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4
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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. ...
2
votes
2answers
633 views

Market making: buy on bid/sell on ask [closed]

In this thread, the top answer discusses: "buy on bid, sell on ask" as "market making" strategies. My question is: In layman ...
1
vote
2answers
176 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.
1
vote
1answer
95 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 ...
1
vote
0answers
16 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 ...
0
votes
3answers
357 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. ...
0
votes
2answers
36 views

Where to find sample intraday data? One to two days or more

I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
0
votes
1answer
71 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 ...
0
votes
0answers
44 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: ...
0
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0answers
114 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 ...