THis is boring now, why dont you put this rubbish on a blog and stop poluting the forum with this ****. You are adding zero value and annoying the forum members.
BORING
What is your definition of high frequency? once per day? once per hour? 100 times a second?
You should be good for around 5 times a second, probably more depending on how big the paylaod is
How many people are you sending out to?
Some data providers will drop ticks when they get too many ticks within a certain time frame, so that you get the latest data, hence why it might seem a little jumpy and appears to be missing updates.
No, more dangerous to hedge discontinous with continous.
Edit: I can't see why one would want to hedge continous with discontious anyway. If you wanted the digital vega profile you'd use a risk-reversal or a call spread
One can NOT decompose a tunnel into a digital call and a digital put!!!!! That is madness
For two reaasons. One, the digital calls and puts are not path dependent (i.e they expire only at the expiry time). Tunnels are path dependent (i.e if the underlyign touches the barrier level it expires)...
It patent applies to the movement of the ladder to show BBO at all times in the center. Other trading programs can use a ladder, they just can't automatically move the ladder; the user has to scroll to get the BBO area of the ladder
They are insane if they are hedging out their short term greeks as the frequency of hegding will kill them in transactions costs also digitals should be left as a bet and they shouldn't have their greeks hedged away as there is so much risk associated with the dis-continuous payoff. If they are...
Just out of intertest how and why are you hedging your linear (I assume futures or forwards) with a non-linear (dis-continuous; if binary) structure?
If you call the market direction consistently you will make money from any company!!!
When you say the pricing improves OTM what exactly do yuo...