[beagle3]

Being a retiree of the trading industry myself (was last involved in HFT in 2007, last at all in 2008) - I believe that's naive.

Every HFT outfit has someone on the lookout for these kind of ideas. When this system is found, every idea in a commit in an obscure branch is going to be quickly reviewed, tested inside that outfit's backtest system (which likely has years of microsecond stamped tick data to test on, and a 1000-core strong compute cluster to do that quickly), and if it has merit -- applied before you have a chance to test it in trading yourself.

Your own success in trading this system is not required (and in fact, unlikely, even if you implement things that would work if done in a non-public way).

I'm not trying to get you not to do it - on the contrary, I love to follow interesting ideas in the field even though I'm not in it anymore. I'm just trying to give my sober, experienced, point of view - if you want it to succeed, this particular thing has to be closed source - you should only commit to public git after your edge has waned....

[zygomega]

Thanks Beagle, and I appreciate the sentiment and goodwill behind your comments. I remain optimistic, however irrational that seems. Big Finance is oriented to Big Data crunch-and-run processes as you describe. A highly non-linear, inclusive, non-backtested approach can't be even imagined within that paradigm. With respect to open sourcing,, well I don't think I personally have a choice. I can't do it all by myself, don't want to work on a 1000-core backtest platform. But I'm finding lots of talented hackers that share my views and want to give this a go.