Hot answers tagged algorithmic-trading
5
Each venue will allow diferent order types, and will have different matching rules (the queue positions you mentioned), so this is not general to the whole market, but this is a paper from Nyse that is pretty much explains most of the order types I have heard of:
http://www.nyse.com/pdfs/fact_sheet_nyse_orders.pdf
Also, one factsheet/regulation from the ...
5
If you're missing ticks, then no technique will get those ticks back.
If you have two sources, then designate one source as the primary feed and then fill-in gaps from the secondary feed. Of course, you'll have to mind the timestamps when determining whether the secondary feed can be used properly.
4
I found this solid overview of different trading algorithms by Deutsche Bank Research:
Trade execution algorithms
Designed to minimise the price impact of executing trades of large
volumes by ‘shredding’ orders into smaller parcels and slowly
releasing these into the market.
Strategy implementation algorithms
Designed to read real-time market data and ...
4
You will struggle to put a number on the potential returns of high-frequency trading (HFT) and I think it wouldn't make any sense anyway if you don't take into consideration its risk and its leverage. Achieving 100% return with low volatility seems highly improbable; so ask the trader in question his Sharpe ratio to start with and compare it with yours.
...
3
Obviously merging two streams is harmless and it should be done. But it's hard to advise you regarding the "interpolation" methods you can use to generate the ticks without knowing why you need this. The reason is that any method will introduce a certain bias to the data. Therefore, it very much depends on what are you going to do with your altered data on ...
3
Whether its possible? Absolutely. However, you should probably keep in mind a couple points:
* Many people claim a lot while proving very little to none. This is fine if the issue is a small-talk conversation. Believe it or not, no harm done. However, this is about money, and from my experience I cannot stress enough how important it is to do a very ...
2
it depends on how applied the class is. A deep understanding of stochastic calculus is not required for "P-Quants", the type of person that lives in the physical word of forecasting and risk. That being said understanding the type of models that get used by the Q-Side (requiring lots of stochasic theory) is a useful skill to have.
Like John said, if you ...
2
The broker algorithms or the trading algorithms are designed to the optimal execution of large amounts of stocks with different benchmarks (e.g. VWAP, PoV, Implementation Shortfall or Slippage, Price Inline, TWAP, DWAP, etc.). These algorithms sometimes uses statistical methods and market microstructure analysis (to analyse spreads, volume, seasonality, ...
1
The best options AMM guys are rumored to capture roughly 1/3tick per round trip, net of transaction costs + implementation shortfalls. I had worked for a regional index options MM. With the growth of competition in the recent years, expected returns are actually much lower than that today.
So realistically, in today's environment, you could net maybe ...
1
One way to think about this is as a missing data problem. You observe the order book constantly, but trades only occur infrequently. One way to resolve this is to perform full information maximum likelihood (other techniques, such as multiple imputation, may be too slow for your needs but it might be useful to look into them), which has analytical formula ...
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