DislikedRockshore,
I don't understand something, this DMA is basicaly connecting all the price feeds from 12 or more brokers (number doesn't matter). You say FIX takes 15seconds for processing - how is DMA connected to these brokers if not with FIX, most of the ECNs use FIX? Also all these brokers are not in the same facility so you need a private line to them from the place where DMA server is, no?
If you have EBS from London (stupid example because EBS has in servers in NY too) and CX from NY you get from start 1ms ping to CX and 35ms ping to EBS ..the...Ignored
If Mr. Rockshore has multiple feeds combined he will increase his liquidity pool. Since not all of them are timed correctly he is creating artificial price discrepancies in his own calculations. Then he says he is a MM from the buy side, so seems to me that I want him as a liquidity provider. Guess who is going to create the best arbitrage opportunities for me?
Mr. Rockshore,
I am sure you know the difference between tradable prices or an indicative price (non-tradable price that turns into slippage if traded) so I won’t argue anymore with you about whom does Triangular Arbitrage better. My original post was to the idea of where to hook my system to trade Triangular Arbitrage. It seems that you are doing your thing through a DMA and I am glad for you.
My motivation is simple: keep enjoying life and make couple of net positive points daily. Your motivation is move your corporate structure, hire more people, have more clients and be all for the little guy. Sounds very interesting and innovative!
So, is your hedge fund profitable because of arbitrage trading or for charging the little guy front loads, back loads, commissions, large percentages of the net profits, etc?
A good piece of information that you should share with the world and the little guys is the list of liquidity providers involved in such a despicable practice of “Last Look”. You said you have identified them and oust them from your pool. You will feel like a hero after people start taking them out from their accounts. Maybe in the future that practice will be banned. Maybe not banned but at least I will have access to refrain from a trade simply because I feel like it, like a big bank.
PS. If you are trading half a pip discrepancies seems to me that you are just getting the leftovers. I think that you need to be quicker or maybe slower!