For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
21
votes
9answers
3k 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?
26
votes
6answers
4k 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 ...
5
votes
2answers
1k 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 ...
21
votes
9answers
2k 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 ...
8
votes
5answers
1k 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 ...
5
votes
1answer
414 views
Trade execution in HFT - role of quants
What is the role of quants in trade execution in high frequency trading? AFAIR in "normal" trading trade execution is considered a very mundane task. What role can quantitative modelling play in trade ...
6
votes
5answers
4k 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 ...
15
votes
2answers
1k 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 ...
18
votes
4answers
3k 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 ...
14
votes
2answers
812 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 ...
6
votes
2answers
1k 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 ...
5
votes
2answers
252 views
Recover full tick data from missing tick data
Due to some economics/regime problem, I can only have access to non full-tick data from an exchange.
To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
