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

learn more… | top users | synonyms (1)

1
vote
1answer
92 views

Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies? [on hold]

I am not looking for your winning strategies. Just the basic stuff from where to start. Can anyone share their opinions about what should I read to hit the ground running?
2
votes
2answers
308 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.
2
votes
1answer
59 views

Volatility estimation: sampling frequency and scaling

I have a year long stock data sampled at 5 min frequency and would like to estimate monthly volatility using it. I am thinking using GARCH or TGARCH for volatility estimation. However, I am not sure ...
1
vote
2answers
486 views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
0
votes
0answers
47 views

Double auctions in online games

I am currently doing a PhD in mathematics and we study the phenomenon of segregation in double auctions. As it is very difficult to gether datas from financial institutions I wanted to start by ...
4
votes
4answers
233 views

What kind of front end/ gui is used with trading applications?

I was wondering what kind of front end is used for trading applications. Coming from a quant background, I was always only concerned with research and back end of the application but am at a total ...
12
votes
5answers
2k views

Applications of Fourier theory in trading

What are fashionable applications of Fourier analysis in trading? I have heard vague ideas of applications in High Frequency Trading but can somebody provide an example, maybe a reference? Just for ...
4
votes
3answers
243 views

selecting test data for neural networks

I have been working on a neural network based on certain technical indicators. As people familiar with neural networks would know after developing a hypothesis, the developer is also supposed to ...
0
votes
5answers
2k views

How are HFT systems implemented on FPGA nowadays?

I have read about different implementations of HFT systems on FPGAs. Argon HFT system (http://trading-gurus.com/argon-design-an-fpga-based-hft-platform/) Hardware-only implementations or hybrid ...
1
vote
0answers
87 views

Models for volatility estimation of high frequency data?

I have read on several news articles and research papers, "Contrary to popular belief, high frequency trading reduces volatility in stock markets rather than exacerbates it". Do you know the models ...
6
votes
2answers
252 views

Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
1
vote
1answer
81 views

How low can HFT transaction costs go?

When evaluating an HFT strategy, transaction costs are clearly an important question. When looking at commercial discount brokers for retail clients, costs can be as low as 0.005 USD per share, but ...
11
votes
4answers
591 views

Quantitative Math required for Market-making?

I understand there is an awful lot of Quantitative Math required for statistical arbitrage/algorithmic trading. However, would someone "in the know" be able to tell me whether there is less ...
1
vote
3answers
212 views

What are the unfair order execution/routing advantages HFT firms apparently have?

I originally thought that you have an orderbook per stock and orders would be filled on the time at which they arrive. Arrive first and you get the best price and the qty in the orderbook is reduced ...
16
votes
3answers
2k views

How to forecast volatility using high-frequency data?

There is a large literature covering volatility forecasts with high-frequency tick data. Much of this has surrounded the concept of "realized volatility", such as: "Realized Volatility and ...
2
votes
1answer
252 views

What features does q /KDB provide for HFT use?

It appears q/KDB is being using for Time series analysis for HFT. What are some of the advantages of using ...
8
votes
2answers
1k 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
138 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
0
votes
2answers
136 views

Accessible HTF? (Slippage reduction)

I designed an strategy that operates with 30-second bars on e-mini SP500. It works fine in the back-testing and the out-sample, also performs well in every walk-forward test I have tried. But, when ...
25
votes
9answers
5k views

How 'High' is the frequency in HFT?

How many trades per second are we talking about? What kind of strategies are used in this time frame? Can the small guy play the game?
2
votes
2answers
99 views

What impact does arbitrage have on realised volatility estimates?

Doing some research modeling/estimating volatility in the bitcoin market. There is quite a bit of scope for arbitrage within crypto-currency markets. Wonder if this has any impact on my volatility ...
18
votes
3answers
5k 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 ...
27
votes
7answers
6k views

What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?

I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second. I'm primarily looking for ES data ...
0
votes
2answers
108 views

How to obtain specific information on FX trading systems?

I'm trying to compare trading venues using a quantitative product selection matrix (and eventually software vendors using a different matrix specifically for vendors), and I was wondering if anyone ...
2
votes
0answers
79 views

Derivation of variance of Zhou (1996) volatility estimator

Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996) Zhou 1996 Any help would be ...
0
votes
1answer
74 views

Are proof-of-work systems used by exchanges?

Are there any proof-of-work systems used by exchanges? If not, are there any interesting proposals worth reading? In principle, there might be applications for proof-of-work systems in preventing ...
2
votes
0answers
51 views

Recreate Positions after downtime. Suggestions requested

We are trying to be able to get back to the Position state when our software goes down unplanned during the day. So far it seems we can get all our bought and sold quantity based on execution log we ...
6
votes
2answers
2k views

Fastest news feed APIs targeting high frequency trading?

The Dow Jones elementized news feed API seems to stand out but are there any other machine readable news feeds out there that provide very low latencies that high frequency operations may peruse? I am ...
3
votes
2answers
170 views

Mitigating gateway delay

A trading system has $n$ colocated uplinks to TCP order entry gateways $g_1, \dots, g_n$ on a given exchange. Each gateway $g_i$ has a different order entry delay function $d_i(t)$ as a function of ...
1
vote
2answers
365 views

Transaction Data with Participant ID

For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
6
votes
6answers
9k 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 ...
4
votes
3answers
261 views

Semi-strong efficiency and HFT

The semi-strong efficient market hypothesis states that In semi-strong-form efficiency, it is implied that share prices adjust to publicly available new information very rapidly and in an ...
11
votes
5answers
3k views

What exactly is meant by “microstructure noise”?

I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data. It says at higher frequencies, smaller intervals, microstructure noise is very dominant. What is ...
4
votes
1answer
233 views

When does the Epps effect start?

Wikipedia defines the Epps effect as follows: In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns ...
5
votes
0answers
271 views

What good papers of short term (<30 seconds) volatility estimation

I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting. Do you have something in mind ?
-2
votes
1answer
247 views

How could HFT help increase liquidity? [duplicate]

I have ready in several websites that HFT can help increase market liquidity, although this is contested in some articles. I am not familiar with the concept of market liquidity. What is the basis of ...
5
votes
4answers
788 views

Does HFT make sense in a pro-rata market?

If orders are filled pro rata, is there still incentive to engage in HFT? Because pro rata nullifies the time precedence rule, my intuition is no, but I figure there could be other aspects to it I'm ...
1
vote
0answers
155 views

Forecasting Equity returns using state-space models

I have data for 3 yrs of 5 min prices of various equities. I can construct a linear regression model and try to see the in-sample model performance. But I was wondering whether fitting a state-space ...
0
votes
0answers
122 views

“Real” DMA to Options Markets

I'm looking for a broker with DMA to large options markets (CME, ISE, CBOE). Broker should be HFT friendly, i.e. offer fast API, low fees for huge amount of trades and so on. Price is not an issue. ...
2
votes
0answers
62 views

Survey of market making strategies and research [duplicate]

I am undergoing a focused study of market making theory. So far, I've encountered the following papers: Market Making and Mean Reversion Adapting to a Market Shock: Optimal Sequential Market-Making ...
11
votes
3answers
5k views

Control for bid/ask bounce in high-frequency trade data?

The bid-ask bounce is the bouncing of trade prices between the bid and ask sides of the market. It introduces a systematic bias to the data which can cause serious problems in analysis. What methods ...
6
votes
2answers
2k views

How to annualize intra-day volatility on minute data?

I am trying to convert minute based volatility into annualized volatility in such a way that both are comparable. $Vol_{min} * \sqrt(t)$ does not seam to get them into the same scale if I annualize ...
5
votes
3answers
1k views

Papers about risk managment in algorithmic trading systems?

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 ...
5
votes
1answer
761 views

Problems with dealing with GARCH models and intra-day data

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. Long time ago I was preparing my thesis, one ...
7
votes
2answers
1k views

Non-SQL methods for high-frequency accounting?

Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
5
votes
1answer
526 views

Profiting from price discrepancies between stock exchanges

Here is an interesting video by Nanex: http://www.youtube.com/watch?&v=rB5jJuMP84E Perhaps some of you have already seen something similar. It is an animation of the order routing. It shows 1/2 ...
15
votes
7answers
12k views

Is the Interactive Brokers API suitable for hft?

By hft here I mean anything with holding period less than 5-10mins... Any empirical/anecdotal evidence of using it successfully on even higher frequencies?
0
votes
2answers
445 views

What information do stock exchange colocated servers have access to?

In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to ...
2
votes
1answer
858 views

High-Frequency Traders and Front Running: What order types are they using? [closed]

I often hear in the news that High-Frequency Traders can front-run incoming trades because they are faster at acquiring information and to execute trades. I also read that speed is only a necessary ...
14
votes
2answers
1k views

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

I have read about something like Kelly criterion for long term expectation maximization assuming a fixed starting bankroll. But if one can assume unlimited leverage, and one has a signal for a price ...