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1answer
77 views

Distribution of proportional bid-ask-spreads

I already asked this yesterday at "Economics Stack Exchange" but think this question might be better suited here. In the meantime i really tried to solve it by myself, but couldn't find anything what ...
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1answer
54 views

Extracting IB market data: bid and ask for greeks and IV

I wrote a piece of code to get option chains with volatility and greeks from IB market data. After testing yesteday, it seems to work, but I am surprised of seeing bid and ask for impliedVolatility ...
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0answers
41 views

Observing bid-ask bounce in high frequency stock data

I have a series of 1-minute return data for an unnamed stock, a sample is provided below, in order: ...
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0answers
14 views

Which rate have to be considered by using multiliteral netting?

I do have a netting structure consisting of four companies (A,B,C,D) and a netting center. The center also takes place in the netting process. The netting center uses the EUR as currency. Company A ...
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0answers
109 views

Bid, Ask and pnl allocation

I am quite new to the field of market making and was asking myself the following question: Suppose I have 2 clients: lets call them client 1 and 2. I'm market maker. Client 1 buys 100 shares from ...
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3answers
319 views

Bid/Ask vs Low/High

I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how that data is calculated. First some data gathering on AAPL from Feb. ...
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2answers
174 views

monthly contract volume required for penny increments?

Have the exchanges disclosed their criteria? Does anyone have a best guess based upon observations of volume (however you wish to define it)? Please no qualitative answers.
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2answers
2k views

How to account for bid/ask spread when backtesting?

I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains: open, high, low, close, volume, adj. ...