# Tagged Questions

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

2k 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 ...
7k views

### Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?

In particular, http://en.wikipedia.org/wiki/Algorithmic_trading#Algorithms has several name algorithms. I understand most HFT algorithms are proprietary but I am looking for examples of HFT ...
7k views

### R: How feasible is it to store — and work with — tick data in a database connected to R?

I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling. What are some best practices / ...
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 ...
682 views

### How to account for jumps in intraday data when calculating beta?

I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling $$Y = \beta * X + c$$ where $Y$ is the return of XLF ...
18k 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 "...
368 views

### What are some quantitative method behind etf vs cash arbitrage?

Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...
3k 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 ...
2k views

### Which algorithm should I look into to kick off my research in algorithmic trading? [closed]

I have recently undertaken a research into automated algorithmic trading algorithms. The aim of the research is to focus on studying algorithmic trading and trying to improve a basic implementation ...
4k 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 ...
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### What skills and education are required for HFT? [closed]

I'm a university student and I'm quite interested in High Frequency Trading Algorithms. What courses should I take and what skills should I acquire so that I can work in this field? So far, I've been ...
765 views

### What strategy would benefit most from having the fastest connection to the exchange?

Imagine that you have the fastest connection to the exchange (receive quotes 1 ms earlier than everyone else) for both stocks and derivatives. How would you benefit from this? Of course almost any ...
8k views

### What is a medium to low frequency trading strategy and why is it less hyped?

The term high frequency trading has been used quite often recently to refer to trading using real-time tick data (or data aggregated to few seconds) and having an intra-day holding period. How are ...
513 views

### Applying models with normality assumption on tick data?

Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to high-...
1k views

### HFT: What is the big differentiator in comparison to other time scales?

High Frequency Trading (HFT) seems to be the big money making mystery machine these days. The purported source of unlimited floods of gelt pouring into the investment shops using it. For me, HFT is ...
7k views

### Why do high frequency traders use rapidly cancelled limit orders?

In reading about the various practices and strategies of high frequency traders, one of the most mysterious to me is "fleeting orders," or orders that are cancelled almost immediately after they are ...
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 ...
6k views

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 ...
11k views

### How can we reverse engineer a market-making algorithm (HFT)?

Consider a market participant $A$ who is mechanically following an automated liquidity providing algorithm (HFT) in a number of large cap stocks on a specific exchange. Assume furthermore that we are ...
2k views

### Order submission strategies of a rational market maker?

Consider a market maker that has decided to try to make a round-trip trade in stock A in order to capture the bid-ask spread. Assume furthermore that he has no current inventory in the stock A. To ...
2k views

### Algorithm for the choice of stocks for a equity scalper/market maker to engage in?

Assume a scalper/market maker who is operating on an exchange with $N$ stocks with different characteristics such as current market value, average bid-ask spread, average daily volume and historical ...
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### How are dual class shares different from non dual class shares from a market makers' perspective?

Assume a stock Foo with a single share class. Furthermore, assume a dual class stock Bar with classes I and II with different voting rights. The shares in the different classes have equal cash flow ...
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 ...
1k views

### Ultra-High Frequency Trading Help [closed]

Im putting together an Ultra-High Frequency desk and need to answer the following questions for ordering some rack servers to process about 2 GB of data per second. If anyone has worked at a HFT desk ...
3k 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 ...
968 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 ...
706 views

### What is the most effective way of determining & measuring the level of HFT activity in a stock in (close to) real time?

On a security by security basis, I want to be able to quantify the level of HFT activity (and later institutional & retail activity). Is it higher than it normally is? How much so? What would you ...
9k 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 ...
21k 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?