For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.

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0answers
33 views

What are the top 30 high frequency trading firms in forex domain globally? [closed]

I am looking for top 30 high frequency trading firms,especially on forex globally, but its really difficult to get any info as nothing is out there. Can anyone enlighten me on this?
23
votes
3answers
6k views

What types of neural networks are most appropriate for trading?

What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy? Types of neural networks include: Support Vector ...
2
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1answer
66 views

What are flickering orders?

I am reading a paper for my bachelor thesis, Queuing Uncertainty in Limit Order Market by Bart Zhou Yueshen who is the new AP at INSEAD. In the abstract, the author said: "Flickering orders manifest ...
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0answers
27 views

Performance measure

Can anyone give some intuition behind the relative performance measure that is a percentile raking of trading activity. It indicates the percentage of total activity the investor outperformed the ...
2
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1answer
40 views

Order ID or Broker information from TAQ or Limit Order book?

Is it possible to see if a big order was executed in smaller chunks, and at what prices and times?
25
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5answers
8k views

What is a good broker for HFT?

Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
0
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0answers
18 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
10
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7answers
16k views

How to calculate historical intraday volatility?

Sorry for what must be a beginner question, but when I went to write code I realized I didn't understand exactly how historical volatility, or statistical volatility, is defined. Wikipedia tells me ...
2
votes
1answer
69 views

netfonds.no - High Frequency Data

I originally got the idea from Python for Finance. But there are nomerous other examples on how to get high Netfonds (here and here). They don't seem to work any more: ...
14
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7answers
15k views

What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
6
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1answer
1k views

Problems with dealing with GARCH models and intra-day data

A Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it. A Long time ago I was preparing my thesis, one ...
2
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2answers
145 views

Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
0
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0answers
30 views

Are there good off-the-shelf coding implementation of trade classification algorithms?

Including Lee Ready and bulk classification methods, as well as any other method. To be clear, I'm asking for code, not just a description of the algorithm.
2
votes
2answers
191 views

Forecast of volatility

What are the well known methods for forecasting (daily - weekly - monthly) volatility of a stock price? How about a bond price? Let's say I have in my disposition the price time series at a very high ...
0
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0answers
24 views

Is order flow imbalance more or less correlated with price movements at slower frequency?

Suppose I define order flow imbalance as volume(aggress buy)/volume(aggress sell), or some variant of that. Is this variable more, or less, correlated with price movements when I sample less ...
3
votes
2answers
93 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
0
votes
1answer
77 views

Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
1
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0answers
52 views

Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
15
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8answers
20k views

Is the Interactive Brokers API suitable for hft?

By HFT here I mean anything with holding period less than 5 to 10 minutes. Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
6
votes
1answer
157 views

High frequency trading and trading costs

What kind of deals do high frequency traders have with brokers or exchanges regarding commissions for stock trading? For an individual, it is nowadays possible to get to as low as 10 basis points per ...
0
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0answers
39 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: ...
8
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2answers
2k views

What is “high frequency quoting” or “quote spam”?

What is called "high frequency quoting" or "quote spam" in the context of high frequency trading? Why do some people consider that as a problem for the market?
1
vote
1answer
48 views

impact model what volatility to use

I am looking at the market impact paper here (http://www.cims.nyu.edu/~almgren/papers/costestim.pdf) and I had a question about volatility on page 11. On page 11 it is stated: "For volatility, we use ...
3
votes
0answers
100 views

Order Book Dynamics

I have been following this paper: http://arxiv.org/pdf/1104.4596.pdf The model is especially pertinent as I only have access to L1 data. The model is clear and intuitive and I have implemented the ...
1
vote
2answers
181 views

Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
1
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0answers
73 views

Match different option high frequency databases

I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB ...
2
votes
1answer
218 views

High frequency price forecast model ARMA GARCH or another?

Can you reccomend model for high frequency data (1 second and less) (returns and volatility forecasting)? Most papers use ARMA, GARCH etc in 1 minute and lower time frame. PROBLEM ARMA does not know ...
0
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0answers
32 views

Integrated Volatility in Diffusion Processes vs Volatility of Discrete Processes

In a Diffusion Process of the form $$dX_t = \mu(X_t)dt + \sigma(X_t)dW_t $$ the Integrated Volatility is defined as $$IV_t = \int_t^{t+1} \sigma^2(X_s)ds.$$ In this case, the Integrated Volatilty ...
12
votes
3answers
2k views

Papers about risk management in algorithmic trading?

I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems. I have done research about this topic and found some ...
8
votes
4answers
865 views

What is the impact of high-frequency trading on market depth, liquidity, and volatility?

On the surface, bid-ask spreads are far more narrow than even several years ago. However, during periods of financial stress liquidity seems to vanish. Also, the increasing amount of fragmentation ...
2
votes
0answers
79 views

Assets cointegration: optimal inventory for futures market

I'm interested in HFT cointegration stratagies, and recently found interesting article "Algorithmic Trading of Co-Integrated Assets" The article describes mean-reversion strategy for N-assets. ...
5
votes
2answers
293 views

How to calculate volatility on intraday data?

I have several weeks of minute-by-minute stock data (start and end prices, volume). Everything I've read so far leads me to believe there isn't a standard method for volatility, which is leaving me ...
4
votes
0answers
60 views

Are there academic papers on the 'term structure' of adverse selection for futures and options?

By term structure I mean a non-stationarity in the pattern of intraday adverse selection as a given instruments approaches its expiry. Note that I am interested in the adverse selection on the ...
1
vote
3answers
95 views

Buy side techniques

I was speaking with a friend of mine about what techniques are used for quantitative investment management, and he told me that, when assuming active positions on the market, even in high-frequency ...
29
votes
9answers
3k views

Has high frequency trading (HFT) been a net benefit or cost to society?

Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
4
votes
0answers
274 views

How to forecast high-frequency data?

Introduction: I have seen a plenty of articles/books regarding volatility forecasting applied to high frequency data, but none of them were dedicated to forecasting the actual prices (for example ...
1
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0answers
47 views

labeling high frequency signal data

Was curious if anyone has methodologies they can recommend for systematically labeling (discrete) signals generated from intraday tick data for use in classification or detection models ?
2
votes
1answer
346 views

What are some quantitative trading strategies used by high-frequency trading companies to make a killing on a market crash day on 24Aug2015?

http://blogs.barrons.com/focusonfunds/2015/08/24/high-frequency-trading-firms-just-made-a-killing/ Virtu Financial (VIRT), the high-speed trading firm that went public earlier this year, was one ...
7
votes
2answers
313 views

HFT to blame for Flash Crashes?

Some people 1, 2, 3 claim that High Frequency Trading is partly to blame for the extreme volatilities in the markets yesterday (24. August 2015). Is that true? Is the amount HFTs move even enough ...
7
votes
2answers
1k views

HFT - How to define and measure latency?

I have read and heard a lot about latency. But I can't find any solid information that explains how latency is defined and measured. When people say they have achieved millisecond or nanosecond ...
2
votes
2answers
863 views

Forex ECN for Algorithmic Trading

I'm looking for a forex brokerage that allows me to: add limit orders to the order book and trade against other clients However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
0
votes
1answer
314 views

Realized Volatility vs. Standard deviation of log returns

I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns. Given X is ...
4
votes
1answer
202 views

Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

I am looking to measure the volatility from the open of the market until a trade takes place and use that volatility in post-trade regressions to help explain transaction costs. A simple regression ...
0
votes
1answer
62 views

Interpreting and scaling of Realized Variance with sample data

I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
2
votes
2answers
342 views

How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
3
votes
1answer
163 views

What is the best data structure/implementation for representing a time series in C#?

I'm looking for a tick by tick high performance container. So far I've been using List where Tick is a simple struct with a DateTime and double field. I'm using Linq for date lookups but it's ...
3
votes
0answers
114 views

Fitting High Frequency Indicators

I have a high frequency time series of the bid and ask prices of a stock recorded on every tick. For each data point I also have a certain indicators that predict the future movement of the price. The ...
5
votes
2answers
104 views

What are Sell Imbalance-Only Orders?

I am reading the 2014 SEC filing against Athena, a HFT firm. (http://www.sec.gov/litigation/admin/2014/34-73369.pdf) At point 29, they describe the behavior of Athena moments before market closing ...
1
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1answer
62 views

Regression model syntax

I'm following the methodology outlined in Developing High-Frequency Equities Trading Models. On page 27, the author outlines an OLS regression model to obtain beta coefficients. The model is defined ...
2
votes
1answer
94 views

Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...