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

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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 ...
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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 ...
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49 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 ?
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114 views

Estimating the next tick movement in Chinese markets

I'm working on high frequency trading in the Chinese Futures market and I've been having a bit of trouble with getting orders to go through due to the lack of liquidity and large fluctuations. To ...
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209 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 ...
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182 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 ...
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747 views

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 ...
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1answer
50 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 ...
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2answers
535 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 ...
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2answers
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 ...
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1answer
323 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 ...
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1answer
130 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
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2answers
174 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 ...
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2answers
185 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 ...
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1answer
80 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 ...
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1answer
80 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 ...
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1answer
773 views

Liquidity detection based strategy in HFT

This article contains the following statement. In terms of liquidity detection, traders intend to decipher whether there are large orders existing in a matching engine by sending out small ...
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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 ...
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0answers
32 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.
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25 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 ...
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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: ...
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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 ...
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1answer
63 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 ...
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54 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 ...
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147 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. ...
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1answer
2k views

Can end-to-day trading be profitable? If not, why? [closed]

Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
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1answer
138 views

Why didn't my order get filled?

So I placed an offer to sell a few liquid options on an already illiquid stock the other day. I put an offer to sell a deep OTM put, the market makers who had their offers in place had, lets say $1, ...
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1answer
661 views

Tutorial for working with tick data? [closed]

Can you recommend a good tutorial for working with tick data for the purpose of algorithmic trading? Is the data normally stored in a database and only bits are read into memory at a time? Is there ...
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1answer
389 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 ...