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by winstontj
April 17th, 2014, 9:01 pm
Forum: General Forum
Topic: Anyone Back Office @ BONY? Reporting Question
Replies: 0
Views: 4828

Anyone Back Office @ BONY? Reporting Question

In a client portfolio, is there a way to pull equity trade execution timestamp off DTCC terminal and merge into Workstation to push a custom report to the client? Or am I blind and missing where to find it within Workstation?Thanks! I owe you a pint for the help!
by winstontj
September 5th, 2012, 10:01 am
Forum: Trading Forum
Topic: Bloomberg B-Pipe & Thomson Reuters Low latency feed
Replies: 6
Views: 16048

Bloomberg B-Pipe & Thomson Reuters Low latency feed

<t>Well, yes I've gotten all kinds of trials from Bloomberg on behalf of a lot of clients - but the demos for B-Pipe were only trial feeds coming into a Bloomberg Server terminal, not a desktop. We also had a few bonded T1's (as required when you have 5+++ terminals in one location). It's been a whi...
by winstontj
September 4th, 2012, 3:45 pm
Forum: Trading Forum
Topic: Bloomberg B-Pipe & Thomson Reuters Low latency feed
Replies: 6
Views: 16048

Bloomberg B-Pipe & Thomson Reuters Low latency feed

<t>That's a bit of a loaded question - and (as I hope you know) a massive difference in price. The latency is going to be dependent on your physical location to the source server more than anything else. I have experience with both feeds. They are both great but depend on where you are vs. where the...
by winstontj
July 24th, 2012, 8:31 pm
Forum: Trading Forum
Topic: Where to buy US equities data?
Replies: 11
Views: 13561

Where to buy US equities data?

<t>What do you consider "reliable"?You want 5-minute bars so is the issue that you have been getting snapshot data that's been compiled into bars and therefore because it originated from snapshot data it is missing prices?Have you been getting raw tick data compiled into bars but the raw data isn't ...
by winstontj
July 24th, 2012, 11:33 am
Forum: Trading Forum
Topic: Where to buy US equities data?
Replies: 11
Views: 13561

Where to buy US equities data?

I may know of a provider. Do you have any days or times where you found errors or that you are concerned about that you'd like to check any new data against what you have existing?
by winstontj
July 24th, 2012, 2:14 am
Forum: Trading Forum
Topic: How to get the trigger price matched in automatic trading
Replies: 3
Views: 13767

How to get the trigger price matched in automatic trading

<t>QuoteOriginally posted by: figoliuxiI recently tried to build an pairs trading strategy and implement it in CQG. But the price I got from the market is different from my model-based trigger price(I use the bid-ask middle price to do backtesting). So is there any suggestions on how to match my mod...
by winstontj
July 24th, 2012, 2:05 am
Forum: Trading Forum
Topic: how do we estimate position of our order in order book?
Replies: 3
Views: 13363

how do we estimate position of our order in order book?

<t>Send odd-lots and bring up the L2 on screen??? (kidding)Assuming you have true DMA it's fairly easy if you have decent time synchronizations and really, truly know your latency (and can calculate it all very fast) as well as subscribe directly to the exchange data feeds. If you subscribe directly...
by winstontj
July 24th, 2012, 1:57 am
Forum: Trading Forum
Topic: Where to buy US equities data?
Replies: 11
Views: 13561

Where to buy US equities data?

What is your budget?
by winstontj
July 24th, 2012, 1:56 am
Forum: Trading Forum
Topic: index vs basket arbitrage
Replies: 4
Views: 14188

index vs basket arbitrage

<t>I don't know of any books or publications but I can say to look at Delta One stuff or look at ETF basket optimization. It's mostly statistics work. I can tell you from experience that trading a large basket against an index (futures or ETFs) is really hard to do without order flow. The biggest th...
by winstontj
June 4th, 2012, 3:56 am
Forum: Student Forum
Topic: ETF dividends
Replies: 2
Views: 12079

ETF dividends

nope, other than to look at historical divs and guess a relative time frame.
by winstontj
April 23rd, 2012, 7:46 pm
Forum: Trading Forum
Topic: daily NAV returns
Replies: 1
Views: 14484

daily NAV returns

Are you looking for 1-2 ETFs in particular or do you need market-wide?If you want market wide you can pull from Yahoo/Google Finance (up to 5 years) and if you want 1-2 ETFs you could contact the funds directly. Both of these options are free and viable.
by winstontj
April 22nd, 2012, 2:39 am
Forum: Trading Forum
Topic: Lag estimation
Replies: 4
Views: 14595

Lag estimation

Are you talking buffering and processing lag or physical/wire variances due to not paying top dollar for a decent feed? Either of these problems can be fixed - both with hardware.
by winstontj
February 3rd, 2012, 12:35 am
Forum: Trading Forum
Topic: Data provider: Thomson Reuters
Replies: 2
Views: 15854

Data provider: Thomson Reuters

<t>I tried their data a few years back and Bloomberg was much better/faster & more reliable... that said I know someone who has been working on a big project at Reuters to improve that and be one of the best out there in the market. I just can't speak to how good/bad it is currently because I've...
by winstontj
February 3rd, 2012, 12:30 am
Forum: Trading Forum
Topic: NYSE System Order Data (SOD)
Replies: 3
Views: 17429

NYSE System Order Data (SOD)

sent you a PM. I know a bunch of people that have that data and I own some and have access to some - but it is protected under NDA's so not worth the risk to start giving it out.
by winstontj
January 1st, 2012, 9:09 pm
Forum: Programming and Software Forum
Topic: Typical high frequency latencies?
Replies: 6
Views: 17787

Typical high frequency latencies?

<t>As others have stated there are many types of latency involved - ping times (point to point latency), data parser (or latency/time it takes to process your data), decision engine - and position management interface and then create/cancel orders - which can take time both to generate and process t...
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