Do you roll your own backtester or use an open-source or off the shelf one? In general, what is the win/loss and Kelly's expected payoff of your various strategies? Do you aim for out-of-the-ball-park home run's or consistent singles? Thanks.

kasey_junk 13y ago
My experiences have been in C++, JVM languages and FPGA. I've used proprietary FIX solutions, Onixs, and QuickFIX. I've always colo'd with the exchanges I've traded on. I've never traded a US equity. I've used both off the shelf analytics solutions and built my own. (I don't design trades typically, rather I write systems for folks that do). I don't usually go in for deals that involve expected payouts of PnL. I build technical solutions for a fixed price for people that have a particular technical requirements set. I'm not sure I even know what a Kelly's expected payoff is.
- noname123 13y ago
  Thanks, kasey_junk for your detailed answers. Greatly appreciate it. Not trying to get any inside or competitive info as I do more options algorithmic trading on a time frame of weeks and months. But I'm always curious how the other half live. Are you using Scala specifically as your JVM language, CUDA for your FPGA? Also, have you dealt with Complex Event Processing (CEP) as way to combat stale quotes and feeds that require long time to process? These are area's that I haven't explored, so curious about your $0.02 if you have any experience/opinions, thanks.
  - kasey_junk 13y ago
    I prefer to work in Scala on the JVM if I can, but Java is still very prominent. CUDA is most common on FPGA though I haven't worked in it for awhile. Have not dealt with CPE in trading.

kasey_junk 13y ago

My experiences have been in C++, JVM languages and FPGA. I've used proprietary FIX solutions, Onixs, and QuickFIX. I've always colo'd with the exchanges I've traded on. I've never traded a US equity. I've used both off the shelf analytics solutions and built my own. (I don't design trades typically, rather I write systems for folks that do). I don't usually go in for deals that involve expected payouts of PnL. I build technical solutions for a fixed price for people that have a particular technical requirements set. I'm not sure I even know what a Kelly's expected payoff is.

noname123 13y ago
Thanks, kasey_junk for your detailed answers. Greatly appreciate it. Not trying to get any inside or competitive info as I do more options algorithmic trading on a time frame of weeks and months. But I'm always curious how the other half live. Are you using Scala specifically as your JVM language, CUDA for your FPGA? Also, have you dealt with Complex Event Processing (CEP) as way to combat stale quotes and feeds that require long time to process? These are area's that I haven't explored, so curious about your $0.02 if you have any experience/opinions, thanks.
- kasey_junk 13y ago
  I prefer to work in Scala on the JVM if I can, but Java is still very prominent. CUDA is most common on FPGA though I haven't worked in it for awhile. Have not dealt with CPE in trading.