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  1. rholowczak

    FX Options Data. Where can I get it from?

    Hi the vast majority of FX Options are traded over-the-counter - that is to say these are private deals done between banks or other large institutions. You can get some overall statistics on this segment of the FX and interest rate market from BIS. There is a small fraction of the FX options...
  2. rholowczak

    Can FPGA be the future of HFT?

    Yep. Here's a nice overview : http://scholar.lib.vt.edu/theses/available/etd-08112011-192508/unrestricted/PimentaPereira_KS_T_2011.pdf
  3. rholowczak

    Can FPGA be the future of HFT?

    Just a quick thought here: FPGA's, co-processors and other hardware accelerators will make sense for applications where you have a relatively fixed set of calculations that need to be done very quickly, repetitively and with low latency. I am thinking of things like pricing an option based on...
  4. rholowczak

    Creating my own algorithm

    Hi There is a lot that goes in to a trading algorithm - much more than just getting a hold of some prices and making a buy/sell decision. To do even something simple, you will definitely need to learn some programming. If you are interested in being able to back-test strategies right away, I...
  5. rholowczak

    XML format for Market Data

    By "Market Data" do you mean quote and trade data or something that updates less frequently such as end of day pricing, balance sheet data, etc. FIXML is another alternative you might consider: http://www.fixtradingcommunity.org/pg/file/fplpo/read/30011/fixml-44-schema-specification-revision-1
  6. rholowczak

    Intro Programming Tutorials for Bloomberg and Interactive Brokers API

    Folks I have been assembling a set of introductory tutorials for programming the Bloomberg API and the Interactive Brokers ActiveX API. Likely this is pretty basic stuff for readers of this forum but you may get some ideas from it. I am planning to expand both sets with additional languages...
  7. rholowczak

    Can I use Mac OS System to learn this course?

    Hi You may wish to look into running the Windows OS on your Mac laptop. Two software products that help with this are: Parallels Desktop for Mac VirtualBox for Mac OS X These "virtualization" programs allow you to share your CPU, memory, disk and other hardware resources among multiple running...
  8. rholowczak

    Intro to MS Visual Studio

    Here is another tip. Many Universities subscribe to the "Books24x7" service. This service has tons of technology books on all sorts of database, programming language and other topics. The user-interface is a little clunky but if you are patient you can check out a ton of materials. I believe...
  9. rholowczak

    Nasdaq TotalView ITCH data feed?

    Hi Are you at Baruch College? If so we subscribe to the raw ITCH feed and have a few year's of data we can work with. If not, you might try EssezRadez (also known as Trading Physics). Art has most of the major depth of market equity feeds. Let me know if you have questions. Cheers, Rich H.
  10. rholowczak

    Intro to MS Visual Studio

    Folks This is probably very basic for this crowd but there may be some folks who have never worked with Microsoft Visual Studio previously. Here are some thoughts on a tutorial I have been revising: Getting Started with Microsoft Visual Studio 2010 using C++...
  11. rholowczak

    Free historical intraday stock data?

    Hi - not to be picky here but just to clarify. The Wharton Research Database Service (WRDS) provides "access" to a bunch of different data sources. Two basics ways of working with WRDS are the web query interface and (for faculty and usually PhD students) unix/linux access via SAS programming...
  12. rholowczak

    .NET HFT systems

    I did not see anyone talk about the operating system. if we assume .NET == WindowsOS and C/C++ == Unix/Linux Or C/C++ == WindowsOS then we have many more things to compare. What about network stack latency on Windows vs. Solaris vs. Linux? What about bypassing the OS all together an running the...
  13. rholowczak

    Student Event: The Road to Wall Street: Analyze Your Options - October 1, 2010 at Baruch College

    Hi - sorry to say no we won't have it streaming . However it will be recorded and the vido will be posted to Baruch Digital Medial Library. It will be publicly accessible. Cheers, Prof. H.
  14. rholowczak

    Join us for The Road to Wall Street Analyze Your Options - Oct. 1 at Baruch College

    <TABLE style="BORDER-BOTTOM: black 1pt solid; BORDER-LEFT: black 1pt solid; WIDTH: 545.25pt; BORDER-TOP: black 1pt solid; BORDER-RIGHT: black 1pt solid" class=MsoNormalTable border=1 cellPadding=0 width=727><TBODY><TR><TD style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none...
  15. rholowczak

    Student Event: The Road to Wall Street: Analyze Your Options - October 1, 2010 at Baruch College

    Visit the following link for details and Registration http://optionsdata.baruch.cuny.edu/oic/
  16. rholowczak

    Trading Strategy Competition at Penn State

    http://wallst.smeal.psu.edu/trading-room/trading-strategy-competition Penn State Trading Strategy Competition An equity trading competition that tests your ability to develop successful automated trading strategies with multiple securities and varying time horizons Competition Dates: March...
  17. rholowczak

    Workshop for Baruch faculty/students: High Performance Computing Using Graphics Processor Units

    Workshop for CUNY faculty/students: High Performance Computing Using Graphics Processor Units Folks: At the end of March we will be hosting a workshop on High Performance Computing Using Graphics Processor Units in collaboration with the CUNY High Performance Computing Center. Here is a bit of...
  18. rholowczak

    Getting raw real-time option data

    Hi Vu: In the US, the Options Price Reporting Authority (OPRA) re-distributes the top of the book quotes/orders and trades for each of the US Options exchanges. You can read more on their web site (www.opradata.com). There are basically two ways you can work with this data in real time. First...
  19. rholowczak

    Nvidia - Cuda Toolkit for options pricing

    Folks: This just arrived in my in box. No endorsements implied. A Seminar on GPU-Accelerated Derivative Pricing and Risk Models Presented by SciComp Inc. and NVIDIA Corporation GPU-accelerated Monte Carlo derivative pricing and risk models run 30X-200X faster than serial code. No...
  20. rholowczak

    Analyzing ultra high frequency data sets

    At the Baruch Options Data Warehouse (optionsdata.baruch.cuny.edu) we capture between 5 and 6 billion messages a day from the seven US options market centers. Often this data reaches a peak of close to 800,00 message per second. So I suppose this counts as "high frequency". Since we mainly...
  21. rholowczak

    Call auction algorithms

    Prof. Robert Schwartz of Baruch College is widely recognized as a top authority on market structure including call auctions. You would do well to look at some of his books and papers. For example: Equity Markets in Action: The Fundamentals of Liquidity, Market Structure and Trading," with Reto...
  22. rholowczak

    2009 Interactive Brokers Collegiate Trading Olympiad

    Folks: I would be happy to help with basics of the Interactive Brokers API if there is interest. Cheers, Prof. H.
  23. rholowczak

    New Book posted to Books24x7: Structured Finance Modeling with Object-Oriented VBA

    Folks: For those of you who have access to Books24x7 (via your school library or IEEE or ACM membership), this book was just posted: Structured Finance Modeling with Object-Oriented VBA by Evan Tick John Wiley & Sons © 2007 (352 pages) ISBN: 9780470098592 Filled with in-depth insight and...
  24. rholowczak

    Interest in Intro to Unix/Linux during January

    Intro to unix/Linux workshop January 22, 2008 Folks: The following workshop is open to Baruch students (must have Baruch ID card to get in the building). Happy New Year from the Baurch College CIS Society! Are you curious about Open Source Technology? Not sure what "Open Source" refers to...
  25. rholowczak

    Interest in Intro to Unix/Linux during January

    Folks: I am planning to do a partial day workshop on an introduction to UNIX and Linux during the January break. This will be done during a week day likely from 10:00am to 3:00pm with a break for lunch. The materials will be very introductory. The topics should include: - Brief history of UNIX...
  26. rholowczak

    Interested in Trading simulation at Subotnick Center?

    Folks: We still on for Nov. 16 at 5:30pm for an equties trading simulation? Cheers, Prof. H.
  27. rholowczak

    Interested in Trading simulation at Subotnick Center?

    OK - how about this - Our Equity Markets Microstructure Seminar ends around 4:00pm on Friday November 16. We could start the trading simulation at 5:30 or so. Let me know Cheers Prof .H.
  28. rholowczak

    Interested in Trading simulation at Subotnick Center?

    Folks: How would Friday October 26 work? I am giving a reception and tour for the Graduate Business Student Services Association from 5:00 to 6:30 (or 7:00) After that event is over we can get in and use the trading floor. p.s. sorry about the PM. If you need to contact me please e-mail me at...
  29. rholowczak

    2008 Interactive Brokers Collegiate Trading Olympiad

    Folks: Sorry for the late reply on this. Better late than never I suppose. Regarding intra-day data, Subotnick Center has about 3 years worth of NYSE TAQ data that covers all NMS equities. (including NYSE and NASDAQ). We also have 2+ years of Equity Options data. A bit of heavy lifting would be...
  30. rholowczak

    Integrate C++ program into VBA

    Not sure if this is helpful, but for Baruch students with access to Books24x7 (see the Newman Library home page) there is a new book posted today: Financial Applications using Excel Add-in Development in C/C++, 2nd Edition by Steve Dalton John Wiley & Sons © 2007 (584 pages) Including example...
  31. rholowczak

    Reuter 3000Xtra Workshop

    Folks: Every semester the Wasserman Trading Floor/ Subotnick Center hosts between 40 and 50 workshops (FREE to all Baruch students, faculty and staff) that teach the basics of using Reuters and Bloomberg. In the Summer we run just a small number of them. The basic workshops are taught by...
  32. rholowczak

    Anyone using SAS ?

    Folks: Many of you at Baruch may know we have access to a service through the Library called "Books 24x7". Two new entries (perhaps of interest to readers of this thread) that just came through are: SAS For Dummies by Stephen McDaniel and Chris Hemedinger John Wiley & Sons © 2007 (408...
  33. rholowczak

    Wall Street Warriors

    July 10 would be fine... Cheers, Rich H.
  34. rholowczak

    Wall Street Warriors

    Folks: Let me know the date and time and I am fairly certain we can set you up in the Subotnick Center in the seminar room area (60 seats). Cheers, Prof. H.
  35. rholowczak

    Why C++ and not Java??

    I'll add two more suggestions to what has already been said. For real-time applications that need to process tick-by-tick data, Java's non-deterministic garbage collection is a killer. For example, an algorithm missing a few ticks or a pricing model missing an update to an underlying instrument...
  36. rholowczak

    Open Source alternative to kdb+

    Not open source but may be less expensive... There seem to be many new entrants into this space. Vhayu, StreamBase and others. I think StreamBase offers a free demo version. You might also look at Times Ten (acquired by Oracle - also has a trial version)...
  37. rholowczak

    Fixed Income Trading Simulation - Beta test Monday May 14 12:45-2:00pm

    Folks:I understand many of you work full-time. Unfortunately with myteaching and lecturing schedule I just can't fit this in any other time.sorry about thatCheers,Prof .H.
  38. rholowczak

    Fixed Income Trading Simulation - Beta test Monday May 14 12:45-2:00pm

    Folks: I am going to be doing a test of a new Fixed Income trading simulation this Monday May 14 starting at 12:45pm at the Wasserman Trading Floor / Subotnick Center. I am inviting all Baruch students who are interested to participate. (To those non-Baruch students who are reading this, I am...
  39. rholowczak

    QNSE - QuantNet Stock Exchange!

    Folks: RIT exposes some of the market data via a provider to the MS Excel RTD function. FOr me details contact me directly. Cheers, Prof .H.
  40. rholowczak

    Trading floor training for MFE students

    Folks: It was a pleasure meeting you all and working with you this evening. I do hope that your learned something new and also had some fun! For better or worse I am posting the results of our last trading run below. For those of you interested in exploring this kind of event further, let me...
  41. rholowczak

    Question about database and Bloomberg

    OK - Looks like it is not such a big deal. There is a tutorial (via WAPI <GO>) on adding the control to MS Excel. I basically followed that only using a form in MS Access and it seems to work OK. One main difference is in Access, to add a control to a form (not from the tool box) you have to...
  42. rholowczak

    Question about database and Bloomberg

    As far as I can tell, BB's "integration" functions are directed only at Excel. I can take another look through in more details tomorrow but I seem to recall doing something similar in the past and Excel was offered as the only solution. So it sounds as if you are running up against the 65,556...
  43. rholowczak

    Baruch Portfolio Management Club

    Folks: Baruch has a number of student organizations that focus on various aspects of finance. Four that I am aware of are: - Graduate finance and investments club - Undergraduate Finance and Economics Society - Undergraduate Investment Banking Club (http://www.investmentbankingclub.com/) -...
  44. rholowczak

    Getting Started with Bloomberg in the Wasserman Trading Floor

    Andy: There is no sign-up sheet for now. However if you come in and someone is hogging the machine let me or one of the assistants know. We have never had any issues with contention for the machine and everyone so far has been very polite and conscientious if others are waiting. Cheers...
  45. rholowczak

    Getting started with TradeStation at the Wasserman Trading Floor / Subotnick Center

    Folks: (Sorry for all of the posts. Have been meaning to spread the word for some time about these resources...) In a number of posts folks have mentioned technical analysis and back-testing of trading strategies. The software from TradeStation is one of the leaders in the market at these...
  46. rholowczak

    Getting Started with Bloomberg in the Wasserman Trading Floor

    Folks: In addition to the Trading Floor / Subotnick Center resources I mentioned in my prior post (https://www.quantnet.com/threads/resources-at-baruchs-wasserman-trading-floor-subotnick-center.414/). I wanted to say a few more words about access to Bloomberg. We have two Bloomberg...
  47. rholowczak

    Trading floor training for MFE students

    Folks: I just posted a thread giving a basic intro to the Wasserman Trading Floor / Subotnick Center resources. It would be great if you all could read that prior to Thursday's class session. https://www.quantnet.com/threads/resources-at-baruchs-wasserman-trading-floor-subotnick-center.414/...
  48. rholowczak

    Baruch MFE Resources at Baruch's Wasserman Trading Floor / Subotnick Center

    Folks: I figured I would give some introduction to the resources we have at the Wasserman trading Floor / Subotnick Center. If you all read this post, then we will not have to waste time on it (except for any further questions you might have) when we meet on Thursday April 26. The entire...
  49. rholowczak

    Trading floor training for MFE students

    Folks: A few quick comments / suggestions. First up - In speaking to a few of you over the last couple of weeks, it would appear there is a misconception that the Wasserman Trading Floor and Subotnick Center's resources are somehow reserved for use only by Zicklin students. This is definitely...
  50. rholowczak

    Refresh data in spreadsheet

    The "sleep" function you are calling does not allow other VBA events to execute. So this is why your spreadsheet is blocking for 2 seconds at a time. You might instead consider using a Timer. "Timer" itself gies the number of seconds elapsed since midnight. So you could do something like...
  51. rholowczak

    2007 Interactive Brokers Collegiate Trading Olympiad

    A tad late to the party...Some notes on the Wasserman Trading Floor / Subotnick Center Folks: I admit I am late to this party - I read the postings only sporadically but will try to pay more attention in the future. Let me make a blanket statement: Our resources at the Wasserman Trading...
  52. rholowczak

    Algorithmic Trading article

    Impications of RegNMS on internalization Folks: One implication of RegNMS on firms internalizing orders is that if they cross an order internally at a price better than the displayed BBO of the market, then they must make good on all of the current orders at the top of the book at each market...